Base class for equity indexes. More...

#include <ql/indexes/equityindex.hpp>

Inheritance diagram for EquityIndex:

Collaboration diagram for EquityIndex:

Public Member Functions
	EquityIndex (std::string name, Calendar fixingCalendar, Handle< YieldTermStructure > interest={}, Handle< YieldTermStructure > dividend={}, Handle< Quote > spot={})

Index interface
std::string	name () const override
	Returns the name of the index. More...

Calendar	fixingCalendar () const override
	returns the calendar defining valid fixing dates More...

bool	isValidFixingDate (const Date &fixingDate) const override
	returns TRUE if the fixing date is a valid one More...

Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
	returns the fixing at the given date More...

Observer interface
void	update () override

Inspectors
Handle< YieldTermStructure >	equityInterestRateCurve () const
	the rate curve used to forecast fixings More...

Handle< YieldTermStructure >	equityDividendCurve () const
	the dividend curve used to forecast fixings More...

Handle< Quote >	spot () const
	index spot value More...

Fixing calculations
virtual Real	forecastFixing (const Date &fixingDate) const
	It can be overridden to implement particular conventions. More...

virtual Real	pastFixing (const Date &fixingDate) const

Public Member Functions inherited from Index
	~Index () override=default

virtual std::string	name () const =0
	Returns the name of the index. More...

virtual Calendar	fixingCalendar () const =0
	returns the calendar defining valid fixing dates More...

virtual bool	isValidFixingDate (const Date &fixingDate) const =0
	returns TRUE if the fixing date is a valid one More...

bool	hasHistoricalFixing (const Date &fixingDate) const
	returns whether a historical fixing was stored for the given date More...

virtual Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const =0
	returns the fixing at the given date More...

const TimeSeries< Real > &	timeSeries () const
	returns the fixing TimeSeries More...

virtual bool	allowsNativeFixings ()
	check if index allows for native fixings. More...

virtual void	addFixing (const Date &fixingDate, Real fixing, bool forceOverwrite=false)
	stores the historical fixing at the given date More...

void	addFixings (const TimeSeries< Real > &t, bool forceOverwrite=false)
	stores historical fixings from a TimeSeries More...

template<class DateIterator , class ValueIterator >
void	addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false)
	stores historical fixings at the given dates More...

void	clearFixings ()
	clears all stored historical fixings More...

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Other methods
std::string	name_

Calendar	fixingCalendar_

Handle< YieldTermStructure >	interest_

Handle< YieldTermStructure >	dividend_

Handle< Quote >	spot_

virtual ext::shared_ptr< EquityIndex >	clone (const Handle< YieldTermStructure > &interest, const Handle< YieldTermStructure > &dividend, const Handle< Quote > &spot) const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Base class for equity indexes.

The equity index object allows to retrieve past fixings, as well as project future fixings using either both the risk free interest rate term structure and the dividend term structure, or just the interest rate term structure in which case one can provide a term structure of equity forwards implied from, e.g. option prices.

In case of the first method, the forward is calculated as:

\[ I(t, T) = I(t, t) \frac{P_{D}(t, T)}{P_{R}(t, T)}, \]

where \( I(t, t) \) is today's value of the index, \( P_{D}(t, T) \) is a discount factor of the dividend curve at future time \( T \), and \( P_{R}(t, T) \) is a discount factor of the risk free curve at future time \( T \).

In case of the latter method, the forward is calculated as:

\[ I(t, T) = I(t, t) \frac{1}{P_{F}(t, T)}, \]

where \( P_{F}(t, T) \) is a discount factor of the equity forward term structure.

To forecast future fixings, the user can either provide a handle to the current index spot. If spot handle is empty, today's fixing will be used, instead.

Definition at line 63 of file equityindex.hpp.

Constructor & Destructor Documentation

◆ EquityIndex()

EquityIndex	(	std::string	name,
		Calendar	fixingCalendar,
		Handle< YieldTermStructure >	interest = `{}`,
		Handle< YieldTermStructure >	dividend = `{}`,
		Handle< Quote >	spot = `{}`
	)

Definition at line 34 of file equityindex.cpp.

Here is the call graph for this function:

Member Function Documentation

◆ name()

std::string name ( ) const

overridevirtual

Returns the name of the index.

Warning:: This method is used for output and comparison between indexes. It is not meant to be used for writing switch-on-type code.

Implements Index.

Definition at line 73 of file equityindex.hpp.

Here is the caller graph for this function:

◆ fixingCalendar()

Calendar fixingCalendar ( ) const

overridevirtual

returns the calendar defining valid fixing dates

Implements Index.

Definition at line 74 of file equityindex.hpp.

Here is the caller graph for this function:

◆ isValidFixingDate()

bool isValidFixingDate ( const Date & fixingDate ) const

overridevirtual

returns TRUE if the fixing date is a valid one

Implements Index.

Definition at line 113 of file equityindex.hpp.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ fixing()

Real fixing	(	const Date &	fixingDate,
		bool	forecastTodaysFixing = `false`
	)		const

overridevirtual

returns the fixing at the given date

the date passed as arguments must be the actual calendar date of the fixing; no settlement days must be used.

Implements Index.

Definition at line 49 of file equityindex.cpp.

Here is the call graph for this function:

◆ update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Definition at line 117 of file equityindex.hpp.

Here is the call graph for this function:

◆ equityInterestRateCurve()

Handle< YieldTermStructure > equityInterestRateCurve ( ) const

the rate curve used to forecast fixings

Definition at line 85 of file equityindex.hpp.

◆ equityDividendCurve()

Handle< YieldTermStructure > equityDividendCurve ( ) const

the dividend curve used to forecast fixings

Definition at line 87 of file equityindex.hpp.

◆ spot()

Handle< Quote > spot ( ) const

index spot value

Definition at line 89 of file equityindex.hpp.

Here is the caller graph for this function:

◆ forecastFixing()

Real forecastFixing ( const Date & fixingDate ) const

virtual

It can be overridden to implement particular conventions.

Definition at line 77 of file equityindex.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ pastFixing()

Real pastFixing ( const Date & fixingDate ) const

virtual

Definition at line 72 of file equityindex.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ clone()

ext::shared_ptr< EquityIndex > clone	(	const Handle< YieldTermStructure > &	interest,
		const Handle< YieldTermStructure > &	dividend,
		const Handle< Quote > &	spot
	)		const

virtual

returns a copy of itself linked to different interest, dividend curves or spot quote

Definition at line 95 of file equityindex.cpp.

Here is the call graph for this function:

Member Data Documentation

◆ name_

std::string name_

private

Definition at line 106 of file equityindex.hpp.

◆ fixingCalendar_

Calendar fixingCalendar_

private

Definition at line 107 of file equityindex.hpp.

◆ interest_

Handle<YieldTermStructure> interest_

private

Definition at line 108 of file equityindex.hpp.

◆ dividend_

Handle<YieldTermStructure> dividend_

private

Definition at line 109 of file equityindex.hpp.

◆ spot_

Handle<Quote> spot_

private

Definition at line 110 of file equityindex.hpp.

Public Member Functions

Other methods

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ EquityIndex()

Member Function Documentation

◆ name()

◆ fixingCalendar()

◆ isValidFixingDate()

◆ fixing()

◆ update()

◆ equityInterestRateCurve()

◆ equityDividendCurve()

◆ spot()

◆ forecastFixing()

◆ pastFixing()

◆ clone()

Member Data Documentation

◆ name_

◆ fixingCalendar_

◆ interest_

◆ dividend_

◆ spot_