ForwardSwapQuote Class Reference

Quote for a forward starting swap. More...

#include <forwardswapquote.hpp>

Inheritance diagram for ForwardSwapQuote:

Collaboration diagram for ForwardSwapQuote:

Public Member Functions
	ForwardSwapQuote (ext::shared_ptr< SwapIndex > swapIndex, Handle< Quote > spread, const Period &fwdStart)
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...
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 LazyObject
	LazyObject ()
	~LazyObject () override=default
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
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 ()

Observer interface
ext::shared_ptr< SwapIndex >	swapIndex_
Handle< Quote >	spread_
Period	fwdStart_
Date	evaluationDate_
Date	valueDate_
Date	startDate_
Date	fixingDate_
ext::shared_ptr< VanillaSwap >	swap_
Rate	result_
void	update () override
const Date &	valueDate () const
const Date &	startDate () const
const Date &	fixingDate () const
void	initializeDates ()
void	performCalculations () const override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from LazyObject
virtual void	calculate () const
Protected Attributes inherited from LazyObject
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Quote for a forward starting swap.

Definition at line 35 of file forwardswapquote.hpp.

Constructor & Destructor Documentation

ForwardSwapQuote()

ForwardSwapQuote	(	ext::shared_ptr< SwapIndex >	swapIndex,
		Handle< Quote >	spread,
		const Period &	fwdStart
	)

Definition at line 26 of file forwardswapquote.cpp.

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Member Function Documentation

value()

Real value ( ) const

overridevirtual

returns the current value

Implements Quote.

Definition at line 72 of file forwardswapquote.cpp.

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isValid()

bool isValid ( ) const

overridevirtual

returns true if the Quote holds a valid value

Implements Quote.

Definition at line 77 of file forwardswapquote.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.

Reimplemented from LazyObject.

Definition at line 49 of file forwardswapquote.cpp.

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valueDate()

const Date & valueDate

(

)

const

Definition at line 57 of file forwardswapquote.cpp.

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startDate()

const Date & startDate

(

)

const

Definition at line 62 of file forwardswapquote.cpp.

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fixingDate()

const Date & fixingDate

(

)

const

Definition at line 67 of file forwardswapquote.cpp.

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initializeDates()

void initializeDates ( )

protected

Definition at line 37 of file forwardswapquote.cpp.

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performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 88 of file forwardswapquote.cpp.

Member Data Documentation

swapIndex_

ext::shared_ptr<SwapIndex> swapIndex_

protected

Definition at line 57 of file forwardswapquote.hpp.

spread_

Handle<Quote> spread_

protected

Definition at line 58 of file forwardswapquote.hpp.

fwdStart_

Period fwdStart_

protected

Definition at line 59 of file forwardswapquote.hpp.

evaluationDate_

Date evaluationDate_

protected

Definition at line 61 of file forwardswapquote.hpp.

valueDate_

Date valueDate_

protected

Definition at line 61 of file forwardswapquote.hpp.

startDate_

Date startDate_

protected

Definition at line 61 of file forwardswapquote.hpp.

fixingDate_

Date fixingDate_

protected

Definition at line 61 of file forwardswapquote.hpp.

swap_

ext::shared_ptr<VanillaSwap> swap_

protected

Definition at line 62 of file forwardswapquote.hpp.

result_

Rate result_

mutableprotected

Definition at line 64 of file forwardswapquote.hpp.