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QuantLib_FuturesConvAdjustmentQuote
Langue: en
Version: 383979 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::FuturesConvAdjustmentQuote -quote for the futures-convexity adjustment of an index
SYNOPSIS
#include <ql/quotes/futuresconvadjustmentquote.hpp>
Inherits QuantLib::Quote, and QuantLib::Observer.
Public Member Functions
FuturesConvAdjustmentQuote (const boost::shared_ptr< IborIndex > &index, const Date &futuresDate, const Handle< Quote > &futuresQuote, const Handle< Quote > &volatility, const Handle< Quote > &meanReversion)
FuturesConvAdjustmentQuote (const boost::shared_ptr< IborIndex > &index, const std::string &immCode, const Handle< Quote > &futuresQuote, const Handle< Quote > &volatility, const Handle< Quote > &meanReversion)
void update ()
Quote interface
Real value () const
bool isValid () const
Inspectors
Real futuresValue () const
Real volatility () const
Real meanReversion () const
Date immDate () const
Protected Attributes
DayCounter dc_
const Date futuresDate_
const Date indexMaturityDate_
Handle< Quote > futuresQuote_
Handle< Quote > volatility_
Handle< Quote > meanReversion_
Detailed Description
quote for the futures-convexity adjustment of an index
Member Function Documentation
void update () [virtual]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.
Author
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