Index Class Reference

purely virtual base class for indexes More...

#include <index.hpp>

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Public Member Functions
	~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...
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 ()

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 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...
ext::shared_ptr< Observable >	notifier () const
void	checkNativeFixingsAllowed ()
	check if index allows for native fixings More...

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"

Definition at line 45 of file index.hpp.

Constructor & Destructor Documentation

~Index()

~Index ( )

overridedefault

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.

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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 InflationIndex, CommodityIndex, BMAIndex, EquityIndex, and InterestRateIndex.

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hasHistoricalFixing()

bool hasHistoricalFixing

(

const Date &

fixingDate

)

const

returns whether a historical fixing was stored for the given date

Definition at line 125 of file index.hpp.

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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, ZeroInflationIndex, YoYInflationIndex, InterestRateIndex, and InflationIndex.

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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 SwapSpreadIndex, ZeroInflationIndex, YoYInflationIndex, and InflationIndex.

Definition at line 131 of file index.hpp.

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timeSeries()

const TimeSeries< Real > & timeSeries

(

)

const

returns the fixing TimeSeries

Definition at line 71 of file index.hpp.

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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.

Definition at line 80 of file index.hpp.

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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.

Definition at line 136 of file index.hpp.

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addFixing()

void addFixing ( const Date &  fixingDate, Real  fixing, bool  forceOverwrite = false  )

virtual

Reimplemented in InflationIndex.

Definition at line 24 of file index.cpp.

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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.

Definition at line 31 of file index.cpp.

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addFixings() [2/2]

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.

Definition at line 100 of file index.hpp.

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clearFixings()

void clearFixings

(

)

clears all stored historical fixings

Definition at line 43 of file index.cpp.

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notifier()

ext::shared_ptr< Observable > notifier ( ) const

protected

Definition at line 113 of file index.hpp.

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checkNativeFixingsAllowed()

void checkNativeFixingsAllowed ( )

private

check if index allows for native fixings

Definition at line 50 of file index.cpp.

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