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Sourcecode: quantlib version File versions

QuantLib::InterestRateIndex Class Reference

#include <interestrateindex.hpp>

Inheritance diagram for QuantLib::InterestRateIndex:

QuantLib::Index QuantLib::Observer QuantLib::Observable QuantLib::SwapIndex QuantLib::Xibor QuantLib::EuriborSwapFixA QuantLib::EuriborSwapFixIFR QuantLib::EurliborSwapFixA QuantLib::EurliborSwapFixB QuantLib::EurliborSwapFixIFR QuantLib::Cdor QuantLib::Euribor QuantLib::Euribor365 QuantLib::Jibar QuantLib::Libor QuantLib::Tibor QuantLib::TRLibor QuantLib::Zibor

List of all members.

Detailed Description

base class for interest rate indexes

add methods returning InterestRate

Definition at line 36 of file interestrateindex.hpp.

Public Member Functions

void addFixing (const Date &fixingDate, Rate fixing)
 stores the historical fixing at the given date
template<class DateIterator, class ValueIterator>
void addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin)
 stores historical fixings at the given dates
void clearFixings ()
 clears all stored historical fixings
 InterestRateIndex (const std::string &familyName, const Period &tenor, Integer settlementDays, const Currency &currency, const Calendar &calendar, const DayCounter &dayCounter)
void notifyObservers ()
void registerWith (const boost::shared_ptr< Observable > &)
void unregisterWith (const boost::shared_ptr< Observable > &)
Calendar calendar () const
const Currencycurrency () const
const DayCounterdayCounter () const
std::string familyName () const
virtual Rate forecastFixing (const Date &fixingDate) const =0
Integer settlementDays () const
Period tenor () const
virtual boost::shared_ptr
< YieldTermStructure
termStructure () const =0
Index interface
Rate fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const
 returns the fixing at the given date
std::string name () const
 Returns the name of the index.
Date calculations
These methods can be overridden to implement particular conventions

virtual Date maturityDate (const Date &valueDate) const
virtual Date valueDate (const Date &fixingDate) const
Observer interface
void update ()

Protected Attributes

Calendar calendar_
Currency currency_
DayCounter dayCounter_
std::string familyName_
Integer settlementDays_
Period tenor_

The documentation for this class was generated from the following files:

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