CompositeIndex Class Reference

#include <qle/indexes/compositeindex.hpp>

Inheritance diagram for CompositeIndex:

Collaboration diagram for CompositeIndex:

Public Member Functions
	CompositeIndex (const std::string &name, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Index > > &indices, const std::vector< Real > &weights, const std::vector< QuantLib::ext::shared_ptr< FxIndex > > &fxConversion={})
std::string	name () const override
	Index interface. More...
Calendar	fixingCalendar () const override
bool	isValidFixingDate (const Date &fixingDate) const override
Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
bool	allowsNativeFixings () override
void	update () override
	Observer interface. More...
const std::vector< QuantLib::ext::shared_ptr< QuantLib::Index > > &	indices () const
	Inspectors. More...
const std::vector< Real > &	weights () const
const std::vector< QuantLib::ext::shared_ptr< FxIndex > > &	fxConversion () const
Real	dividendsBetweenDates (const Date &startDate, const Date &endDate=Date::maxDate()) const
std::vector< std::pair< QuantLib::Date, std::string > >	dividendFixingDates (const Date &startDate, const Date &endDate=Date::maxDate())

Private Attributes
std::string	name_
std::vector< QuantLib::ext::shared_ptr< QuantLib::Index > >	indices_
std::vector< Real >	weights_
std::vector< QuantLib::ext::shared_ptr< FxIndex > >	fxConversion_
Calendar	fixingCalendar_

Detailed Description

Definition at line 35 of file compositeindex.hpp.

Constructor & Destructor Documentation

CompositeIndex()

CompositeIndex	(	const std::string &	name,
		const std::vector< QuantLib::ext::shared_ptr< QuantLib::Index > > &	indices,
		const std::vector< Real > &	weights,
		const std::vector< QuantLib::ext::shared_ptr< FxIndex > > &	fxConversion = {}
	)

fxConversion can be an empty vector or its length should match indices. For components that do not require a conversion, a nullptr should be given, otherwise a FxIndex with domestic ccy equal to the target currency of the index

Definition at line 28 of file compositeindex.cpp.

    : name_(name), indices_(indices), weights_(weights), fxConversion_(fxConversion) {
    QL_REQUIRE(indices_.size() == weights_.size(), "CompositeIndex: indices size (" << indices_.size()
                                                                                    << ") must match weights size ("
                                                                                    << weights_.size() << ")");
    QL_REQUIRE(fxConversion_.empty() || fxConversion_.size() == indices_.size(),
               "CompositeIndex: fx conversion size (" << fxConversion_.size() << ") must match indices size ("
                                                      << indices_.size() << ")");
 
    for (auto const& f : fxConversion) {
        registerWith(f);
    }
 
    std::vector<Calendar> cals;
    for (auto const& i : indices) {
        registerWith(i);
        cals.push_back(i->fixingCalendar());
    }
 
    fixingCalendar_ = JointCalendar(cals);
}

Here is the call graph for this function:

Member Function Documentation

name()

std::string name ( ) const

override

Index interface.

Definition at line 52 of file compositeindex.cpp.

{ return name_; }

Here is the caller graph for this function:

fixingCalendar()

Calendar fixingCalendar ( ) const

override

Definition at line 54 of file compositeindex.cpp.

{ return fixingCalendar_; }

Here is the caller graph for this function:

isValidFixingDate()

bool isValidFixingDate ( const Date &  fixingDate ) const

override

Definition at line 56 of file compositeindex.cpp.

                                                                   {
    return fixingCalendar_.isBusinessDay(fixingDate);
}

fixing()

Real fixing ( const Date &  fixingDate, bool  forecastTodaysFixing = false  ) const

override

Definition at line 60 of file compositeindex.cpp.

                                                                                   {
    Real result = 0.0;
    for (Size i = 0; i < indices_.size(); ++i) {
        Real indexFixing;
        try {
            indexFixing = indices_[i]->fixing(fixingDate, forecastTodaysFixing);
        } catch (const std::exception&) {
            auto gi = QuantLib::ext::dynamic_pointer_cast<QuantExt::GenericIndex>(indices_[i]);
            if (gi && gi->expiry() != Date() && fixingDate >= gi->expiry())
                indexFixing = 0.0; 
            else
                throw;
        }
 
        // if the fixing date is not a valid fx fixing date, adjust the latter to the preceding valid date
        result += indexFixing * weights_[i] *
                  (fxConversion_.empty() || fxConversion_[i] == nullptr
                       ? 1.0
                       : fxConversion_[i]->fixing(fxConversion_[i]->fixingCalendar().adjust(fixingDate, Preceding),
                                                  forecastTodaysFixing));
    }
    return result;
}

Here is the call graph for this function:

allowsNativeFixings()

bool allowsNativeFixings ( )

override

Definition at line 48 of file compositeindex.hpp.

{ return false; }

update()

void update ( )

override

Observer interface.

Definition at line 51 of file compositeindex.hpp.

{ notifyObservers(); }

indices()

const std::vector< QuantLib::ext::shared_ptr< QuantLib::Index > > & indices

(

)

const

Inspectors.

Definition at line 54 of file compositeindex.hpp.

{ return indices_; }

Here is the caller graph for this function:

weights()

const std::vector< Real > & weights

(

)

const

Definition at line 55 of file compositeindex.hpp.

{ return weights_; }

fxConversion()

const std::vector< QuantLib::ext::shared_ptr< FxIndex > > & fxConversion

(

)

const

Definition at line 56 of file compositeindex.hpp.

{ return fxConversion_; }

Here is the caller graph for this function:

dividendsBetweenDates()

Real dividendsBetweenDates	(	const Date &	startDate,
		const Date &	endDate = Date::maxDate()
	)		const

Collect dividends from equity underlying indices, apply weighting, fx conversion (if any) and return the sum. Notice that the endDate is capped at today, as in EquityIndex::dividendsBetweenDates. This only applies to underlying equity indices, for other index types zero dividends are returned

Definition at line 84 of file compositeindex.cpp.

                                                                                           {
    const Date& today = Settings::instance().evaluationDate();
    Real dividends = 0.0;
    for (Size i = 0; i < indices_.size(); ++i) {
        if (auto ei = QuantLib::ext::dynamic_pointer_cast<EquityIndex2>(indices_[i])) {
            for (auto const& d : ei->dividendFixings()) {
                if (d.exDate >= startDate && d.exDate <= std::min(endDate, today)) {
                    // if the fixing date is not a valid fx fixing date, adjust the latter to the preceding valid date
                    dividends +=
                        d.rate * weights_[i] *
                        (fxConversion_.empty() || fxConversion_[i] == nullptr
                             ? 1.0
                             : fxConversion_[i]->fixing(fxConversion_[i]->fixingCalendar().adjust(d.exDate, Preceding)));
                }
            }
        }
    }
    return dividends;
}

Here is the call graph for this function:

dividendFixingDates()

std::vector< std::pair< QuantLib::Date, std::string > > dividendFixingDates	(	const Date &	startDate,
		const Date &	endDate = Date::maxDate()
	)

Definition at line 104 of file compositeindex.cpp.

                         {
 
    std::vector<std::pair<QuantLib::Date, std::string>> fixings;
    const Date& eDate = endDate == Date() ? Settings::instance().evaluationDate() : endDate;
    for (Size i = 0; i < indices_.size(); ++i) {
        if (QuantLib::ext::dynamic_pointer_cast<EquityIndex2>(indices_[i]) && !fxConversion_.empty() && fxConversion_[i]) {
            Date d = fxConversion_[i]->fixingCalendar().adjust(startDate, Preceding);
            while (d <= eDate) {
                fixings.push_back(std::make_pair<Date, std::string>(
                        fxConversion_[i]->fixingCalendar().adjust(d, Preceding), fxConversion_[i]->name()));
                d = fxConversion_[i]->fixingCalendar().advance(d, 1, Days);
            }
        }
    }
    return fixings;
 }

Here is the call graph for this function:

Member Data Documentation

name_

std::string name_

private

Definition at line 65 of file compositeindex.hpp.

indices_

std::vector<QuantLib::ext::shared_ptr<QuantLib::Index> > indices_

private

Definition at line 66 of file compositeindex.hpp.

weights_

std::vector<Real> weights_

private

Definition at line 67 of file compositeindex.hpp.

fxConversion_

std::vector<QuantLib::ext::shared_ptr<FxIndex> > fxConversion_

private

Definition at line 68 of file compositeindex.hpp.

fixingCalendar_

Calendar fixingCalendar_

private

Definition at line 70 of file compositeindex.hpp.