37 :
InterestRateIndex(familyName, tenor, settlementDays, currency, fixingCalendar, dayCounter),
38 convention_(convention), termStructure_(
std::move(h)), endOfMonth_(endOfMonth) {
47 "\n cannot calculate forward rate between " <<
48 d1 <<
" and " << d2 <<
49 ":\n non positive time (" <<
t <<
63 return ext::make_shared<IborIndex>(
87 return ext::shared_ptr<IborIndex>(
Date advance(const Date &, Integer n, TimeUnit unit, BusinessDayConvention convention=Following, bool endOfMonth=false) const
std::string name() const
Returns the name of the day counter.
Time yearFraction(const Date &, const Date &, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) const
Returns the period between two dates as a fraction of year.
Shared handle to an observable.
base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)
Date maturityDate(const Date &valueDate) const override
BusinessDayConvention convention_
IborIndex(const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Handle< YieldTermStructure > h={})
virtual ext::shared_ptr< IborIndex > clone(const Handle< YieldTermStructure > &forwarding) const
returns a copy of itself linked to a different forwarding curve
Handle< YieldTermStructure > termStructure_
BusinessDayConvention businessDayConvention() const
Rate forecastFixing(const Date &fixingDate) const override
It can be overridden to implement particular conventions.
base class for interest rate indexes
Natural fixingDays() const
const DayCounter & dayCounter() const
Calendar fixingCalendar() const override
returns the calendar defining valid fixing dates
const Currency & currency() const
virtual Date valueDate(const Date &fixingDate) const
Date fixingDate(const Date &valueDate) const
std::string familyName() const
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
OvernightIndex(const std::string &familyName, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h={})
ext::shared_ptr< IborIndex > clone(const Handle< YieldTermStructure > &h) const override
returns a copy of itself linked to a different forwarding curve
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
BusinessDayConvention
Business Day conventions.
Real Time
continuous quantity with 1-year units
unsigned QL_INTEGER Natural
positive integer
base class for Inter-Bank-Offered-Rate indexes
Interest-rate term structure.