InterestRateIndex (3) Linux Manual Page
QuantLib::InterestRateIndex – base class for interest rate indexes
Synopsis
#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 ¤cy, 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 ()
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
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 =0Protected 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. 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.
Reimplemented in BMAIndex.
Rate fixing (const Date & fixingDate, bool forecastTodaysFixing = false) const [virtual]
returns the fixing at the given datethe 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.