EquityIndex Class Reference

Base class for equity indexes. More...

#include <ql/indexes/equityindex.hpp>

Inheritance diagram for EquityIndex:

Public Member Functions
	EquityIndex (std::string name, Calendar fixingCalendar, Currency currency, Handle< YieldTermStructure > interest={}, Handle< YieldTermStructure > dividend={}, Handle< Quote > spot={})
	EquityIndex (std::string name, Calendar fixingCalendar, Handle< YieldTermStructure > interest={}, Handle< YieldTermStructure > dividend={}, Handle< Quote > spot={})
Index interface
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
Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
	returns the fixing at the given date
Inspectors
Currency	currency () const
	The index currency.
Handle< YieldTermStructure >	equityInterestRateCurve () const
	the rate curve used to forecast fixings
Handle< YieldTermStructure >	equityDividendCurve () const
	the dividend curve used to forecast fixings
Handle< Quote >	spot () const
	index spot value
Fixing calculations
virtual Real	forecastFixing (const Date &fixingDate) const
	It can be overridden to implement particular conventions.
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 methods
virtual ext::shared_ptr< EquityIndex >	clone (const Handle< YieldTermStructure > &interest, const Handle< YieldTermStructure > &dividend, const Handle< Quote > &spot) const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
ext::shared_ptr< Observable >	notifier () const

Detailed Description

Base class for equity indexes.

The equity index object allows to retrieve past fixings, as well as project future fixings using either both the risk free interest rate term structure and the dividend term structure, or just the interest rate term structure in which case one can provide a term structure of equity forwards implied from, e.g. option prices.

In case of the first method, the forward is calculated as:

\[I(t, T) = I(t, t) \frac{P_{D}(t, T)}{P_{R}(t, T)}, \]

where \( I(t, t) \) is today's value of the index, \( P_{D}(t, T) \) is a discount factor of the dividend curve at future time \( T \), and \( P_{R}(t, T) \) is a discount factor of the risk free curve at future time \( T \).

In case of the latter method, the forward is calculated as:

\[I(t, T) = I(t, t) \frac{1}{P_{F}(t, T)}, \]

where \( P_{F}(t, T) \) is a discount factor of the equity forward term structure.

To forecast future fixings, the user can either provide a handle to the current index spot. If spot handle is empty, today's fixing will be used, instead.

Constructor & Destructor Documentation

EquityIndex()

EquityIndex	(	std::string	name,
		Calendar	fixingCalendar,
		Handle< YieldTermStructure >	interest = {},
		Handle< YieldTermStructure >	dividend = {},
		Handle< Quote >	spot = {} )

Deprecated

Use the constructor taking a currency. Deprecated in version 1.36.

Member Function Documentation

name()

std::string name ( ) const

overridevirtual

Returns the name of the index.

Warning

This method is used for output and comparison between indexes. It is not meant to be used for writing switch-on-type code.

Implements Index.

fixingCalendar()

Calendar fixingCalendar ( ) const

overridevirtual

returns the calendar defining valid fixing dates

Implements Index.

isValidFixingDate()

bool isValidFixingDate ( const Date & fixingDate ) const

overridevirtual

returns TRUE if the fixing date is a valid one

Implements Index.

fixing()

Real fixing ( const Date & fixingDate, bool forecastTodaysFixing = false ) const

overridevirtual

returns the fixing at the given date

the date passed as arguments must be the actual calendar date of the fixing; no settlement days must be used.

Implements Index.

clone()

virtual ext::shared_ptr< EquityIndex > clone ( const Handle< YieldTermStructure > & interest, const Handle< YieldTermStructure > & dividend, const Handle< Quote > & spot ) const

virtual

returns a copy of itself linked to different interest, dividend curves or spot quote