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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

Todo:
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 > &)
Inspectors
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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