interestrateindex.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2005, 2006, 2007, 2009 StatPro Italia srl
 Copyright (C) 2006, 2011 Ferdinando Ametrano
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_interestrateindex_hpp
#define quantlib_interestrateindex_hpp
 
#include <ql/index.hpp>
#include <ql/time/calendar.hpp>
#include <ql/currency.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/period.hpp>
 
namespace QuantLib {
 
 
    class InterestRateIndex : public Index,
                              public Observer {
      public:
        InterestRateIndex(std::string familyName,
                          const Period& tenor,
                          Natural settlementDays,
                          Currency currency,
                          Calendar fixingCalendar,
                          DayCounter dayCounter);
 
        std::string name() const override;
        Calendar fixingCalendar() const override;
        bool isValidFixingDate(const Date& fixingDate) const override;
        Rate fixing(const Date& fixingDate, bool forecastTodaysFixing = false) const override;
 
        void update() override;
 
        std::string familyName() const { return familyName_; }
        Period tenor() const { return tenor_; }
        Natural fixingDays() const { return fixingDays_; }
        Date fixingDate(const Date& valueDate) const;
        const Currency& currency() const { return currency_; }
        const DayCounter& dayCounter() const { return dayCounter_; }
 
        virtual Date valueDate(const Date& fixingDate) const;
        virtual Date maturityDate(const Date& valueDate) const = 0;
 
 
        virtual Rate forecastFixing(const Date& fixingDate) const = 0;
        virtual Rate pastFixing(const Date& fixingDate) const;
        // @}
      protected:
        std::string familyName_;
        Period tenor_;
        Natural fixingDays_;
        Currency currency_;
        DayCounter dayCounter_;
        std::string name_;
      private:
        Calendar fixingCalendar_;
    };
 
 
    // inline definitions
 
    inline std::string InterestRateIndex::name() const {
        return name_;
    }
 
    inline Calendar InterestRateIndex::fixingCalendar() const {
        return fixingCalendar_;
    }
 
    inline bool InterestRateIndex::isValidFixingDate(const Date& d) const {
        return fixingCalendar().isBusinessDay(d);
    }
 
    inline void InterestRateIndex::update() {
        notifyObservers();
    }
 
    inline Date InterestRateIndex::fixingDate(const Date& valueDate) const {
        Date fixingDate = fixingCalendar().advance(valueDate,
            -static_cast<Integer>(fixingDays_), Days);
        return fixingDate;
    }
 
    inline Date InterestRateIndex::valueDate(const Date& fixingDate) const {
        QL_REQUIRE(isValidFixingDate(fixingDate),
                   fixingDate << " is not a valid fixing date");
        return fixingCalendar().advance(fixingDate, fixingDays_, Days);
    }
 
    inline Rate InterestRateIndex::pastFixing(const Date& fixingDate) const {
        QL_REQUIRE(isValidFixingDate(fixingDate),
                   fixingDate << " is not a valid fixing date");
        return timeSeries()[fixingDate];
    }
 
}
 
#endif