EquityIndex2 Class Reference

Equity Index. More...

#include <qle/indexes/equityindex.hpp>

Inheritance diagram for EquityIndex2:

Collaboration diagram for EquityIndex2:

Public Member Functions
	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 >())
Index interface
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
virtual void	addDividend (const Dividend &fixing, bool forceOverwrite=false)
	stores the historical dividend at the given date More...
virtual const std::set< Dividend > &	dividendFixings () const
Real	dividendsBetweenDates (const Date &startDate, const Date &endDate) const
Observer interface
void	update () override
Inspectors
std::string	familyName () const
const Handle< Quote > &	equitySpot () const
const Handle< YieldTermStructure > &	equityForecastCurve () const
const Handle< YieldTermStructure > &	equityDividendCurve () const
Fixing calculations
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
virtual Real	pastFixing (const Date &fixingDate) const override
	returns a past fixing at the given date More...
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...

Additional methods
std::string	familyName_
Currency	currency_
const Handle< YieldTermStructure >	rate_
const Handle< YieldTermStructure >	dividend_
std::string	name_
const Handle< Quote >	spotQuote_
Calendar	fixingCalendar_
virtual QuantLib::ext::shared_ptr< EquityIndex2 >	clone (const Handle< Quote > spotQuote, const Handle< YieldTermStructure > &rate, const Handle< YieldTermStructure > &dividend) const

Detailed Description

Equity Index.

Renamed to EquityIndex2, because Quantlib has introduced an EquityIndex class in v1.30 which causes name conflicts in the compilation of the joint SWIG wrapper across QuantLib and QuantExt.

Definition at line 44 of file equityindex.hpp.

Constructor & Destructor Documentation

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>()
	)

spot quote is interpreted as of today

Definition at line 30 of file equityindex.cpp.

    : familyName_(familyName), currency_(currency), rate_(rate), dividend_(dividend), spotQuote_(spotQuote),
      fixingCalendar_(fixingCalendar) {
 
    name_ = familyName;
    registerWith(spotQuote_);
    registerWith(rate_);
    registerWith(dividend_);
    registerWith(Settings::instance().evaluationDate());
    registerWith(IndexManager::instance().notifier(name()));
}

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Member Function Documentation

name()

std::string name ( ) const

override

Definition at line 107 of file equityindex.hpp.

{ return name_; }

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currency()

Currency currency

(

)

const

Definition at line 54 of file equityindex.hpp.

{ return currency_; }

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fixingCalendar()

Calendar fixingCalendar ( ) const

override

Definition at line 109 of file equityindex.hpp.

{ return fixingCalendar_; }

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isValidFixingDate()

bool isValidFixingDate ( const Date &  fixingDate ) const

override

Definition at line 111 of file equityindex.hpp.

{ return fixingCalendar().isBusinessDay(d); }

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fixing() [1/2]

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

override

Definition at line 44 of file equityindex.cpp.

                                                                                 {
    return fixing(fixingDate, forecastTodaysFixing, false);
}

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fixing() [2/2]

Real fixing	(	const Date &	fixingDate,
		bool	forecastTodaysFixing,
		bool	incDividend
	)		const

Definition at line 48 of file equityindex.cpp.

                                                                                                   {
 
    QL_REQUIRE(isValidFixingDate(fixingDate),
               "Fixing date " << fixingDate << " is not valid for equity index '" << name_ << "'");
 
    Date today = Settings::instance().evaluationDate();
 
    if (fixingDate > today || (fixingDate == today && forecastTodaysFixing))
        return forecastFixing(fixingDate, incDividend);
 
    Real result = Null<Decimal>();
 
    if (fixingDate < today || Settings::instance().enforcesTodaysHistoricFixings()) {
        // must have been fixed
        // do not catch exceptions
        result = pastFixing(fixingDate);
        QL_REQUIRE(result != Null<Real>(), "Missing equity index fixing " << name() << " fixing for " << fixingDate);
    } else {
        try {
            // might have been fixed
            result = pastFixing(fixingDate);
        } catch (Error&) {
            ; // fall through and forecast
        }
        if (result == Null<Real>())
            return forecastFixing(fixingDate, incDividend);
    }
 
    return result;
}

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addDividend()

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

virtual

stores the historical dividend at the given date

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

Reimplemented in CompoEquityIndex.

Definition at line 105 of file equityindex.cpp.

                                                                            {
    std::string tag = name();
    std::set<Dividend> divs = DividendManager::instance().getHistory(tag);
    if (!forceOverwrite) {
        bool duplicateFixing = false;
        for (const auto& d : divs) {
            if (d == dividend)
                duplicateFixing = true;
        }
        QL_REQUIRE(!duplicateFixing, "At least one duplicated fixing provided: ("
            << dividend.name << ", " << dividend.exDate << ", " << dividend.rate << ")");
    }
    divs.insert(dividend);
    DividendManager::instance().setHistory(tag, divs);
}

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dividendFixings()

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

virtual

Reimplemented in CompoEquityIndex.

Definition at line 67 of file equityindex.hpp.

{ return DividendManager::instance().getHistory(name()); }

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dividendsBetweenDates()

Real dividendsBetweenDates	(	const Date &	startDate,
		const Date &	endDate
	)		const

Definition at line 121 of file equityindex.cpp.

                                                                                         {
    const Date& today = Settings::instance().evaluationDate();
 
    const std::set<Dividend>& history = dividendFixings();
    Real dividends = 0.0;
 
    if (!history.empty()) {
        for (std::set<Dividend>::const_iterator fd = history.begin();
             fd != history.end() && fd->exDate <= std::min(endDate, today); ++fd) {
            if (fd->exDate >= startDate)
                dividends += fd->rate;
        }
    }
    return dividends;
}

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update()

void update ( )

override

Definition at line 113 of file equityindex.hpp.

{ notifyObservers(); }

familyName()

std::string familyName

(

)

const

Definition at line 76 of file equityindex.hpp.

{ return familyName_; }

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equitySpot()

const Handle< Quote > & equitySpot

(

)

const

Definition at line 77 of file equityindex.hpp.

{ return spotQuote_; }

equityForecastCurve()

const Handle< YieldTermStructure > & equityForecastCurve

(

)

const

Definition at line 78 of file equityindex.hpp.

{ return rate_; }

equityDividendCurve()

const Handle< YieldTermStructure > & equityDividendCurve

(

)

const

Definition at line 79 of file equityindex.hpp.

{ return dividend_; }

forecastFixing() [1/4]

Real forecastFixing ( const Date &  fixingDate ) const

virtual

Definition at line 79 of file equityindex.cpp.

{ return forecastFixing(fixingDate, false); }

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forecastFixing() [2/4]

Real forecastFixing ( const Time &  fixingTime ) const

overridevirtual

returns the fixing at the given time

Implements EqFxIndexBase.

Definition at line 86 of file equityindex.cpp.

{ return forecastFixing(fixingTime, false); }

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forecastFixing() [3/4]

Real forecastFixing ( const Date &  fixingDate, bool  incDividend  ) const

virtual

Definition at line 81 of file equityindex.cpp.

                                                                                {
    QL_REQUIRE(!rate_.empty(), "null term structure set to this instance of " << name());
    return forecastFixing(rate_->timeFromReference(fixingDate), incDividend);
}

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forecastFixing() [4/4]

Real forecastFixing ( const Time &  fixingTime, bool  incDividend  ) const

virtual

Definition at line 88 of file equityindex.cpp.

                                                                                {
    QL_REQUIRE(!spotQuote_.empty(), "null spot quote set to this instance of " << name());
    QL_REQUIRE(!rate_.empty() && !dividend_.empty(), "null term structure set to this instance of " << name());
 
    // we base the forecast always on the spot quote (and not on today's fixing)
    Real price = spotQuote_->value();
 
    // compute the forecast applying the usual no arbitrage principle
    Real forward;
    if (incDividend) {
        forward = price / rate_->discount(fixingTime);
    } else {
        forward = price * dividend_->discount(fixingTime) / rate_->discount(fixingTime);
    }
    return forward;
}

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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.

Implements EqFxIndexBase.

Reimplemented in CompoEquityIndex.

Definition at line 115 of file equityindex.hpp.

                                                                 {
    QL_REQUIRE(isValidFixingDate(fixingDate), fixingDate << " is not a valid fixing date");
    return timeSeries()[fixingDate];
}

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clone()

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

virtual

Reimplemented in CompoEquityIndex.

Definition at line 137 of file equityindex.cpp.

                                                                                                    {
    return QuantLib::ext::make_shared<EquityIndex2>(familyName(), fixingCalendar(), currency(), spotQuote, rate, dividend);
}

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Member Data Documentation

familyName_

std::string familyName_

protected

Definition at line 95 of file equityindex.hpp.

currency_

Currency currency_

protected

Definition at line 96 of file equityindex.hpp.

rate_

const Handle<YieldTermStructure> rate_

protected

Definition at line 97 of file equityindex.hpp.

dividend_

const Handle<YieldTermStructure> dividend_

protected

Definition at line 97 of file equityindex.hpp.

name_

std::string name_

protected

Definition at line 98 of file equityindex.hpp.

spotQuote_

const Handle<Quote> spotQuote_

protected

Definition at line 99 of file equityindex.hpp.

fixingCalendar_

Calendar fixingCalendar_

private

Definition at line 102 of file equityindex.hpp.