CurrencyHedgedEquityIndexDecomposition Class Reference

Public Member Functions
	CurrencyHedgedEquityIndexDecomposition (const std::string indexName, const boost::shared_ptr< ore::data::CurrencyHedgedEquityIndexReferenceDatum > &indexRefData, const boost::shared_ptr< ore::data::EquityIndexReferenceDatum > underlyingRefData, const std::string &indexCurrency, const std::string &underlyingIndexCurrency, const std::string &fxIndexName, const std::map< std::string, std::pair< double, std::string >> &currencyWeightsAndFxIndexNames)
const std::string &	indexName () const
const std::string &	underlyingIndexName () const
const std::string &	indexCurrency () const
const std::string &	underlyingIndexCurrency () const
const std::string &	fxIndexName () const
bool	isValid () const
QuantLib::Date	referenceDate (const QuantLib::Date &asof) const
QuantLib::Date	rebalancingDate (const QuantLib::Date &asof) const
const std::map< std::string, std::pair< double, std::string > > &	currencyWeightsAndFxIndexNames () const
std::map< std::string, double >	fxSpotRiskFromForwards (const double quantity, const QuantLib::Date &asof, const boost::shared_ptr< ore::data::Market > &todaysMarket) const
double	unhedgedDelta (double hedgedDelta, const double quantity, const QuantLib::Date &asof, const boost::shared_ptr< ore::data::Market > &todaysMarket) const
boost::shared_ptr< ore::data::EquityIndexReferenceDatum >	underlyingRefData () const
boost::shared_ptr< ore::data::CurrencyHedgedEquityIndexReferenceDatum >	indexRefData () const
void	addAdditionalFixingsForEquityIndexDecomposition (const QuantLib::Date &asof, std::map< std::string, std::set< QuantLib::Date >> &fixings) const

Static Public Member Functions
static QuantLib::Date	referenceDate (const boost::shared_ptr< CurrencyHedgedEquityIndexReferenceDatum > &refData, const QuantLib::Date &asof)
static QuantLib::Date	rebalancingDate (const boost::shared_ptr< CurrencyHedgedEquityIndexReferenceDatum > &refData, const QuantLib::Date &asof)