26#ifndef quantlib_ibor_index_hpp
27#define quantlib_ibor_index_hpp
61 virtual ext::shared_ptr<IborIndex>
clone(
116 "null term structure set to this instance of " <<
name());
119 return (disc1/disc2 - 1.0) /
t;
Shared handle to an observable.
Coupon paying a Libor-type index
base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)
Handle< YieldTermStructure > forwardingTermStructure() const
the curve used to forecast fixings
Date maturityDate(const Date &valueDate) const override
BusinessDayConvention convention_
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
const DayCounter & dayCounter() const
Calendar fixingCalendar() const override
returns the calendar defining valid fixing dates
const Currency & currency() const
std::string name() const override
Returns the name of the index.
virtual Date valueDate(const Date &fixingDate) const
Date fixingDate(const Date &valueDate) const
std::string familyName() const
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
Real DiscountFactor
discount factor between dates
unsigned QL_INTEGER Natural
positive integer
base class for interest rate indexes
Interest-rate term structure.