Rechercher une page de manuel
QuantLib_InterestRateIndex
Langue: en
Version: 380309 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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 ¤cy, 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
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre