#include <custom.hpp>
Inheritance diagram for CustomIborIndex:
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Public Member Functions | |
| CustomIborIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, const Calendar &valueCalendar, const Calendar &maturityCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h={}) | |
InterestRateIndex interface | |
| Date | fixingDate (const Date &valueDate) const override |
| Date | valueDate (const Date &fixingDate) const override |
| Date | maturityDate (const Date &valueDate) const override |
IborIndex interface | |
| ext::shared_ptr< IborIndex > | clone (const Handle< YieldTermStructure > &h) const override |
| returns a copy of itself linked to a different forwarding curve More... | |
| Public Member Functions inherited from IborIndex | |
| IborIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Handle< YieldTermStructure > h={}) | |
| Date | maturityDate (const Date &valueDate) const override |
| Rate | forecastFixing (const Date &fixingDate) const override |
| It can be overridden to implement particular conventions. More... | |
| BusinessDayConvention | businessDayConvention () const |
| bool | endOfMonth () const |
| Handle< YieldTermStructure > | forwardingTermStructure () const |
| the curve used to forecast fixings More... | |
| Public Member Functions inherited from InterestRateIndex | |
| InterestRateIndex (std::string familyName, const Period &tenor, Natural settlementDays, Currency currency, Calendar fixingCalendar, DayCounter dayCounter) | |
| 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... | |
| std::string | familyName () const |
| Period | tenor () const |
| Natural | fixingDays () const |
| const Currency & | currency () const |
| const DayCounter & | dayCounter () const |
| 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 () |
Other inspectors | |
| Calendar | valueCalendar_ |
| Calendar | maturityCalendar_ |
| Calendar | valueCalendar () const |
| Calendar | maturityCalendar () const |
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 |
| Protected Attributes inherited from IborIndex | |
| BusinessDayConvention | convention_ |
| Handle< YieldTermStructure > | termStructure_ |
| bool | endOfMonth_ |
| Protected Attributes inherited from InterestRateIndex | |
| std::string | familyName_ |
| Period | tenor_ |
| Natural | fixingDays_ |
| Currency | currency_ |
| DayCounter | dayCounter_ |
| std::string | name_ |
Detailed Description
LIBOR-like index that allows specifying custom calendars for value and maturity dates calculations:
valueDate() advances on the valueCalendar and adjusts on the maturityCalendar.
maturityDate() advances on the maturityCalendar.
fixingDate() goes back on the valueCalendar.
Typical LIBOR indexes use:
fixingCalendar = valueCalendar = UK, maturityCalendar = JoinHolidays(UK, CurrencyCalendar) for non-EUR currencies.
fixingCalendar = JoinHolidays(UK, TARGET), valueCalendar = maturityCalendar = TARGET for EUR.
Definition at line 28 of file custom.hpp.
Constructor & Destructor Documentation
◆ CustomIborIndex()
| CustomIborIndex | ( | const std::string & | familyName, |
| const Period & | tenor, | ||
| Natural | settlementDays, | ||
| const Currency & | currency, | ||
| const Calendar & | fixingCalendar, | ||
| const Calendar & | valueCalendar, | ||
| const Calendar & | maturityCalendar, | ||
| BusinessDayConvention | convention, | ||
| bool | endOfMonth, | ||
| const DayCounter & | dayCounter, | ||
| const Handle< YieldTermStructure > & | h = {} |
||
| ) |
Definition at line 7 of file custom.cpp.
Member Function Documentation
◆ fixingDate()
Reimplemented from InterestRateIndex.
Definition at line 22 of file custom.cpp.
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◆ valueDate()
Reimplemented from InterestRateIndex.
Definition at line 28 of file custom.cpp.
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◆ maturityDate()
Implements InterestRateIndex.
Definition at line 37 of file custom.cpp.
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◆ clone()
|
overridevirtual |
returns a copy of itself linked to a different forwarding curve
Reimplemented from IborIndex.
Definition at line 42 of file custom.cpp.
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◆ valueCalendar()
| Calendar valueCalendar | ( | ) | const |
Definition at line 53 of file custom.hpp.
◆ maturityCalendar()
| Calendar maturityCalendar | ( | ) | const |
Definition at line 54 of file custom.hpp.
Member Data Documentation
◆ valueCalendar_
|
private |
Definition at line 57 of file custom.hpp.
◆ maturityCalendar_
|
private |
Definition at line 58 of file custom.hpp.