quote for the futures-convexity adjustment of an index More...

#include <futuresconvadjustmentquote.hpp>

Inheritance diagram for FuturesConvAdjustmentQuote:

Collaboration diagram for FuturesConvAdjustmentQuote:

Public Member Functions
	FuturesConvAdjustmentQuote (const ext::shared_ptr< IborIndex > &index, const Date &futuresDate, Handle< Quote > futuresQuote, Handle< Quote > volatility, Handle< Quote > meanReversion)

	FuturesConvAdjustmentQuote (const ext::shared_ptr< IborIndex > &index, const std::string &immCode, Handle< Quote > futuresQuote, Handle< Quote > volatility, Handle< Quote > meanReversion)

Quote interface
Real	value () const override
	returns the current value More...

bool	isValid () const override
	returns true if the Quote holds a valid value More...

void	update () override

Public Member Functions inherited from Quote
	~Quote () override=default

virtual Real	value () const =0
	returns the current value More...

virtual bool	isValid () const =0
	returns true if the Quote holds a valid value More...

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Inspectors
DayCounter	dc_

const Date	futuresDate_

const Date	indexMaturityDate_

Handle< Quote >	futuresQuote_

Handle< Quote >	volatility_

Handle< Quote >	meanReversion_

Real	futuresValue () const

Real	volatility () const

Real	meanReversion () const

Date	immDate () const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

quote for the futures-convexity adjustment of an index

Definition at line 36 of file futuresconvadjustmentquote.hpp.

Constructor & Destructor Documentation

◆ FuturesConvAdjustmentQuote() [1/2]

FuturesConvAdjustmentQuote	(	const ext::shared_ptr< IborIndex > &	index,
		const Date &	futuresDate,
		Handle< Quote >	futuresQuote,
		Handle< Quote >	volatility,
		Handle< Quote >	meanReversion
	)

Definition at line 27 of file futuresconvadjustmentquote.cpp.

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◆ FuturesConvAdjustmentQuote() [2/2]

FuturesConvAdjustmentQuote	(	const ext::shared_ptr< IborIndex > &	index,
		const std::string &	immCode,
		Handle< Quote >	futuresQuote,
		Handle< Quote >	volatility,
		Handle< Quote >	meanReversion
	)

Definition at line 41 of file futuresconvadjustmentquote.cpp.

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Member Function Documentation

◆ value()

Real value ( ) const

overridevirtual

returns the current value

Implements Quote.

Definition at line 55 of file futuresconvadjustmentquote.cpp.

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◆ isValid()

bool isValid ( ) const

overridevirtual

returns true if the Quote holds a valid value

Implements Quote.

Definition at line 68 of file futuresconvadjustmentquote.cpp.

◆ update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Definition at line 72 of file futuresconvadjustmentquote.hpp.

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