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iborindex.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2005, 2006, 2008 StatPro Italia srl

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

#include <ql/indexes/iborindex.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>

namespace QuantLib {

    IborIndex::IborIndex(const std::string& familyName,
                         const Period& tenor,
                         Natural settlementDays,
                         const Currency& currency,
                         const Calendar& fixingCalendar,
                         BusinessDayConvention convention,
                         bool endOfMonth,
                         const DayCounter& dayCounter,
                         const Handle<YieldTermStructure>& h)
    : InterestRateIndex(familyName, tenor, settlementDays, currency,
                        fixingCalendar, dayCounter),
      convention_(convention), termStructure_(h), endOfMonth_(endOfMonth) {
        registerWith(termStructure_);
      }

    Rate IborIndex::forecastFixing(const Date& fixingDate) const {
        QL_REQUIRE(!termStructure_.empty(),
                   "no forecasting term structure set to " << name());
        Date fixingValueDate = valueDate(fixingDate);
        Date endValueDate = maturityDate(fixingValueDate);
        DiscountFactor fixingDiscount =
            termStructure_->discount(fixingValueDate);
        DiscountFactor endDiscount =
            termStructure_->discount(endValueDate);
        Time fixingPeriod =
            dayCounter_.yearFraction(fixingValueDate, endValueDate);
        return (fixingDiscount/endDiscount-1.0) / fixingPeriod;
    }

    Date IborIndex::maturityDate(const Date& valueDate) const {
        return fixingCalendar().advance(valueDate,
                                        tenor_,
                                        convention_,
                                        endOfMonth_);
    }

00062     boost::shared_ptr<IborIndex> IborIndex::clone(
                               const Handle<YieldTermStructure>& h) const {
        return boost::shared_ptr<IborIndex>(
                                        new IborIndex(familyName(),
                                                      tenor(),
                                                      fixingDays(),
                                                      currency(),
                                                      fixingCalendar(),
                                                      businessDayConvention(),
                                                      endOfMonth(),
                                                      dayCounter(),
                                                      h));
    }

}


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