#include <ored/scripting/utilities.hpp>

Collaboration diagram for IndexInfo:

Public Member Functions
	IndexInfo (const std::string &name, const QuantLib::ext::shared_ptr< Market > &market=nullptr)

std::string	name () const

bool	isFx () const

bool	isEq () const

bool	isComm () const

bool	isIr () const

bool	isIrIbor () const

bool	isIrSwap () const

bool	isInf () const

bool	isGeneric () const

QuantLib::ext::shared_ptr< FxIndex >	fx () const

QuantLib::ext::shared_ptr< EquityIndex2 >	eq () const

QuantLib::ext::shared_ptr< QuantExt::CommodityIndex >	comm (const Date &obsDate=Date()) const

QuantLib::ext::shared_ptr< InterestRateIndex >	ir () const

QuantLib::ext::shared_ptr< IborIndex >	irIbor () const

QuantLib::ext::shared_ptr< FallbackIborIndex >	irIborFallback (const IborFallbackConfig &iborFallbackConfig, const Date &asof=QuantLib::Date::maxDate()) const

QuantLib::ext::shared_ptr< FallbackOvernightIndex >	irOvernightFallback (const IborFallbackConfig &iborFallbackConfig, const Date &asof=QuantLib::Date::maxDate()) const

QuantLib::ext::shared_ptr< SwapIndex >	irSwap () const

QuantLib::ext::shared_ptr< ZeroInflationIndex >	inf () const

QuantLib::ext::shared_ptr< Index >	generic () const

QuantLib::ext::shared_ptr< Index >	index (const Date &obsDate=Date()) const

std::string	commName () const

std::string	infName () const

bool	operator== (const IndexInfo &j) const

bool	operator!= (const IndexInfo &j) const

bool	operator< (const IndexInfo &j) const

bool	operator> (const IndexInfo &j) const

bool	operator<= (const IndexInfo &j) const

bool	operator>= (const IndexInfo &j) const

Private Attributes
std::string	name_

QuantLib::ext::shared_ptr< Market >	market_

bool	isFx_

bool	isEq_

bool	isComm_

bool	isIr_

bool	isInf_

bool	isIrIbor_

bool	isIrSwap_

bool	isGeneric_

QuantLib::ext::shared_ptr< FxIndex >	fx_

QuantLib::ext::shared_ptr< EquityIndex2 >	eq_

QuantLib::ext::shared_ptr< InterestRateIndex >	ir_

QuantLib::ext::shared_ptr< IborIndex >	irIbor_

QuantLib::ext::shared_ptr< SwapIndex >	irSwap_

QuantLib::ext::shared_ptr< ZeroInflationIndex >	inf_

QuantLib::ext::shared_ptr< Index >	generic_

std::string	commName_

std::string	infName_

Detailed Description

helper class that takes and index name string and provides the index type and a parsed version of the index with no market data attached
commodity indices can be of the extended form for scripting, see parseScriptedCommodityIndex for details
if a market is given, the class attempts to retrieve an eq index from the market, so that it has the correct business day calendar (market curve will be attached to the index too in this case)

Definition at line 93 of file utilities.hpp.

Constructor & Destructor Documentation

◆ IndexInfo()

IndexInfo	(	const std::string &	name,
		const QuantLib::ext::shared_ptr< Market > &	market = `nullptr`
	)

explicit

Definition at line 388 of file utilities.cpp.

                                                                                       : name_(name), market_(market) {
    isFx_ = isEq_ = isComm_ = isIr_ = isInf_ = isIrIbor_ = isIrSwap_ = isGeneric_ = false;
    bool done = false;
    // first handle the index types that we can recognise by a prefix
    if (boost::starts_with(name, "COMM-")) {
        // index will be created on the fly, since it depends on the obsDate in general
        isComm_ = done = true;
        std::vector<std::string> tokens;
        boost::split(tokens, name, boost::is_any_of("#!"));
        QL_REQUIRE(!tokens.empty(), "IndexInfo: no commodity name found for '" << name << "'");
        commName_ = parseCommodityIndex(tokens.front())->underlyingName();
    } else if (boost::starts_with(name, "FX-")) {
        // parse fx index using conventions
        fx_ = parseFxIndex(name, Handle<Quote>(), Handle<YieldTermStructure>(), Handle<YieldTermStructure>(), true);
        isFx_ = done = true;
    } else if (boost::starts_with(name, "EQ-")) {
        eq_ = parseEquityIndex(name);
        if (market_ != nullptr) {
            try {
                eq_ = *market_->equityCurve(eq_->name());
            } catch (...) {
            }
        }
        isEq_ = done = true;
    } else if (boost::starts_with(name, "GENERIC-")) {
        generic_ = parseGenericIndex(name);
        isGeneric_ = done = true;
    }
    // no easy way to see if it is an Ibor index, so try and error
    if (!done) {
        try {
            irIbor_ = parseIborIndex(name);
            ir_ = irIbor_;
            isIr_ = isIrIbor_ = done = true;
        } catch (...) {
        }
    }
    // same for swap
    if (!done) {
        try {
            irSwap_ = parseSwapIndex(name, Handle<YieldTermStructure>(), Handle<YieldTermStructure>());
            ir_ = irSwap_;
            isIr_ = isIrSwap_ = done = true;
        } catch (...) {
        }
    }
    // and same for inflation
    if (!done) {
        try {
            auto res = parseScriptedInflationIndex(name);
            inf_ = res.first;
            infName_ = res.second;
            isInf_ = done = true;
        } catch (...) {
        }
    }
    QL_REQUIRE(done, "Could not build index info for '"
                         << name
                         << "', expected a valid COMM, FX, EQ, GENERIC, Ibor, Swap, Inflation index identifier.");
}

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Member Function Documentation