CustomIborIndex Class Reference

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

Inheritance diagram for CustomIborIndex:

Public Member Functions
	CustomIborIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, Calendar valueCalendar, Calendar maturityCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h={})
InterestRateIndex interface
Date	fixingDate (const Date &valueDate) const override
Date	valueDate (const Date &fixingDate) const override
Date	maturityDate (const Date &valueDate) const override
IborIndex interface
ext::shared_ptr< IborIndex >	clone (const Handle< YieldTermStructure > &h) const override
	returns a copy of itself linked to a different forwarding curve
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
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
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 ()

Other inspectors
Calendar	valueCalendar () const
Calendar	maturityCalendar () const

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

LIBOR-like index that allows specifying custom calendars for value and maturity dates calculations:

valueDate() advances on the valueCalendar and adjusts on the maturityCalendar.

maturityDate() advances on the maturityCalendar.

fixingDate() goes back on the valueCalendar.

Typical LIBOR indexes use:

fixingCalendar = valueCalendar = UK, maturityCalendar = JoinHolidays(UK, CurrencyCalendar) for non-EUR currencies.

fixingCalendar = JoinHolidays(UK, TARGET), valueCalendar = maturityCalendar = TARGET for EUR.

Member Function Documentation

fixingDate()

Date fixingDate ( const Date & valueDate ) const

overridevirtual

Reimplemented from InterestRateIndex.

valueDate()

Date valueDate ( const Date & fixingDate ) const

overridevirtual

Reimplemented from InterestRateIndex.

maturityDate()

Date maturityDate ( const Date & valueDate ) const

overridevirtual

Implements InterestRateIndex.

clone()

ext::shared_ptr< IborIndex > clone ( const Handle< YieldTermStructure > & forwarding ) const

overridevirtual

returns a copy of itself linked to a different forwarding curve

Reimplemented from IborIndex.