InterestRateIndex Class Reference

base class for interest rate indexes More...

#include <ql/indexes/interestrateindex.hpp>

Inheritance diagram for InterestRateIndex:

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. More...
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 More...
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
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
Public Member Functions inherited from Index
const TimeSeries< Real > &	timeSeries () const
	returns the fixing TimeSeries
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
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const 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	deepUpdate ()

Fixing calculations
std::string	familyName_
Period	tenor_
Natural	fixingDays_
Currency	currency_
DayCounter	dayCounter_
std::string	name_
virtual Rate	forecastFixing (const Date &fixingDate) const =0
	It can be overridden to implement particular conventions.
virtual Rate	pastFixing (const Date &fixingDate) const

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator

Detailed Description

base class for interest rate indexes

Member Function Documentation

name()

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.

fixing()

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.

update()

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.