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QuantLib::Libor Class Reference

#include <libor.hpp>

Inheritance diagram for QuantLib::Libor:

QuantLib::IborIndex QuantLib::InterestRateIndex QuantLib::Index QuantLib::Observer QuantLib::Observable QuantLib::AUDLibor QuantLib::CADLibor QuantLib::CHFLibor QuantLib::DKKLibor QuantLib::GBPLibor QuantLib::JPYLibor QuantLib::NZDLibor QuantLib::USDLibor

List of all members.


Detailed Description

base class for all BBA LIBOR indexes but the EUR ones

LIBOR fixed by BBA.

See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>.

Warning:
This is not a valid base class for the O/N, S/N index

Definition at line 40 of file libor.hpp.


Public Member Functions

void addFixing (const Date &fixingDate, Real 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
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
 Libor (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &financialCenterCalendar, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h)
void notifyObservers ()
void registerWith (const boost::shared_ptr< Observable > &)
void unregisterWith (const boost::shared_ptr< Observable > &)
Inspectors
BusinessDayConvention businessDayConvention () const
bool endOfMonth () const
Inspectors
const Currencycurrency () const
const DayCounterdayCounter () const
std::string familyName () const
Date fixingDate (const Date &valueDate) const
Natural fixingDays () const
Period tenor () const
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.
InterestRateIndex interface
Rate forecastFixing (const Date &fixingDate) const
Handle< YieldTermStructuretermStructure () const
Date calculations
Date maturityDate (const Date &valueDate) const
Date valueDate (const Date &fixingDate) const
Observer interface
void update ()

Protected Attributes

BusinessDayConvention convention_
Currency currency_
DayCounter dayCounter_
bool endOfMonth_
std::string familyName_
Calendar fixingCalendar_
Natural fixingDays_
Period tenor_
Handle< YieldTermStructuretermStructure_

Private Attributes

Calendar joinBusinessDays_
Calendar joinHolidays_

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

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