QuantLib_InterestRateIndex man page

InterestRateIndex — base class for interest rate indexes

Synopsis

#include <ql/indexes/interestrateindex.hpp>

Inherits Index, and Observer.

Inherited by BMAIndex, IborIndex, SwapIndex, and SwapSpreadIndex[virtual].

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 ()

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

Fixing calculations

virtual Rate forecastFixing (const Date &fixingDate) const =0
It can be overridden to implement particular conventions.
Rate pastFixing (const Date &fixingDate) const

Protected Attributes

std::string familyName_

Period tenor_

Natural fixingDays_

Currency currency_

DayCounter dayCounter_

std::string name_

Additional Inherited Members

Detailed Description

base class for interest rate indexes

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.

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

InterestRateIndex(3) and pastFixing(3) are aliases of QuantLib_InterestRateIndex(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib