base class for interest rate indexes More...
#include <interestrateindex.hpp>
Inheritance diagram for InterestRateIndex:
Collaboration 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. More... | |
| Calendar | fixingCalendar () const override |
| returns the calendar defining valid fixing dates More... | |
| bool | isValidFixingDate (const Date &fixingDate) const override |
| returns TRUE if the fixing date is a valid one More... | |
| Rate | fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override |
| returns the fixing at the given date More... | |
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 | |
| ~Index () override=default | |
| virtual std::string | name () const =0 |
| Returns the name of the index. More... | |
| virtual Calendar | fixingCalendar () const =0 |
| returns the calendar defining valid fixing dates More... | |
| virtual bool | isValidFixingDate (const Date &fixingDate) const =0 |
| returns TRUE if the fixing date is a valid one More... | |
| bool | hasHistoricalFixing (const Date &fixingDate) const |
| returns whether a historical fixing was stored for the given date More... | |
| virtual Real | fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const =0 |
| returns the fixing at the given date More... | |
| virtual Real | pastFixing (const Date &fixingDate) const |
| returns a past fixing at the given date More... | |
| const TimeSeries< Real > & | timeSeries () const |
| returns the fixing TimeSeries More... | |
| virtual bool | allowsNativeFixings () |
| check if index allows for native fixings. More... | |
| 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 More... | |
| template<class DateIterator , class ValueIterator > | |
| void | addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false) |
| stores historical fixings at the given dates More... | |
| void | clearFixings () |
| clears all stored historical fixings More... | |
| Public Member Functions inherited from Observable | |
| Observable ()=default | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~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 | update ()=0 |
| virtual void | deepUpdate () |
Fixing calculations | |
| std::string | familyName_ |
| Period | tenor_ |
| Natural | fixingDays_ |
| Currency | currency_ |
| DayCounter | dayCounter_ |
| std::string | name_ |
| Calendar | fixingCalendar_ |
| virtual Rate | forecastFixing (const Date &fixingDate) const =0 |
| It can be overridden to implement particular conventions. More... | |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from Index | |
| ext::shared_ptr< Observable > | notifier () const |
Detailed Description
base class for interest rate indexes
Definition at line 39 of file interestrateindex.hpp.
Constructor & Destructor Documentation
◆ InterestRateIndex()
| InterestRateIndex | ( | std::string | familyName, |
| const Period & | tenor, | ||
| Natural | settlementDays, | ||
| Currency | currency, | ||
| Calendar | fixingCalendar, | ||
| DayCounter | dayCounter | ||
| ) |
Member Function Documentation
◆ name()
|
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.
Definition at line 92 of file interestrateindex.hpp.
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◆ fixingCalendar()
|
overridevirtual |
returns the calendar defining valid fixing dates
Implements Index.
Definition at line 96 of file interestrateindex.hpp.
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◆ isValidFixingDate()
returns TRUE if the fixing date is a valid one
Implements Index.
Definition at line 100 of file interestrateindex.hpp.
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◆ fixing()
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.
Definition at line 63 of file interestrateindex.cpp.
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◆ familyName()
| std::string familyName | ( | ) | const |
◆ tenor()
| Period tenor | ( | ) | const |
◆ fixingDays()
| Natural fixingDays | ( | ) | const |
◆ currency()
| const Currency & currency | ( | ) | const |
◆ dayCounter()
| const DayCounter & dayCounter | ( | ) | const |
◆ fixingDate()
Reimplemented in CustomIborIndex, and EURLibor.
Definition at line 104 of file interestrateindex.hpp.
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◆ valueDate()
Reimplemented in CustomIborIndex, EURLibor, and Libor.
Definition at line 110 of file interestrateindex.hpp.
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◆ maturityDate()
Implemented in SwapSpreadIndex, BMAIndex, CustomIborIndex, EURLibor, Libor, IborIndex, and SwapIndex.
◆ forecastFixing()
It can be overridden to implement particular conventions.
Implemented in ProxyIbor, SwapSpreadIndex, BMAIndex, IborIndex, and SwapIndex.
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Member Data Documentation
◆ familyName_
|
protected |
Definition at line 79 of file interestrateindex.hpp.
◆ tenor_
|
protected |
Definition at line 80 of file interestrateindex.hpp.
◆ fixingDays_
|
protected |
Definition at line 81 of file interestrateindex.hpp.
◆ currency_
|
protected |
Definition at line 82 of file interestrateindex.hpp.
◆ dayCounter_
|
protected |
Definition at line 83 of file interestrateindex.hpp.
◆ name_
|
protected |
Definition at line 84 of file interestrateindex.hpp.
◆ fixingCalendar_
|
private |
Definition at line 86 of file interestrateindex.hpp.