proxyibor.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2010 Ferdinando Ametrano
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file proxyibor.hpp
    \brief IborIndex calculated as proxy of some other IborIndex
*/
 
#ifndef quantlib_proxyibor_hpp
#define quantlib_proxyibor_hpp
 
#include <ql/indexes/iborindex.hpp>
 
namespace QuantLib {
 
    //! IborIndex calculated as proxy of some other IborIndex
    class ProxyIbor : public IborIndex {
      public:
        ProxyIbor(const std::string& familyName,
                  const Period& tenor,
                  Natural settlementDays,
                  const Currency& currency,
                  const Calendar& fixingCalendar,
                  BusinessDayConvention convention,
                  bool endOfMonth,
                  const DayCounter& dayCounter,
                  Handle<Quote> gearing,
                  ext::shared_ptr<IborIndex> iborIndex,
                  Handle<Quote> spread);
 
      private:
        // overload
        Rate forecastFixing(const Date& fixingDate) const override;
 
        Handle<Quote> gearing_;
        ext::shared_ptr<IborIndex> iborIndex_;
        Handle<Quote> spread_;
    };
 
    inline Rate ProxyIbor::forecastFixing(const Date& fixingDate) const {
        Rate proxy = iborIndex_->fixing(fixingDate);
        return gearing_->value() * proxy * spread_->value();
    }
 
}
 
#endif