FixingManager Class Reference

Pseudo Fixings Manager. More...

#include <orea/simulation/fixingmanager.hpp>

Public Types
using	FixingMap = std::map< QuantLib::ext::shared_ptr< Index >, std::set< Date >, detail::IndexComparator >
	Cashflow handler type definitions.

Public Member Functions
	FixingManager (Date today)
void	initialise (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< Market > &market, const std::string &configuration=Market::defaultConfiguration)
	Initialise the manager with these flows and indices from the given portfolio.
void	update (Date d)
	Update fixings to date d.
void	reset ()
	Reset fixings to t0 (today)

Detailed Description

Pseudo Fixings Manager.

A Pseudo Fixing is a future historical fixing. When pricing on T0 but asof T and we require a fixing on t with T0 < t < T then the QuantLib pricing engines will look to the IndexManager for a fixing at t.

When moving between dates and simulation paths then the Fixings can change and should be populated in a path consistent manner

The FixingManager controls this updating and reset of the QuantLib::IndexManager for the required set of fixings

When stepping between simulation dated t_(n-1) and t_(n) and update a fixing t with t_(n-1) < t < t(n) than the fixing from t(n) will be backfilled. There is currently no interpolation of fixings.