1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=iso-8859-1">
<meta name="robots" content="none">
<title>QuantLib: InterestRateIndex Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.3.14</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="faq.html">Frequently asked questions</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="deprecated.html">Deprecated Features</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.1 -->
<div class="nav">
<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_interest_rate_index.html">InterestRateIndex</a></div>
<h1>InterestRateIndex Class Reference</h1><!-- doxytag: class="QuantLib::InterestRateIndex" --><!-- doxytag: inherits="QuantLib::Index,QuantLib::Observer" --><code>#include <ql/Indexes/interestrateindex.hpp></code>
<p>
Inheritance diagram for InterestRateIndex:<p><center><img src="class_quant_lib_1_1_interest_rate_index__inherit__graph.png" border="0" usemap="#_interest_rate_index__inherit__map" alt="Inheritance graph"></center>
<map name="_interest_rate_index__inherit__map">
<area href="class_quant_lib_1_1_swap_index.html" shape="rect" coords="5,156,101,180" alt="">
<area href="class_quant_lib_1_1_xibor.html" shape="rect" coords="125,156,181,180" alt="">
<area href="class_quant_lib_1_1_index.html" shape="rect" coords="27,7,85,31" alt="">
<area href="class_quant_lib_1_1_observer.html" shape="rect" coords="109,7,192,31" alt="">
</map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_interest_rate_index-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
base class for interest rate indexes
<p>
<dl compact><dt><b><a class="el" href="todo.html#_todo000016">Todo:</a></b></dt><dd>add methods returning <a class="el" href="class_quant_lib_1_1_interest_rate.html">InterestRate</a> </dd></dl>
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="49bed3eb3fc6f5d3df92c3a22956426a"></a><!-- doxytag: member="QuantLib::InterestRateIndex::InterestRateIndex" ref="49bed3eb3fc6f5d3df92c3a22956426a" args="(const std::string &familyName, const Period &tenor, Integer settlementDays, const Currency &currency, const Calendar &calendar, const DayCounter &dayCounter)" -->
</td><td class="memItemRight" valign="bottom"><b>InterestRateIndex</b> (const std::string &familyName, const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &tenor, Integer settlementDays, const <a class="el" href="class_quant_lib_1_1_currency.html">Currency</a> &currency, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &calendar, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter)</td></tr>
<tr><td colspan="2"><div class="groupHeader">Index interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">std::string </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_interest_rate_index.html#1d89c28bd42ba9a52da008bb69367171">name</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Returns the name of the index. <a href="#1d89c28bd42ba9a52da008bb69367171"></a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_interest_rate_index.html#700a136096f8caff21a6244efa074658">fixing</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &fixingDate, bool forecastTodaysFixing=false) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the fixing at the given date <a href="#700a136096f8caff21a6244efa074658"></a><br></td></tr>
<tr><td colspan="2"><div class="groupHeader">Observer interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_interest_rate_index.html#c5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f999e57407e5d904d620d62b593fd9a1"></a><!-- doxytag: member="QuantLib::InterestRateIndex::familyName" ref="f999e57407e5d904d620d62b593fd9a1" args="() const" -->
std::string </td><td class="memItemRight" valign="bottom"><b>familyName</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="893a77839fce3112da824bd5e08d5834"></a><!-- doxytag: member="QuantLib::InterestRateIndex::tenor" ref="893a77839fce3112da824bd5e08d5834" args="() const" -->
<a class="el" href="class_quant_lib_1_1_period.html">Period</a> </td><td class="memItemRight" valign="bottom"><b>tenor</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1b7cd5054896e3c2cc00633219cbc46c"></a><!-- doxytag: member="QuantLib::InterestRateIndex::settlementDays" ref="1b7cd5054896e3c2cc00633219cbc46c" args="() const" -->
Integer </td><td class="memItemRight" valign="bottom"><b>settlementDays</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="55bc3b2dbe28e58a7a86172ee37404b0"></a><!-- doxytag: member="QuantLib::InterestRateIndex::currency" ref="55bc3b2dbe28e58a7a86172ee37404b0" args="() const" -->
const <a class="el" href="class_quant_lib_1_1_currency.html">Currency</a> & </td><td class="memItemRight" valign="bottom"><b>currency</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="38e235178eb0a7749c37a16d71f4762f"></a><!-- doxytag: member="QuantLib::InterestRateIndex::calendar" ref="38e235178eb0a7749c37a16d71f4762f" args="() const" -->
<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> </td><td class="memItemRight" valign="bottom"><b>calendar</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="444059abeb0fb23c8244884dcee82ae2"></a><!-- doxytag: member="QuantLib::InterestRateIndex::dayCounter" ref="444059abeb0fb23c8244884dcee82ae2" args="() const" -->
const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> & </td><td class="memItemRight" valign="bottom"><b>dayCounter</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="69f3fe32c3b2d1d99550ef9f35de4960"></a><!-- doxytag: member="QuantLib::InterestRateIndex::forecastFixing" ref="69f3fe32c3b2d1d99550ef9f35de4960" args="(const Date &fixingDate) const=0" -->
virtual <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>forecastFixing</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &fixingDate) const=0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1f1463e539eb931031c06694fea1673d"></a><!-- doxytag: member="QuantLib::InterestRateIndex::termStructure" ref="1f1463e539eb931031c06694fea1673d" args="() const=0" -->
virtual boost::shared_ptr<<br>
<a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > </td><td class="memItemRight" valign="bottom"><b>termStructure</b> () const=0</td></tr>
<tr><td colspan="2"><div class="groupHeader">Date calculations</div></td></tr>
<tr><td colspan="2"><div class="groupText">These methods can be overridden to implement particular conventions <br><br></div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="37433ade386876ec2553dc60de636ed6"></a><!-- doxytag: member="QuantLib::InterestRateIndex::valueDate" ref="37433ade386876ec2553dc60de636ed6" args="(const Date &fixingDate) const" -->
virtual <a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>valueDate</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &fixingDate) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e97360b7cba3869e6b1d7d0bcdb71f07"></a><!-- doxytag: member="QuantLib::InterestRateIndex::maturityDate" ref="e97360b7cba3869e6b1d7d0bcdb71f07" args="(const Date &valueDate) const" -->
virtual <a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>maturityDate</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &valueDate) const</td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cabfc12151f5d68c514dcea66310b07b"></a><!-- doxytag: member="QuantLib::InterestRateIndex::familyName_" ref="cabfc12151f5d68c514dcea66310b07b" args="" -->
std::string </td><td class="memItemRight" valign="bottom"><b>familyName_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6f1e4aec3cba6f7cea92368273728ec8"></a><!-- doxytag: member="QuantLib::InterestRateIndex::tenor_" ref="6f1e4aec3cba6f7cea92368273728ec8" args="" -->
<a class="el" href="class_quant_lib_1_1_period.html">Period</a> </td><td class="memItemRight" valign="bottom"><b>tenor_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5bf05afa04b35d5ec23e5d7317d17001"></a><!-- doxytag: member="QuantLib::InterestRateIndex::settlementDays_" ref="5bf05afa04b35d5ec23e5d7317d17001" args="" -->
Integer </td><td class="memItemRight" valign="bottom"><b>settlementDays_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9b8209f252ea1344d7fa6de58bc1102a"></a><!-- doxytag: member="QuantLib::InterestRateIndex::currency_" ref="9b8209f252ea1344d7fa6de58bc1102a" args="" -->
<a class="el" href="class_quant_lib_1_1_currency.html">Currency</a> </td><td class="memItemRight" valign="bottom"><b>currency_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="021eab7f1f44c1c71b8dfd29b9c4864b"></a><!-- doxytag: member="QuantLib::InterestRateIndex::calendar_" ref="021eab7f1f44c1c71b8dfd29b9c4864b" args="" -->
<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> </td><td class="memItemRight" valign="bottom"><b>calendar_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="76c6c2d60ef1370e20bdf40a0e0ca642"></a><!-- doxytag: member="QuantLib::InterestRateIndex::dayCounter_" ref="76c6c2d60ef1370e20bdf40a0e0ca642" args="" -->
<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> </td><td class="memItemRight" valign="bottom"><b>dayCounter_</b></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="1d89c28bd42ba9a52da008bb69367171"></a><!-- doxytag: member="QuantLib::InterestRateIndex::name" ref="1d89c28bd42ba9a52da008bb69367171" args="() const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">std::string name </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
Returns the name of the index.
<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000030">Warning:</a></b></dt><dd>This method is used for output and comparison between indexes. It is <b>not</b> meant to be used for writing switch-on-type code.</dd></dl>
<dl compact><dt><b><a class="el" href="todo.html#_todo000014">Todo:</a></b></dt><dd>add methods returning <a class="el" href="class_quant_lib_1_1_interest_rate.html">InterestRate</a> </dd></dl>
<p>
Implements <a class="el" href="class_quant_lib_1_1_index.html#0d2675713373f2539534cddfcfb22b52">Index</a>.
</div>
</div><p>
<a class="anchor" name="700a136096f8caff21a6244efa074658"></a><!-- doxytag: member="QuantLib::InterestRateIndex::fixing" ref="700a136096f8caff21a6244efa074658" args="(const Date &fixingDate, bool forecastTodaysFixing=false) const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> fixing </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"> <em>fixingDate</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">bool </td>
<td class="paramname"> <em>forecastTodaysFixing</em> = <code>false</code></td><td> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td><td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
returns the fixing at the given date
<p>
the date passed as arguments must be the actual calendar date of the fixing; no settlement days must be used.
<p>
Implements <a class="el" href="class_quant_lib_1_1_index.html#ba4fe23d9366a2cfc513bf5ce3818a4d">Index</a>.
</div>
</div><p>
<a class="anchor" name="c5c54df7ed3b930268c8d7752c101725"></a><!-- doxytag: member="QuantLib::InterestRateIndex::update" ref="c5c54df7ed3b930268c8d7752c101725" args="()" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void update </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"><code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
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.
<p>
Implements <a class="el" href="class_quant_lib_1_1_observer.html#99b02345a8a15d3c5ea2844a2253f510">Observer</a>.
</div>
</div><p>
</div>
<div class="footer">
<table align="top" width="100%">
<tr>
<td align="middle" width="33%">
<strong>QuantLib.org</strong><br>
<a href="http://quantlib.org/">
<img src="QL-small.jpg" alt="QuantLib" align="middle" border=0>
</a>
</td>
<td align="middle" width="33%">
<strong>Hosted by</strong><br>
<a href="http://sourceforge.net"><img src=
"sfnetlogo.png" width="88" height="31"
border="0" alt="SourceForge.net Logo"></a>
</td>
<td align="middle" width="33%">
<strong>Documentation generated by</strong><br>
<a href="http://www.doxygen.org">
<img src="doxygen.png" alt="doxygen" align="middle" border=0 width=110 height=53>
</a></td>
</tr>
</table>
</div>
</div>
</body>
</html>
|
