Index Class Reference

purely virtual base class for indexes More...

#include <ql/index.hpp>

Inheritance diagram for Index:

Public Member Functions
virtual std::string	name () const =0
	Returns the name of the index.
virtual Calendar	fixingCalendar () const =0
	returns the calendar defining valid fixing dates
virtual bool	isValidFixingDate (const Date &fixingDate) const =0
	returns TRUE if the fixing date is a valid one
bool	hasHistoricalFixing (const Date &fixingDate) const
	returns whether a historical fixing was stored for the given date
virtual Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const =0
	returns the fixing at 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.
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 ()

Observer interface
stores the historical 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.
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
ext::shared_ptr< Observable >	notifier () const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

purely virtual base class for indexes

Warning

this class performs no check that the provided/requested fixings are for dates in the past, i.e. for dates less than or equal to the evaluation date. It is up to the client code to take care of possible inconsistencies due to "seeing in the future"

Member Function Documentation

name()

virtual std::string name ( ) const

pure virtual

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.

Implemented in CommodityIndex, EquityIndex, InflationIndex, and InterestRateIndex.

fixingCalendar()

virtual Calendar fixingCalendar ( ) const

pure virtual

returns the calendar defining valid fixing dates

Implemented in CommodityIndex, EquityIndex, InflationIndex, and InterestRateIndex.

isValidFixingDate()

virtual bool isValidFixingDate ( const Date & fixingDate ) const

pure virtual

returns TRUE if the fixing date is a valid one

Implemented in BMAIndex, CommodityIndex, EquityIndex, InflationIndex, and InterestRateIndex.

fixing()

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

pure virtual

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.

Implemented in CommodityIndex, EquityIndex, InflationIndex, InterestRateIndex, YoYInflationIndex, and ZeroInflationIndex.

pastFixing()

Real pastFixing ( const Date & fixingDate ) const

virtual

returns a past 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.

Reimplemented in InflationIndex, SwapSpreadIndex, YoYInflationIndex, and ZeroInflationIndex.

allowsNativeFixings()

virtual bool allowsNativeFixings ( )

virtual

check if index allows for native fixings.

If this returns false, calls to addFixing and similar methods will raise an exception.

Reimplemented in SwapSpreadIndex.

update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

addFixings() [1/2]

void addFixings	(	const TimeSeries< Real > &	t,
		bool	forceOverwrite = false )

stores historical fixings from a TimeSeries

the dates in the TimeSeries must be the actual calendar dates of the fixings; no settlement days must be used.

addFixings() [2/2]

template<class DateIterator, class ValueIterator>

void addFixings	(	DateIterator	dBegin,
		DateIterator	dEnd,
		ValueIterator	vBegin,
		bool	forceOverwrite = false )

stores historical fixings at the given dates

the dates passed as arguments must be the actual calendar dates of the fixings; no settlement days must be used.