InterestRateIndex Class Reference
#include <ql/indexes/interestrateindex.hpp>
Inheritance diagram for InterestRateIndex:

Detailed Description
base class for interest rate indexes
- Todo:
- add methods returning InterestRate
Public Member Functions | |
InterestRateIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, const DayCounter &dayCounter) | |
Index interface | |
std::string | name () const |
Returns the name of the index. | |
Rate | fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const |
returns the fixing at the given date | |
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 |
virtual Rate | forecastFixing (const Date &fixingDate) const=0 |
virtual Handle< YieldTermStructure > | termStructure () const=0 |
virtual Date | maturityDate (const Date &valueDate) const=0 |
Date calculations | |
These method can be overridden to implement particular conventions (e.g. EurLibor) | |
virtual Date | valueDate (const Date &fixingDate) const |
Protected Attributes | |
std::string | familyName_ |
Period | tenor_ |
Natural | fixingDays_ |
Currency | currency_ |
DayCounter | dayCounter_ |
Member Function Documentation
std::string name | ( | ) | const [virtual] |
Rate fixing | ( | const Date & | fixingDate, | |
bool | forecastTodaysFixing = false | |||
) | const [virtual] |
returns the fixing at the given date
the date passed as arguments must be the actual calendar date of the fixing; no settlement days must be used.
Implements Index.
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.