base class for interest rate indexes More...

#include <interestrateindex.hpp>

Inheritance diagram for InterestRateIndex:

Collaboration diagram for InterestRateIndex:

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.

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 98 of file interestrateindex.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 102 of file interestrateindex.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 106 of file interestrateindex.hpp.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ 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.

Here is the call graph for this function:

Here is the caller 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 110 of file interestrateindex.hpp.

Here is the call graph for this function:

◆ familyName()

std::string familyName ( ) const

Definition at line 61 of file interestrateindex.hpp.

Here is the caller graph for this function:

◆ tenor()

Period tenor ( ) const

Definition at line 62 of file interestrateindex.hpp.

Here is the caller graph for this function:

◆ fixingDays()

Natural fixingDays ( ) const

Definition at line 63 of file interestrateindex.hpp.

Here is the caller graph for this function:

◆ fixingDate()

Date fixingDate ( const Date & valueDate ) const

Definition at line 114 of file interestrateindex.hpp.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ currency()

const Currency & currency ( ) const

Definition at line 65 of file interestrateindex.hpp.

Here is the caller graph for this function:

◆ dayCounter()

const DayCounter & dayCounter ( ) const

Definition at line 66 of file interestrateindex.hpp.

Here is the caller graph for this function:

◆ valueDate()

Date valueDate ( const Date & fixingDate ) const

virtual

Reimplemented in EURLibor, and Libor.

Definition at line 120 of file interestrateindex.hpp.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ 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.

Here is the caller graph for this function:

◆ pastFixing()

Rate pastFixing ( const Date & fixingDate ) const

virtual

Reimplemented in SwapSpreadIndex.

Definition at line 126 of file interestrateindex.hpp.

Here is the call graph for this function:

Here is the caller graph for this function:

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_