Logo Search packages:      
Sourcecode: quantlib version File versions  Download package


Go to the documentation of this file.
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 Copyright (C) 2010 Ferdinando Ametrano

 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

 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.

/*! \file proxyibor.hpp
    \brief IborIndex calculated as proxy of some other IborIndex

#ifndef quantlib_proxyibor_hpp
#define quantlib_proxyibor_hpp

#include <ql/indexes/iborindex.hpp>

namespace QuantLib {

    //! IborIndex calculated as proxy of some other IborIndex
00032     class ProxyIbor : public IborIndex {
        ProxyIbor(const std::string& familyName,
                  const Period& tenor,
                  Natural settlementDays,
                  const Currency& currency,
                  const Calendar& fixingCalendar,
                  BusinessDayConvention convention,
                  bool endOfMonth,
                  const DayCounter& dayCounter,
                  const Handle<Quote>& gearing,
                  const boost::shared_ptr<IborIndex>& iborIndex,
                  const Handle<Quote>& spread);
        // overload
        Rate forecastFixing(const Date& fixingDate) const;

        Handle<Quote> gearing_;
        boost::shared_ptr<IborIndex> iborIndex_;
        Handle<Quote> spread_;

    inline Rate ProxyIbor::forecastFixing(const Date& fixingDate) const {
        Rate proxy = iborIndex_->fixing(fixingDate);
        return gearing_->value() * proxy * spread_->value();



Generated by  Doxygen 1.6.0   Back to index