BRLCdi Class Reference

BRL-CDI index. More...

#include <qle/indexes/ibor/brlcdi.hpp>

Inheritance diagram for BRLCdi:

Collaboration diagram for BRLCdi:

Public Member Functions
	BRLCdi (const QuantLib::Handle< QuantLib::YieldTermStructure > &h=QuantLib::Handle< QuantLib::YieldTermStructure >())
InterestRateIndex interface
QuantLib::Rate	forecastFixing (const QuantLib::Date &fixingDate) const override
IborIndex interface
QuantLib::ext::shared_ptr< IborIndex >	clone (const QuantLib::Handle< QuantLib::YieldTermStructure > &h) const override

Detailed Description

BRL-CDI index.

Definition at line 36 of file brlcdi.hpp.

Constructor & Destructor Documentation

BRLCdi()

BRLCdi

(

const QuantLib::Handle< QuantLib::YieldTermStructure > &

h = QuantLib::Handle<QuantLib::YieldTermStructure>()

)

Definition at line 38 of file brlcdi.hpp.

        : QuantLib::OvernightIndex("BRL-CDI", 0, QuantLib::BRLCurrency(),
                                   QuantLib::Brazil(QuantLib::Brazil::Settlement), QuantLib::Business252(), h) {}

Member Function Documentation

forecastFixing()

Rate forecastFixing ( const QuantLib::Date &  fixingDate ) const

override

Definition at line 26 of file brlcdi.cpp.

                                                        {
 
    Date startDate = valueDate(fixingDate);
    Date endDate = maturityDate(startDate);
    Time dcf = dayCounter_.yearFraction(startDate, endDate);
 
    // Some checks
    QL_REQUIRE(dcf > 0.0, "Cannot calculate " << name() << " forward rate between " << startDate << " and " << endDate
                                              << ": non positive time (" << dcf << ") using " << dayCounter_.name()
                                              << " daycounter");
 
    QL_REQUIRE(!termStructure_.empty(),
               "Cannot calculate " << name() << " forward rate because term structure is empty");
 
    // For BRL CDI, we want:
    // DI(t, t_s, t_e) =  \left[ \frac{P(t, t_s)}{P(t, t_e)} \right] ^ {\frac{1}{\tau(t_s, t_e)}} - 1
    DiscountFactor discountStart = termStructure_->discount(startDate);
    DiscountFactor discountEnd = termStructure_->discount(endDate);
    return pow(discountStart / discountEnd, 1.0 / dcf) - 1.0;
}

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clone()

QuantLib::ext::shared_ptr< IborIndex > clone ( const QuantLib::Handle< QuantLib::YieldTermStructure > &  h ) const

override

Definition at line 47 of file brlcdi.cpp.

                                                                                        {
    return QuantLib::ext::make_shared<BRLCdi>(h);
}