IborIndexWithFixingOverride Class Reference

wrapper for ibor index wit individiual trade level fixings More...

#include <qle/indexes/iborindexfixingoverride.hpp>

Inheritance diagram for IborIndexWithFixingOverride:

Collaboration diagram for IborIndexWithFixingOverride:

Public Member Functions
	IborIndexWithFixingOverride (const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &index, const std::map< QuantLib::Date, double > &fixingOverrides)
	IborIndexWithFixingOverride (const std::string &familyName, const QuantLib::Period &tenor, QuantLib::Natural settlementDays, const QuantLib::Currency &currency, const QuantLib::Calendar &fixingCalendar, QuantLib::BusinessDayConvention convention, bool endOfMonth, const QuantLib::DayCounter &dayCounter, QuantLib::Handle< QuantLib::YieldTermStructure > h, const std::map< QuantLib::Date, double > &fixingOverrides)

InterestRateIndex interface
std::map< QuantLib::Date, double >	fixingOverrides_
QuantLib::ext::shared_ptr< QuantLib::IborIndex >	clone (const QuantLib::Handle< QuantLib::YieldTermStructure > &forwarding) const override
QuantLib::Rate	pastFixing (const QuantLib::Date &fixingDate) const override

Detailed Description

wrapper for ibor index wit individiual trade level fixings

Definition at line 31 of file iborindexfixingoverride.hpp.

Constructor & Destructor Documentation

IborIndexWithFixingOverride() [1/2]

IborIndexWithFixingOverride	(	const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &	index,
		const std::map< QuantLib::Date, double > &	fixingOverrides
	)

Definition at line 33 of file iborindexfixingoverride.hpp.

        : IborIndexWithFixingOverride(index->familyName(), index->tenor(), index->fixingDays(), index->currency(),
                                      index->fixingCalendar(), index->businessDayConvention(), index->endOfMonth(),
                                      index->dayCounter(), index->forwardingTermStructure(), fixingOverrides) {}

IborIndexWithFixingOverride() [2/2]

IborIndexWithFixingOverride	(	const std::string &	familyName,
		const QuantLib::Period &	tenor,
		QuantLib::Natural	settlementDays,
		const QuantLib::Currency &	currency,
		const QuantLib::Calendar &	fixingCalendar,
		QuantLib::BusinessDayConvention	convention,
		bool	endOfMonth,
		const QuantLib::DayCounter &	dayCounter,
		QuantLib::Handle< QuantLib::YieldTermStructure >	h,
		const std::map< QuantLib::Date, double > &	fixingOverrides
	)

Definition at line 39 of file iborindexfixingoverride.hpp.

        : QuantLib::IborIndex(familyName, tenor, settlementDays, currency, fixingCalendar, convention, endOfMonth,
                              dayCounter, h),
          fixingOverrides_(fixingOverrides) {}

Member Function Documentation

clone()

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

override

Definition at line 52 of file iborindexfixingoverride.hpp.

                                                                                       {
        return ext::make_shared<IborIndexWithFixingOverride>(familyName(), tenor(), fixingDays(), currency(),
                                                             fixingCalendar(), businessDayConvention(), endOfMonth(),
                                                             dayCounter(), forwarding, fixingOverrides_);
    }

pastFixing()

QuantLib::Rate pastFixing ( const QuantLib::Date &  fixingDate ) const

overrideprotected

Definition at line 59 of file iborindexfixingoverride.hpp.

                                                                           {
        auto histFixing = fixingOverrides_.find(fixingDate);
        if (histFixing != fixingOverrides_.end()) {
            return histFixing->second;
        } else {
            return QuantLib::IborIndex::pastFixing(fixingDate);
        }
    }

Member Data Documentation

fixingOverrides_

std::map<QuantLib::Date, double> fixingOverrides_

private

Definition at line 69 of file iborindexfixingoverride.hpp.