CompoEquityIndex Class Reference

#include <qle/indexes/compoequityindex.hpp>

Inheritance diagram for CompoEquityIndex:

Collaboration diagram for CompoEquityIndex:

Public Member Functions
	CompoEquityIndex (const QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > &source, const QuantLib::ext::shared_ptr< FxIndex > &fxIndex, const Date &dividendCutoffDate=Date())
QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 >	source () const
void	addDividend (const Dividend &dividend, bool forceOverwrite=false) override
	stores the historical dividend at the given date More...
const std::set< Dividend > &	dividendFixings () const override
Real	pastFixing (const Date &fixingDate) const override
	returns a past fixing at the given date More...
QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 >	clone (const Handle< Quote > spotQuote, const Handle< YieldTermStructure > &rate, const Handle< YieldTermStructure > &dividend) const override
Public Member Functions inherited from EquityIndex2
	EquityIndex2 (const std::string &familyName, const Calendar &fixingCalendar, const Currency &currency, const Handle< Quote > spotQuote=Handle< Quote >(), const Handle< YieldTermStructure > &rate=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &dividend=Handle< YieldTermStructure >())
std::string	name () const override
Currency	currency () const
Calendar	fixingCalendar () const override
bool	isValidFixingDate (const Date &fixingDate) const override
Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
Real	fixing (const Date &fixingDate, bool forecastTodaysFixing, bool incDividend) const
Real	dividendsBetweenDates (const Date &startDate, const Date &endDate) const
void	update () override
std::string	familyName () const
const Handle< Quote > &	equitySpot () const
const Handle< YieldTermStructure > &	equityForecastCurve () const
const Handle< YieldTermStructure > &	equityDividendCurve () const
virtual Real	forecastFixing (const Date &fixingDate) const
virtual Real	forecastFixing (const Time &fixingTime) const override
	returns the fixing at the given time More...
virtual Real	forecastFixing (const Date &fixingDate, bool incDividend) const
virtual Real	forecastFixing (const Time &fixingTime, bool incDividend) const
Public Member Functions inherited from EqFxIndexBase
virtual	~EqFxIndexBase ()
virtual Real	forecastFixing (const Time &fixingTime) const =0
	returns the fixing at the given time More...
virtual Real	pastFixing (const Date &fixingDate) const =0
	returns a past fixing at the given date More...

Private Member Functions
void	performCalculations () const override

Private Attributes
QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 >	source_
QuantLib::ext::shared_ptr< FxIndex >	fxIndex_
Date	dividendCutoffDate_
std::set< Dividend >	dividendFixings_

Additional Inherited Members
Protected Attributes inherited from EquityIndex2
std::string	familyName_
Currency	currency_
const Handle< YieldTermStructure >	rate_
const Handle< YieldTermStructure >	dividend_
std::string	name_
const Handle< Quote >	spotQuote_

Detailed Description

Definition at line 34 of file compoequityindex.hpp.

Constructor & Destructor Documentation

CompoEquityIndex()

CompoEquityIndex	(	const QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > &	source,
		const QuantLib::ext::shared_ptr< FxIndex > &	fxIndex,
		const Date &	dividendCutoffDate = Date()
	)

• fxIndex source ccy must be the equity ccy, fxIndex target ccy is the new equity ccy
• dividends before the divCutoffDate are ignored, this is useful since there have to be fixings for the fx index on all dividend dates which might not be available

Definition at line 27 of file compoequityindex.cpp.

    : QuantExt::EquityIndex2(source->familyName() + "_compo_" + fxIndex->targetCurrency().code(),
                  JointCalendar(source->fixingCalendar(), fxIndex->fixingCalendar()), fxIndex->targetCurrency(),
                  Handle<Quote>(QuantLib::ext::make_shared<CompositeQuote<std::function<Real(Real, Real)>>>(
                      source->equitySpot(), fxIndex->fxQuote(),
                      std::function<Real(Real, Real)>([](Real x, Real y) { return x * y; }))),
                  Handle<YieldTermStructure>(QuantLib::ext::make_shared<DiscountRatioModifiedCurve>(
                      source->equityForecastCurve(), fxIndex->targetCurve(), fxIndex->sourceCurve())),
                  source->equityDividendCurve()),
      source_(source), fxIndex_(fxIndex), dividendCutoffDate_(dividendCutoffDate) {
    LazyObject::registerWith(source_);
    LazyObject::registerWith(fxIndex_);
}

Member Function Documentation

source()

QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > source

(

)

const

Definition at line 42 of file compoequityindex.cpp.

{ return source_; }

addDividend()

void addDividend ( const Dividend &  fixing, bool  forceOverwrite = false  )

overridevirtual

stores the historical dividend at the given date

the date passed as arguments must be the actual calendar date of the dividend.

Reimplemented from EquityIndex2.

Definition at line 44 of file compoequityindex.cpp.

                                                                                {
    if (dividendCutoffDate_ == Date() || dividend.exDate >= dividendCutoffDate_) {
        Dividend newDiv(dividend.exDate, dividend.name, dividend.rate / fxIndex_->fixing(dividend.exDate),
                        dividend.payDate);
        source_->addDividend(newDiv, forceOverwrite);
        LazyObject::update();
    }
}

dividendFixings()

const std::set< Dividend > & dividendFixings ( ) const

overridevirtual

Reimplemented from EquityIndex2.

Definition at line 64 of file compoequityindex.cpp.

                                                                {
    calculate();
    return dividendFixings_;
}

pastFixing()

Real pastFixing ( const Date &  fixingDate ) const

overridevirtual

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 from EquityIndex2.

Definition at line 69 of file compoequityindex.cpp.

                                                              {
    return source_->fixing(fixingDate) * fxIndex_->fixing(fixingDate);
}

clone()

QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > clone ( const Handle< Quote >  spotQuote, const Handle< YieldTermStructure > &  rate, const Handle< YieldTermStructure > &  dividend  ) const

overridevirtual

Reimplemented from EquityIndex2.

Definition at line 73 of file compoequityindex.cpp.

                                                                                                         {
    return QuantLib::ext::make_shared<CompoEquityIndex>(source_->clone(spotQuote, rate, dividend), fxIndex_);
}

performCalculations()

void performCalculations ( ) const

overrideprivate

Definition at line 53 of file compoequityindex.cpp.

                                                 {
    dividendFixings_ = std::set<Dividend>();
    auto const& ts = source_->dividendFixings();
    for (auto const& d : ts) {
        if (dividendCutoffDate_ == Date() || d.exDate >= dividendCutoffDate_) {
            Dividend div(d.exDate, d.name, d.rate * fxIndex_->fixing(fxIndex_->fixingCalendar().adjust(d.exDate, Preceding)), d.payDate);
            dividendFixings_.insert(div);
        }
    }
}

Member Data Documentation

source_

QuantLib::ext::shared_ptr<QuantExt::EquityIndex2> source_

private

Definition at line 53 of file compoequityindex.hpp.

fxIndex_

QuantLib::ext::shared_ptr<FxIndex> fxIndex_

private

Definition at line 54 of file compoequityindex.hpp.

dividendCutoffDate_

Date dividendCutoffDate_

private

Definition at line 55 of file compoequityindex.hpp.

dividendFixings_

std::set<Dividend> dividendFixings_

mutableprivate

Definition at line 57 of file compoequityindex.hpp.