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QuantLib_InterestRateIndex

NAME

QuantLib::InterestRateIndex -

base class for interest rate indexes

SYNOPSIS

#include <ql/indexes/interestrateindex.hpp>

Inherits QuantLib::Index, and QuantLib::Observer.

Inherited by BMAIndex, IborIndex, and SwapIndex.

Public Member Functions

InterestRateIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, const DayCounter &dayCounter)

Index interface

 

std::string name () const

Calendar fixingCalendar () const

bool isValidFixingDate (const Date &fixingDate) const

Rate fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const

Observer interface

 

void update ()

Inspectors

 

std::string familyName () const

Period tenor () const

Natural fixingDays () const

Date fixingDate (const Date &valueDate) const

const Currency & currency () const

const DayCounter & dayCounter () const

Date calculations

 These method can be overridden to implement particular conventions (e.g. EurLibor) 

virtual Date valueDate (const Date &fixingDate) const

virtual Date maturityDate (const Date &valueDate) const =0

Protected Member Functions

virtual Rate forecastFixing (const Date &fixingDate) const =0

Protected Attributes

std::string familyName_

Period tenor_

Natural fixingDays_

Calendar fixingCalendar_

Currency currency_

DayCounter dayCounter_

Detailed Description

base class for interest rate indexes

Possible enhancements

add methods returning InterestRate

Member Function Documentation

void update () [virtual]This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Author

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