- QuantLib
- FuturesConvAdjustmentQuote
quote for the futures-convexity adjustment of an index More...
#include <ql/quotes/futuresconvadjustmentquote.hpp>
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 |
returns the current value | |
bool | isValid () const |
returns true if the Quote holds a valid value | |
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_ |
quote for the futures-convexity adjustment of an index