Cdor Class Reference

CDOR rate More...

#include <ql/indexes/ibor/cdor.hpp>

Inheritance diagram for Cdor:

Public Member Functions
	Cdor (const Period &tenor, const Handle< YieldTermStructure > &h={})
Public Member Functions inherited from IborIndex
	IborIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Handle< YieldTermStructure > h={})
Date	maturityDate (const Date &valueDate) const override
Rate	forecastFixing (const Date &fixingDate) const override
	It can be overridden to implement particular conventions.
BusinessDayConvention	businessDayConvention () const
bool	endOfMonth () const
Handle< YieldTermStructure >	forwardingTermStructure () const
	the curve used to forecast fixings
virtual ext::shared_ptr< IborIndex >	clone (const Handle< YieldTermStructure > &forwarding) const
	returns a copy of itself linked to a different forwarding curve
Public Member Functions inherited from InterestRateIndex
	InterestRateIndex (std::string familyName, const Period &tenor, Natural settlementDays, Currency currency, Calendar fixingCalendar, DayCounter dayCounter)
std::string	name () const override
	Returns the name of the index.
Calendar	fixingCalendar () const override
	returns the calendar defining valid fixing dates
bool	isValidFixingDate (const Date &fixingDate) const override
	returns TRUE if the fixing date is a valid one
Rate	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
	returns the fixing at the given date
std::string	familyName () const
Period	tenor () const
Natural	fixingDays () const
const Currency &	currency () const
const DayCounter &	dayCounter () const
virtual Date	fixingDate (const Date &valueDate) const
virtual Date	valueDate (const Date &fixingDate) const
Public Member Functions inherited from Index
bool	hasHistoricalFixing (const Date &fixingDate) const
	returns whether a historical fixing was stored for the given date
virtual Real	pastFixing (const Date &fixingDate) const
	returns a past fixing at the given date
const TimeSeries< Real > &	timeSeries () const
	returns the fixing TimeSeries
virtual bool	allowsNativeFixings ()
	check if index allows for native fixings.
void	update () override
virtual void	addFixing (const Date &fixingDate, Real fixing, bool forceOverwrite=false)
void	addFixings (const TimeSeries< Real > &t, bool forceOverwrite=false)
	stores historical fixings from a TimeSeries
template<class DateIterator, class ValueIterator>
void	addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false)
	stores historical fixings at the given dates
void	clearFixings ()
	clears all stored historical fixings
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const 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	deepUpdate ()

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
ext::shared_ptr< Observable >	notifier () const
BusinessDayConvention	convention_
Handle< YieldTermStructure >	termStructure_
bool	endOfMonth_
std::string	familyName_
Period	tenor_
Natural	fixingDays_
Currency	currency_
DayCounter	dayCounter_
std::string	name_

Detailed Description

CDOR rate

Canadian Dollar Offered Rate fixed by IDA.

Conventions are taken from a number of sources including OpenGamma "Interest Rate Instruments and Market Conventions Guide", BBG, IKON.

Warning

This is the rate fixed in Canada by IDA. Use CADLibor if you're interested in the London fixing by BBA.