ESTR (Euro Short-Term Rate) rate fixed by the ECB. More...

#include <estr.hpp>

Inheritance diagram for Estr:

Collaboration diagram for Estr:

Public Member Functions
	Estr (const Handle< YieldTermStructure > &h={})

Public Member Functions inherited from OvernightIndex
	OvernightIndex (const std::string &familyName, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h={})

ext::shared_ptr< IborIndex >	clone (const Handle< YieldTermStructure > &h) const override
	returns a copy of itself linked to a different forwarding curve More...

Public Member Functions inherited from IborIndex
	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={})

Date	maturityDate (const Date &valueDate) const override

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

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 ()

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

Protected Attributes inherited from IborIndex
BusinessDayConvention	convention_

Handle< YieldTermStructure >	termStructure_

bool	endOfMonth_

Protected Attributes inherited from InterestRateIndex
std::string	familyName_

Period	tenor_

Natural	fixingDays_

Currency	currency_

DayCounter	dayCounter_

std::string	name_

Detailed Description

ESTR (Euro Short-Term Rate) rate fixed by the ECB.

Definition at line 32 of file estr.hpp.

Constructor & Destructor Documentation

◆ Estr()

Estr ( const Handle< YieldTermStructure > & h = {} )

explicit

Definition at line 27 of file estr.cpp.

Public Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Estr()