GenericIndex Class Reference

Generic Index. More...

#include <qle/indexes/genericindex.hpp>

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Public Member Functions
	GenericIndex (const std::string &name, const QuantLib::Date &expiry=QuantLib::Date())

Index interface
std::string	name_
QuantLib::Date	expiry_
std::string	name () const override
const QuantLib::Date &	expiry () const
QuantLib::Calendar	fixingCalendar () const override
bool	isValidFixingDate (const QuantLib::Date &fixingDate) const override
QuantLib::Real	fixing (const QuantLib::Date &fixingDate, bool forecastTodaysFixing=false) const override

Detailed Description

Generic Index.

Definition at line 33 of file genericindex.hpp.

Constructor & Destructor Documentation

GenericIndex()

GenericIndex ( const std::string &  name, const QuantLib::Date &  expiry = QuantLib::Date()  )

explicit

Definition at line 35 of file genericindex.hpp.

                                                                                              : 
        name_(name), expiry_(expiry) {}

Member Function Documentation

name()

std::string name ( ) const

override

Definition at line 39 of file genericindex.hpp.

{ return name_; }

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expiry()

const QuantLib::Date & expiry

(

)

const

Definition at line 40 of file genericindex.hpp.

{ return expiry_; }

fixingCalendar()

QuantLib::Calendar fixingCalendar ( ) const

override

Definition at line 41 of file genericindex.hpp.

{ return QuantLib::NullCalendar(); }

isValidFixingDate()

bool isValidFixingDate ( const QuantLib::Date &  fixingDate ) const

override

Definition at line 42 of file genericindex.hpp.

{ return true; }

fixing()

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

override

Definition at line 43 of file genericindex.hpp.

                                                                                                          {
        if (expiry_ != QuantLib::Date() && fixingDate >= expiry_)
            QL_FAIL("GenericIndex, fixingDate is after expiry");
        QuantLib::Real tmp = timeSeries()[fixingDate];
        QL_REQUIRE(tmp != QuantLib::Null<QuantLib::Real>(), "Missing " << name() << " fixing for " << fixingDate);
        return tmp;
    }

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Member Data Documentation

name_

std::string name_

private

Definition at line 52 of file genericindex.hpp.

expiry_

QuantLib::Date expiry_

private

Definition at line 53 of file genericindex.hpp.