FormulaBasedIndex Class Reference

formula based index class More...

#include <qle/indexes/formulabasedindex.hpp>

Inheritance diagram for FormulaBasedIndex:

Collaboration diagram for FormulaBasedIndex:

Public Member Functions
	FormulaBasedIndex (const std::string &familyName, const std::vector< QuantLib::ext::shared_ptr< InterestRateIndex > > &indices, const CompiledFormula &formula, const Calendar &fixingCalendar)
Date	maturityDate (const Date &valueDate) const override
Rate	forecastFixing (const Date &fixingDate) const override
Rate	pastFixing (const Date &fixingDate) const override
bool	allowsNativeFixings () override
const std::vector< QuantLib::ext::shared_ptr< InterestRateIndex > > &	indices () const
const CompiledFormula &	formula () const

Private Attributes
const std::vector< QuantLib::ext::shared_ptr< InterestRateIndex > >	indices_
const CompiledFormula	formula_

Detailed Description

formula based index class

The variables in the given formula must correspond to index vector, both w.r.t. size and position.

Warning:

• tenor is set to 0d for this index, since it doesn't have a meaningful interpretation
• fixingDays are set to the value of the first index, because Null<Size> could be interpreted as the actual (big) number of fixing days by client code
• currency is set to Currency()
• dayCounter is set to SimpleDayCounter(), because it's used in InterestRateIndex to set the name, which is overwritten here though
• fixingCalendar should be explicitly given, since it is used to derive the fixing date in formula based coupons (and to determine valid fixing dates)

Definition at line 48 of file formulabasedindex.hpp.

Constructor & Destructor Documentation

FormulaBasedIndex()

FormulaBasedIndex	(	const std::string &	familyName,
		const std::vector< QuantLib::ext::shared_ptr< InterestRateIndex > > &	indices,
		const CompiledFormula &	formula,
		const Calendar &	fixingCalendar
	)

Definition at line 25 of file formulabasedindex.cpp.

    : InterestRateIndex(familyName, 0 * Days, indices.front()->fixingDays(), Currency(), fixingCalendar,
                        SimpleDayCounter()),
      indices_(indices), formula_(formula) {
 
    std::ostringstream name;
    name << familyName << "(";
    for (Size i = 0; i < indices_.size(); ++i) {
        registerWith(indices_[i]);
        name << indices_[i]->name();
        if (i < indices_.size() - 1)
            name << ", ";
    }
    name << ")";
    name_ = name.str();
} // FormulaBasedIndex

Member Function Documentation

maturityDate()

Date maturityDate ( const Date &  valueDate ) const

override

Definition at line 54 of file formulabasedindex.hpp.

                                                            {
        QL_FAIL("FormulaBasedIndex does not provide a single maturity date");
    }

forecastFixing()

Rate forecastFixing ( const Date &  fixingDate ) const

override

Definition at line 44 of file formulabasedindex.cpp.

                                                                   {
    std::vector<Real> values;
    for (auto const& i : indices_) {
        // this also handles the case when one of indices has
        // a historic fixing on the evaluation date
        values.push_back(i->fixing(fixingDate, false));
    }
    return formula_(values.begin(), values.end());
}

pastFixing()

Rate pastFixing ( const Date &  fixingDate ) const

override

Definition at line 54 of file formulabasedindex.cpp.

                                                               {
    std::vector<Real> values;
    for (auto const& i : indices_) {
        Real f = i->pastFixing(fixingDate);
        // if one of the fixings is missing, the fixing of the composed
        // index is also missing, this is indicated by a null value
        if (f == Null<Real>())
            return Null<Real>();
        values.push_back(f);
    }
    return formula_(values.begin(), values.end());
}

allowsNativeFixings()

bool allowsNativeFixings ( )

override

Definition at line 59 of file formulabasedindex.hpp.

{ return false; }

indices()

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

(

)

const

Definition at line 62 of file formulabasedindex.hpp.

{ return indices_; }

formula()

const CompiledFormula & formula

(

)

const

Definition at line 63 of file formulabasedindex.hpp.

{ return formula_; }

Member Data Documentation

indices_

const std::vector<QuantLib::ext::shared_ptr<InterestRateIndex> > indices_

private

Definition at line 66 of file formulabasedindex.hpp.

formula_

const CompiledFormula formula_

private

Definition at line 67 of file formulabasedindex.hpp.