base class for all O/N-S/N BBA LIBOR indexes but the EUR ones More...
#include <ql/indexes/ibor/libor.hpp>
Public Member Functions | |
DailyTenorLibor (const std::string &familyName, Natural settlementDays, const Currency ¤cy, const Calendar &financialCenterCalendar, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) | |
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IborIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) | |
Date | maturityDate (const Date &valueDate) const |
Rate | forecastFixing (const Date &fixingDate) const |
It can be overridden to implement particular conventions. | |
BusinessDayConvention | businessDayConvention () const |
bool | endOfMonth () const |
Handle< YieldTermStructure > | forwardingTermStructure () const |
the curve used to forecast fixings | |
virtual boost::shared_ptr < IborIndex > | clone (const Handle< YieldTermStructure > &forwarding) const |
returns a copy of itself linked to a different forwarding curve | |
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InterestRateIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, const DayCounter &dayCounter) | |
std::string | name () const |
Returns the name of the index. | |
Calendar | fixingCalendar () const |
returns the calendar defining valid fixing dates | |
bool | isValidFixingDate (const Date &fixingDate) const |
returns TRUE if the fixing date is a valid one | |
Rate | fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const |
returns the fixing at the given date | |
void | update () |
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 Date | valueDate (const Date &fixingDate) const |
Rate | pastFixing (const Date &fixingDate) const |
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const TimeSeries< Real > & | timeSeries () const |
returns the fixing TimeSeries | |
virtual void | addFixing (const Date &fixingDate, Real fixing, bool forceOverwrite=false) |
stores the historical fixing at the given date | |
void | addFixings (const TimeSeries< Real > &t, bool forceOverwrite=false) |
stores historical fixings from a TimeSeries | |
template<class DateIterator , class ValueIterator > | |
void | addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false) |
stores historical fixings at the given dates | |
void | clearFixings () |
clears all stored historical fixings | |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Additional Inherited Members | |
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BusinessDayConvention | convention_ |
Handle< YieldTermStructure > | termStructure_ |
bool | endOfMonth_ |
base class for all O/N-S/N BBA LIBOR indexes but the EUR ones
One day deposit LIBOR fixed by BBA.
See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>.