Generic Ibor Index. More...

#include <qle/indexes/genericiborindex.hpp>

Inheritance diagram for GenericIborIndex:

Collaboration diagram for GenericIborIndex:

Public Member Functions
	GenericIborIndex (const Period &tenor, const Currency &ccy, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())

Rate	pastFixing (const Date &fixingDate) const override

QuantLib::ext::shared_ptr< IborIndex >	clone (const Handle< YieldTermStructure > &h) const override

Detailed Description

Generic Ibor Index.

This Ibor Index allows you to wrap any arbitrary currency in a generic index.

We assume 2 settlement days, Target Calendar, ACT/360.

The name is always CCY-GENERIC so there is no risk of collision with real ibor names

Definition at line 41 of file genericiborindex.hpp.

Constructor & Destructor Documentation

◆ GenericIborIndex()

GenericIborIndex	(	const Period &	tenor,
		const Currency &	ccy,
		const Handle< YieldTermStructure > &	h = `Handle<YieldTermStructure>()`
	)

Definition at line 25 of file genericiborindex.cpp.

26 : IborIndex(ccy.code() + "-GENERIC", tenor, 2, ccy, TARGET(), Following, false, Actual360(), h) {}

Member Function Documentation

◆ pastFixing()

Rate pastFixing ( const Date & fixingDate ) const

override

Definition at line 28 of file genericiborindex.cpp.

                                                              {
    Date fixDate = fixingCalendar().adjust(Settings::instance().evaluationDate(), Following);
    return fixing(fixDate, true);
}

◆ clone()

QuantLib::ext::shared_ptr< IborIndex > clone ( const Handle< YieldTermStructure > & h ) const