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Public Member Functions | Protected Member Functions | Protected Attributes | Private Attributes

QuantLib::Libor Class Reference

base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones More...

#include <libor.hpp>

Inheritance diagram for QuantLib::Libor:
Inheritance graph
Collaboration diagram for QuantLib::Libor:
Collaboration graph

List of all members.

Public Member Functions

virtual void addFixing (const Date &fixingDate, Real fixing, bool forceOverwrite=false)
 stores the historical fixing at the given date
void addFixings (const TimeSeries< Real > &t, bool forceOverwrite=false)
 stores historical fixings from a TimeSeries
template<class DateIterator , class ValueIterator >
void addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false)
 stores historical fixings at the given dates
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=Handle< YieldTermStructure >())
void notifyObservers ()
void registerWith (const boost::shared_ptr< Observable > &)
const TimeSeries< Real > & timeSeries () const
 returns the fixing TimeSeries
void unregisterWith (const boost::shared_ptr< Observable > &)
Date calculations
Date valueDate (const Date &fixingDate) const
Date maturityDate (const Date &valueDate) const
Other methods
boost::shared_ptr< IborIndexclone (const Handle< YieldTermStructure > &h) const
 returns a copy of itself linked to a different forecast curve
InterestRateIndex interface
Handle< YieldTermStructuretermStructure () const
BusinessDayConvention businessDayConvention () const
bool endOfMonth () const
Index interface
std::string name () const
 Returns the name of the index.
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
Rate fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const
 returns the fixing at the given date
Observer interface
void update ()
std::string familyName () const
Period tenor () const
Natural fixingDays () const
Date fixingDate (const Date &valueDate) const
const Currencycurrency () const
const DayCounterdayCounter () const

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 financialCenterCalendar_
Calendar jointCalendar_

Detailed Description

base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones

LIBOR fixed by BBA.

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

Definition at line 38 of file libor.hpp.

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

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