QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) More...
#include <iborindex.hpp>
Public Member Functions | |
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={}) | |
InterestRateIndex interface | |
Date | maturityDate (const Date &valueDate) const override |
Rate | forecastFixing (const Date &fixingDate) const override |
It can be overridden to implement particular conventions. More... | |
Inspectors | |
BusinessDayConvention | businessDayConvention () const |
bool | endOfMonth () const |
Handle< YieldTermStructure > | forwardingTermStructure () const |
the curve used to forecast fixings More... | |
Public Member Functions inherited from InterestRateIndex | |
InterestRateIndex (std::string familyName, const Period &tenor, Natural settlementDays, Currency currency, Calendar fixingCalendar, DayCounter dayCounter) | |
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... | |
void | update () override |
std::string | familyName () const |
Period | tenor () const |
Natural | fixingDays () const |
Date | fixingDate (const Date &valueDate) const |
const Currency & | currency () const |
const DayCounter & | dayCounter () const |
virtual Date | valueDate (const Date &fixingDate) const |
virtual Rate | 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 | |
BusinessDayConvention | convention_ |
Handle< YieldTermStructure > | termStructure_ |
bool | endOfMonth_ |
class | IborCoupon |
virtual ext::shared_ptr< IborIndex > | clone (const Handle< YieldTermStructure > &forwarding) const |
returns a copy of itself linked to a different forwarding curve More... | |
Rate | forecastFixing (const Date &valueDate, const Date &endDate, Time t) const |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Attributes inherited from InterestRateIndex | |
std::string | familyName_ |
Period | tenor_ |
Natural | fixingDays_ |
Currency | currency_ |
DayCounter | dayCounter_ |
std::string | name_ |
base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)
Definition at line 35 of file iborindex.hpp.
IborIndex | ( | const std::string & | familyName, |
const Period & | tenor, | ||
Natural | settlementDays, | ||
const Currency & | currency, | ||
const Calendar & | fixingCalendar, | ||
BusinessDayConvention | convention, | ||
bool | endOfMonth, | ||
const DayCounter & | dayCounter, | ||
Handle< YieldTermStructure > | h = {} |
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) |
Implements InterestRateIndex.
Definition at line 54 of file iborindex.cpp.
It can be overridden to implement particular conventions.
Implements InterestRateIndex.
Definition at line 42 of file iborindex.cpp.
BusinessDayConvention businessDayConvention | ( | ) | const |
bool endOfMonth | ( | ) | const |
Handle< YieldTermStructure > forwardingTermStructure | ( | ) | const |
the curve used to forecast fixings
Definition at line 108 of file iborindex.hpp.
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virtual |
returns a copy of itself linked to a different forwarding curve
Reimplemented in Shibor, Libor, and OvernightIndex.
Definition at line 61 of file iborindex.cpp.
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friend |
Definition at line 84 of file iborindex.hpp.
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protected |
Definition at line 65 of file iborindex.hpp.
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protected |
Definition at line 66 of file iborindex.hpp.
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protected |
Definition at line 67 of file iborindex.hpp.