FxRateQuote Class Reference

#include <qle/indexes/fxindex.hpp>

Inheritance diagram for FxRateQuote:

Collaboration diagram for FxRateQuote:

Public Member Functions
	FxRateQuote (Handle< Quote > spotQuote, const Handle< YieldTermStructure > &sourceYts, const Handle< YieldTermStructure > &targetYts, Natural fixingDays, const Calendar &fixingCalendar)
	if sourceYts, targetYts are not given, the non-discounted spot quote will be returned as a fallback More...
Quote interface
Real	value () const override
bool	isValid () const override

Observer interface
const Handle< Quote >	spotQuote_
const Handle< YieldTermStructure >	sourceYts_
const Handle< YieldTermStructure >	targetYts_
Natural	fixingDays_
Calendar	fixingCalendar_
void	update () override

Detailed Description

Definition at line 51 of file fxindex.hpp.

Constructor & Destructor Documentation

FxRateQuote()

FxRateQuote	(	Handle< Quote >	spotQuote,
		const Handle< YieldTermStructure > &	sourceYts,
		const Handle< YieldTermStructure > &	targetYts,
		Natural	fixingDays,
		const Calendar &	fixingCalendar
	)

if sourceYts, targetYts are not given, the non-discounted spot quote will be returned as a fallback

Definition at line 45 of file fxindex.cpp.

    : spotQuote_(spotQuote), sourceYts_(sourceYts), targetYts_(targetYts), fixingDays_(fixingDays),
      fixingCalendar_(fixingCalendar) {
    registerWith(spotQuote_);
    registerWith(sourceYts_);
    registerWith(targetYts_);
}

Member Function Documentation

value()

Real value ( ) const

override

Definition at line 55 of file fxindex.cpp.

                              {
    QL_ENSURE(isValid(), "invalid FxRateQuote");
    if (fixingDays_ == 0)
        return spotQuote_->value();
    else {
        if (sourceYts_.empty() || targetYts_.empty())
            return spotQuote_->value();
        Date today = sourceYts_->referenceDate();
        Date refValueDate = fixingCalendar_.advance(today, fixingDays_, Days);
        return spotQuote_->value() * targetYts_->discount(refValueDate) / sourceYts_->discount(refValueDate);
    }
}

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isValid()

bool isValid ( ) const

override

Definition at line 68 of file fxindex.cpp.

{ return !spotQuote_.empty() && spotQuote_->isValid(); }

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update()

void update ( )

override

Definition at line 70 of file fxindex.cpp.

{ notifyObservers(); }

Member Data Documentation

spotQuote_

const Handle<Quote> spotQuote_

private

Definition at line 66 of file fxindex.hpp.

sourceYts_

const Handle<YieldTermStructure> sourceYts_

private

Definition at line 67 of file fxindex.hpp.

targetYts_

const Handle<YieldTermStructure> targetYts_

private

Definition at line 67 of file fxindex.hpp.

fixingDays_

Natural fixingDays_

private

Definition at line 68 of file fxindex.hpp.

fixingCalendar_

Calendar fixingCalendar_

private

Definition at line 69 of file fxindex.hpp.