OvernightIndexWithFixingOverride Class Reference

#include <qle/indexes/iborindexfixingoverride.hpp>

Inheritance diagram for OvernightIndexWithFixingOverride:

Collaboration diagram for OvernightIndexWithFixingOverride:

Public Member Functions
	OvernightIndexWithFixingOverride (const QuantLib::ext::shared_ptr< QuantLib::OvernightIndex > &index, const std::map< QuantLib::Date, double > &fixingOverrides)
	OvernightIndexWithFixingOverride (const std::string &familyName, QuantLib::Natural settlementDays, const QuantLib::Currency &currency, const QuantLib::Calendar &fixingCalendar, const QuantLib::DayCounter &dayCounter, const QuantLib::Handle< QuantLib::YieldTermStructure > &h, const std::map< QuantLib::Date, double > &fixingOverrides)
QuantLib::ext::shared_ptr< QuantLib::IborIndex >	clone (const QuantLib::Handle< QuantLib::YieldTermStructure > &forwarding) const override

Protected Member Functions
QuantLib::Rate	pastFixing (const QuantLib::Date &fixingDate) const override

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

Detailed Description

Definition at line 72 of file iborindexfixingoverride.hpp.

Constructor & Destructor Documentation

OvernightIndexWithFixingOverride() [1/2]

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

Definition at line 74 of file iborindexfixingoverride.hpp.

        : OvernightIndexWithFixingOverride(index->familyName(), index->fixingDays(), index->currency(),
                                           index->fixingCalendar(), index->dayCounter(),
                                           index->forwardingTermStructure(), fixingOverrides) {}

OvernightIndexWithFixingOverride() [2/2]

OvernightIndexWithFixingOverride	(	const std::string &	familyName,
		QuantLib::Natural	settlementDays,
		const QuantLib::Currency &	currency,
		const QuantLib::Calendar &	fixingCalendar,
		const QuantLib::DayCounter &	dayCounter,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	h,
		const std::map< QuantLib::Date, double > &	fixingOverrides
	)

Definition at line 80 of file iborindexfixingoverride.hpp.

        : QuantLib::OvernightIndex(familyName, settlementDays, currency, fixingCalendar, 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 89 of file iborindexfixingoverride.hpp.

                                                                                       {
        return ext::make_shared<OvernightIndexWithFixingOverride>(
            familyName(), fixingDays(), currency(), fixingCalendar(), dayCounter(), forwarding, fixingOverrides_);
    }

pastFixing()

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

overrideprotected

Definition at line 95 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 105 of file iborindexfixingoverride.hpp.