fixingdates.hpp File Reference

Logic for calculating required fixing dates on legs. More...

#include <ored/marketdata/todaysmarketparameters.hpp>
#include <qle/indexes/fxindex.hpp>
#include <ql/patterns/visitor.hpp>
#include <ql/time/date.hpp>
#include <map>
#include <ostream>
#include <set>
#include <string>

Classes
class	RequiredFixings
class	FixingDateGetter

Namespaces
	ore
	Serializable Credit Default Swap.
	ore::data

Functions
std::ostream &	operator<< (std::ostream &out, const RequiredFixings &f)
void	addToRequiredFixings (const QuantLib::Leg &leg, const boost::shared_ptr< FixingDateGetter > &fixingDateGetter)
void	amendInflationFixingDates (std::map< std::string, std::set< QuantLib::Date >> &fixings)
void	addMarketFixingDates (const QuantLib::Date &asof, std::map< std::string, std::set< QuantLib::Date >> &fixings, const TodaysMarketParameters &mktParams, const QuantLib::Period &iborLookback=5 *QuantLib::Days, const QuantLib::Period &oisLookback=4 *QuantLib::Months, const QuantLib::Period &bmaLookback=2 *QuantLib::Weeks, const QuantLib::Period &inflationLookback=1 *QuantLib::Years)

Detailed Description

Logic for calculating required fixing dates on legs.