tenor (3) - Linux Man Pages

tenor: base class for interest rate indexes


QuantLib::InterestRateIndex - base class for interest rate indexes


#include <ql/indexes/interestrateindex.hpp>

Inherits QuantLib::Index, and QuantLib::Observer.

Inherited by BMAIndex, IborIndex, and SwapIndex.

Public Member Functions

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

Index interface

std::string name () const
Returns the name of the index.
Calendar fixingCalendar () const
returns the calendar defining valid fixing dates
bool isValidFixingDate (const Date &fixingDate) const
returns TRUE if the fixing date is a valid one
Rate fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const
returns the fixing at the given date

Observer interface

void update ()


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 Handle< YieldTermStructure > termStructure () const =0

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

Protected Member Functions

virtual Rate forecastFixing (const Date &fixingDate) const =0

Protected Attributes

std::string familyName_

Period tenor_

Natural fixingDays_

Calendar fixingCalendar_

Currency currency_

DayCounter dayCounter_

Detailed Description

base class for interest rate indexes

Possible enhancements

add methods returning InterestRate

Member Function Documentation

std::string name () const [virtual]

Returns the name of the index.


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.

Reimplemented in BMAIndex.

Rate fixing (const Date & fixingDate, bool forecastTodaysFixing = false) const [virtual]

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.

void update () [virtual]

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.


Generated automatically by Doxygen for QuantLib from the source code.