InterestRateIndex Class Reference

base class for interest rate indexes More...

#include <ql/indexes/interestrateindex.hpp>

Inheritance diagram for InterestRateIndex:

Public Member Functions
	InterestRateIndex (std::string familyName, const Period &tenor, Natural settlementDays, Currency currency, Calendar fixingCalendar, DayCounter dayCounter)
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
Rate	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
	returns the fixing at the given date
Inspectors
std::string	familyName () const
Period	tenor () const
Natural	fixingDays () const
const Currency &	currency () const
const DayCounter &	dayCounter () const
Date calculations
These method can be overridden to implement particular conventions (e.g. EurLibor)
virtual Date	fixingDate (const Date &valueDate) const
virtual Date	valueDate (const Date &fixingDate) const
virtual Date	maturityDate (const Date &valueDate) const =0
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 ()

Fixing calculations
std::string	familyName_
Period	tenor_
Natural	fixingDays_
Currency	currency_
DayCounter	dayCounter_
std::string	name_
virtual Rate	forecastFixing (const Date &fixingDate) const =0
	It can be overridden to implement particular conventions.

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

Detailed Description

base class for interest rate indexes

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()

Rate 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.

forecastFixing()

virtual Rate forecastFixing ( const Date & fixingDate ) const

pure virtual

It can be overridden to implement particular conventions.

Implemented in BMAIndex, Cdi, IborIndex, SwapIndex, and SwapSpreadIndex.