base class for interest rate indexes More...

#include <ql/indexes/interestrateindex.hpp>

Inheritance diagram for InterestRateIndex:

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Public Member Functions
	InterestRateIndex (std::string familyName, const Period &tenor, Natural settlementDays, Currency currency, Calendar fixingCalendar, DayCounter dayCounter)

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...

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

Observer interface
void	update () override

Inspectors
std::string	familyName () const

Period	tenor () const

Natural	fixingDays () const

Date	fixingDate (const Date &valueDate) const

const Currency &	currency () const

const DayCounter &	dayCounter () const

Date calculations
These method can be overridden to implement particular conventions (e.g. EurLibor)
virtual Date	valueDate (const Date &fixingDate) const

virtual Date	maturityDate (const Date &valueDate) const =0

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 ()

Fixing calculations
std::string	familyName_

Period	tenor_

Natural	fixingDays_

Currency	currency_

DayCounter	dayCounter_

std::string	name_

Calendar	fixingCalendar_

virtual Rate	forecastFixing (const Date &fixingDate) const =0
	It can be overridden to implement particular conventions. More...

virtual Rate	pastFixing (const Date &fixingDate) const

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

Detailed Description

base class for interest rate indexes

Definition at line 39 of file interestrateindex.hpp.

Constructor & Destructor Documentation

◆ InterestRateIndex()

InterestRateIndex	(	std::string	familyName,
		const Period &	tenor,
		Natural	settlementDays,
		Currency	currency,
		Calendar	fixingCalendar,
		DayCounter	dayCounter
	)

Definition at line 29 of file interestrateindex.cpp.

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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 98 of file interestrateindex.hpp.

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◆ fixingCalendar()

Calendar fixingCalendar ( ) const

overridevirtual

returns the calendar defining valid fixing dates

Implements Index.

Definition at line 102 of file interestrateindex.hpp.

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◆ isValidFixingDate()

bool isValidFixingDate ( const Date & fixingDate ) const

overridevirtual

returns TRUE if the fixing date is a valid one

Implements Index.

Definition at line 106 of file interestrateindex.hpp.

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◆ fixing()

Rate 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 63 of file interestrateindex.cpp.

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◆ 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 110 of file interestrateindex.hpp.

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◆ familyName()

std::string familyName ( ) const

Definition at line 61 of file interestrateindex.hpp.

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◆ tenor()

Period tenor ( ) const

Definition at line 62 of file interestrateindex.hpp.

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◆ fixingDays()

Natural fixingDays ( ) const

Definition at line 63 of file interestrateindex.hpp.

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◆ fixingDate()

Date fixingDate ( const Date & valueDate ) const

Definition at line 114 of file interestrateindex.hpp.

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◆ currency()

const Currency & currency ( ) const

Definition at line 65 of file interestrateindex.hpp.

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◆ dayCounter()

const DayCounter & dayCounter ( ) const

Definition at line 66 of file interestrateindex.hpp.

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◆ valueDate()

Date valueDate ( const Date & fixingDate ) const

virtual

Reimplemented in EURLibor, and Libor.

Definition at line 120 of file interestrateindex.hpp.

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◆ maturityDate()

virtual Date maturityDate ( const Date & valueDate ) const

pure virtual

Implemented in SwapSpreadIndex, BMAIndex, EURLibor, Libor, IborIndex, and SwapIndex.

◆ forecastFixing()

virtual Rate forecastFixing ( const Date & fixingDate ) const

pure virtual

It can be overridden to implement particular conventions.

Implemented in ProxyIbor, SwapSpreadIndex, BMAIndex, IborIndex, and SwapIndex.

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◆ pastFixing()

Rate pastFixing ( const Date & fixingDate ) const

virtual

Reimplemented in SwapSpreadIndex.

Definition at line 126 of file interestrateindex.hpp.

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Member Data Documentation

◆ familyName_

std::string familyName_

protected

Definition at line 85 of file interestrateindex.hpp.

◆ tenor_

Period tenor_

protected

Definition at line 86 of file interestrateindex.hpp.

◆ fixingDays_

Natural fixingDays_

protected

Definition at line 87 of file interestrateindex.hpp.

◆ currency_

Currency currency_

protected

Definition at line 88 of file interestrateindex.hpp.

◆ dayCounter_

DayCounter dayCounter_

protected

Definition at line 89 of file interestrateindex.hpp.

◆ name_

std::string name_

protected

Definition at line 90 of file interestrateindex.hpp.

◆ fixingCalendar_

Calendar fixingCalendar_

private

Definition at line 92 of file interestrateindex.hpp.

Public Member Functions

Fixing calculations

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ InterestRateIndex()

Member Function Documentation

◆ name()

◆ fixingCalendar()

◆ isValidFixingDate()

◆ fixing()

◆ update()

◆ familyName()

◆ tenor()

◆ fixingDays()

◆ fixingDate()

◆ currency()

◆ dayCounter()

◆ valueDate()

◆ maturityDate()

◆ forecastFixing()

◆ pastFixing()

Member Data Documentation

◆ familyName_

◆ tenor_

◆ fixingDays_

◆ currency_

◆ dayCounter_

◆ name_

◆ fixingCalendar_