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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>.

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

virtual void addFixing (const Date &fixingDate, Real fixing, bool forceOverwrite=false)
 stores the historical fixing at the given date
template<class DateIterator, class ValueIterator>
void addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false)
 stores historical fixings at the given dates
void addFixings (const TimeSeries< Real > &t, bool forceOverwrite=false)
 stores historical fixings from a TimeSeries
void clearFixings ()
 clears all stored historical fixings
 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 > &)
BusinessDayConvention businessDayConvention () const
bool endOfMonth () const
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
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
std::string name () const
 Returns the name of the index.
Date calculations
Date maturityDate (const Date &valueDate) const
Date valueDate (const Date &fixingDate) const
InterestRateIndex interface
Handle< YieldTermStructuretermStructure () const
Observer interface
void update ()

Protected Member Functions

Rate forecastFixing (const Date &fixingDate) const

Protected Attributes

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

Private Attributes

Calendar jointCalendar_

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

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