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
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2011 Ferdinando Ametrano
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl
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.
*/
#include <ql/indexes/interestrateindex.hpp>
#include <ql/settings.hpp>
#include <sstream>
namespace QuantLib {
InterestRateIndex::InterestRateIndex(const std::string& familyName,
const Period& tenor,
Natural fixingDays,
const Currency& currency,
const Calendar& fixingCalendar,
const DayCounter& dayCounter)
: familyName_(familyName), tenor_(tenor), fixingDays_(fixingDays),
currency_(currency), dayCounter_(dayCounter),
fixingCalendar_(fixingCalendar) {
tenor_.normalize();
std::ostringstream out;
out << familyName_;
if (tenor_ == 1*Days) {
if (fixingDays_==0)
out << "ON";
else if (fixingDays_==1)
out << "TN";
else if (fixingDays_==2)
out << "SN";
else
out << io::short_period(tenor_);
} else {
out << io::short_period(tenor_);
}
out << " " << dayCounter_.name();
name_ = out.str();
registerWith(Settings::instance().evaluationDate());
registerWith(IndexManager::instance().notifier(name()));
}
Rate InterestRateIndex::fixing(const Date& fixingDate,
bool forecastTodaysFixing) const {
QL_REQUIRE(isValidFixingDate(fixingDate),
"Fixing date " << fixingDate << " is not valid");
Date today = Settings::instance().evaluationDate();
if (fixingDate>today ||
(fixingDate==today && forecastTodaysFixing))
return forecastFixing(fixingDate);
if (fixingDate<today ||
Settings::instance().enforcesTodaysHistoricFixings()) {
// must have been fixed
// do not catch exceptions
Rate result = pastFixing(fixingDate);
QL_REQUIRE(result != Null<Real>(),
"Missing " << name() << " fixing for " << fixingDate);
return result;
}
try {
// might have been fixed
Rate result = pastFixing(fixingDate);
if (result!=Null<Real>())
return result;
else
; // fall through and forecast
} catch (Error&) {
; // fall through and forecast
}
return forecastFixing(fixingDate);
}
}
|
