- 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