InterestRateIndex Class Reference

#include <ql/indexes/interestrateindex.hpp>

Inheritance diagram for InterestRateIndex:

Inheritance graph
[legend]
List of all members.

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 &currency, 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 Currencycurrency () const
const DayCounterdayCounter () const
virtual Rate forecastFixing (const Date &fixingDate) const=0
virtual Handle< YieldTermStructuretermStructure () 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]

Returns the name of the index.

Warning:
This method is used for output and comparison between indexes. It is not meant to be used for writing switch-on-type code.

Implements Index.

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.