IndexInfo Class Reference

#include <ored/scripting/utilities.hpp>

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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

name()

std::string name

(

)

const

Definition at line 98 of file utilities.hpp.

{ return name_; }

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isFx()

bool isFx

(

)

const

Definition at line 100 of file utilities.hpp.

{ return isFx_; }

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isEq()

bool isEq

(

)

const

Definition at line 101 of file utilities.hpp.

{ return isEq_; }

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isComm()

bool isComm

(

)

const

Definition at line 102 of file utilities.hpp.

{ return isComm_; }

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isIr()

bool isIr

(

)

const

Definition at line 103 of file utilities.hpp.

{ return isIr_; }

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isIrIbor()

bool isIrIbor

(

)

const

Definition at line 104 of file utilities.hpp.

{ return isIrIbor_; }

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isIrSwap()

bool isIrSwap

(

)

const

Definition at line 105 of file utilities.hpp.

{ return isIrSwap_; }

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isInf()

bool isInf

(

)

const

Definition at line 106 of file utilities.hpp.

{ return isInf_; }

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isGeneric()

bool isGeneric

(

)

const

Definition at line 107 of file utilities.hpp.

{ return isGeneric_; }

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fx()

QuantLib::ext::shared_ptr< FxIndex > fx

(

)

const

Definition at line 109 of file utilities.hpp.

{ return fx_; }

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eq()

QuantLib::ext::shared_ptr< EquityIndex2 > eq

(

)

const

Definition at line 110 of file utilities.hpp.

{ return eq_; }

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comm()

QuantLib::ext::shared_ptr< CommodityIndex > comm

(

const Date &

obsDate = Date()

)

const

Definition at line 467 of file utilities.cpp.

                                                                               {
    if (isComm())
        return parseScriptedCommodityIndex(name(), obsDate);
    else
        return nullptr;
}

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ir()

QuantLib::ext::shared_ptr< InterestRateIndex > ir

(

)

const

Definition at line 114 of file utilities.hpp.

{ return ir_; }

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irIbor()

QuantLib::ext::shared_ptr< IborIndex > irIbor

(

)

const

Definition at line 115 of file utilities.hpp.

{ return irIbor_; }

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irIborFallback()

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

Definition at line 501 of file utilities.cpp.

                                                                                       {
    if (isIrIbor_ && iborFallbackConfig.isIndexReplaced(name_, asof)) {
        auto data = iborFallbackConfig.fallbackData(name_);
        // we don't support convention based rfr fallback indices, with ore ticket 1758 this might change
        auto on = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(parseIborIndex(data.rfrIndex));
        QL_REQUIRE(on, "IndexInfo::irIborFallback(): could not cast rfr index '"
                           << data.rfrIndex << "' for ibor fallback index '" << name_ << "' to an overnight index");
        return QuantLib::ext::make_shared<FallbackIborIndex>(irIbor_, on, data.spread, data.switchDate, false);
    }
    return nullptr;
}

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irOvernightFallback()

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

Definition at line 514 of file utilities.cpp.

                                                             {
    if (isIrIbor_ && iborFallbackConfig.isIndexReplaced(name_, asof)) {
        auto data = iborFallbackConfig.fallbackData(name_);
        // we don't support convention based rfr fallback indices, with ore ticket 1758 this might change
        auto on = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(parseIborIndex(data.rfrIndex));
        QL_REQUIRE(on, "IndexInfo::irIborFallback(): could not cast rfr index '"
                           << data.rfrIndex << "' for ibor fallback index '" << name_ << "' to an overnight index");
        if (auto original = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(irIbor_))
        return QuantLib::ext::make_shared<FallbackOvernightIndex>(original, on, data.spread, data.switchDate, false);
    else
        return nullptr;
    }
    return nullptr;
}

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irSwap()

QuantLib::ext::shared_ptr< SwapIndex > irSwap

(

)

const

Definition at line 122 of file utilities.hpp.

{ return irSwap_; }

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inf()

QuantLib::ext::shared_ptr< ZeroInflationIndex > inf

(

)

const

Definition at line 123 of file utilities.hpp.

{ return inf_; }

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generic()

QuantLib::ext::shared_ptr< Index > generic

(

)

const

Definition at line 124 of file utilities.hpp.

{ return generic_; }

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index()

QuantLib::ext::shared_ptr< Index > index

(

const Date &

obsDate = Date()

)

const

Definition at line 449 of file utilities.cpp.

                                                                       {
    if (isFx_)
        return fx_;
    else if (isEq_)
        return eq_;
    else if (isIr_)
        return ir_;
    else if (isInf_)
        return inf_;
    else if (isGeneric_)
        return generic_;
    else if (isComm_) {
        return comm(obsDate);
    } else {
        QL_FAIL("could not parse index '" << name_ << "'");
    }
}

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commName()

std::string commName

(

)

const

Definition at line 474 of file utilities.cpp.

                                    {
    QL_REQUIRE(isComm(), "IndexInfo::commName(): commodity index required, got " << *this);
    return commName_;
}

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infName()

std::string infName

(

)

const

Definition at line 479 of file utilities.cpp.

                                   {
    QL_REQUIRE(isInf(), "IndexInfo::infName(): inflation index required, got " << *this);
    return infName_;
}

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operator==()

bool operator==

(

const IndexInfo &

j

)

const

Definition at line 133 of file utilities.hpp.

{ return name() == j.name(); }

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operator!=()

bool operator!=

(

const IndexInfo &

j

)

const

Definition at line 134 of file utilities.hpp.

{ return !(*this == j); }

operator<()

bool operator<

(

const IndexInfo &

j

)

const

Definition at line 135 of file utilities.hpp.

{ return name() < j.name(); }

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operator>()

bool operator>

(

const IndexInfo &

j

)

const

Definition at line 136 of file utilities.hpp.

{ return j < (*this); }

operator<=()

bool operator<=

(

const IndexInfo &

j

)

const

Definition at line 137 of file utilities.hpp.

{ return !((*this) > j); }

operator>=()

bool operator>=

(

const IndexInfo &

j

)

const

Definition at line 138 of file utilities.hpp.

{ return !((*this) < j); }

Member Data Documentation

name_

std::string name_

private

Definition at line 141 of file utilities.hpp.

market_

QuantLib::ext::shared_ptr<Market> market_

private

Definition at line 142 of file utilities.hpp.

isFx_

bool isFx_

private

Definition at line 143 of file utilities.hpp.

isEq_

bool isEq_

private

Definition at line 143 of file utilities.hpp.

isComm_

bool isComm_

private

Definition at line 143 of file utilities.hpp.

isIr_

bool isIr_

private

Definition at line 143 of file utilities.hpp.

isInf_

bool isInf_

private

Definition at line 143 of file utilities.hpp.

isIrIbor_

bool isIrIbor_

private

Definition at line 143 of file utilities.hpp.

isIrSwap_

bool isIrSwap_

private

Definition at line 143 of file utilities.hpp.

isGeneric_

bool isGeneric_

private

Definition at line 143 of file utilities.hpp.

fx_

QuantLib::ext::shared_ptr<FxIndex> fx_

private

Definition at line 144 of file utilities.hpp.

eq_

QuantLib::ext::shared_ptr<EquityIndex2> eq_

private

Definition at line 145 of file utilities.hpp.

ir_

QuantLib::ext::shared_ptr<InterestRateIndex> ir_

private

Definition at line 146 of file utilities.hpp.

irIbor_

QuantLib::ext::shared_ptr<IborIndex> irIbor_

private

Definition at line 147 of file utilities.hpp.

irSwap_

QuantLib::ext::shared_ptr<SwapIndex> irSwap_

private

Definition at line 148 of file utilities.hpp.

inf_

QuantLib::ext::shared_ptr<ZeroInflationIndex> inf_

private

Definition at line 149 of file utilities.hpp.

generic_

QuantLib::ext::shared_ptr<Index> generic_

private

Definition at line 150 of file utilities.hpp.

commName_

std::string commName_

private

Definition at line 151 of file utilities.hpp.

infName_

std::string infName_

private

Definition at line 151 of file utilities.hpp.