Reference manual - version qle_version
#include <qle/indexes/bondindex.hpp>
Inheritance diagram for BondFuturesIndex:Public Member Functions | |
| BondFuturesIndex (const QuantLib::Date &expiryDate, const std::string &securityName, const bool dirty=false, const bool relative=true, const Calendar &fixingCalendar=NullCalendar(), const boost::shared_ptr< QuantLib::Bond > &bond=nullptr, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Handle< DefaultProbabilityTermStructure > &defaultCurve=Handle< DefaultProbabilityTermStructure >(), const Handle< Quote > &recoveryRate=Handle< Quote >(), const Handle< Quote > &securitySpread=Handle< Quote >(), const Handle< YieldTermStructure > &incomeCurve=Handle< YieldTermStructure >(), const bool conditionalOnSurvival=true, const Date &issueDate=Date(), const PriceQuoteMethod priceQuoteMethod=PriceQuoteMethod::PercentageOfPar, const double priceQuoteBaseValue=1.0) | |
Index interface | |
| std::string | name () const override |
Fixing calculations | |
| Rate | forecastFixing (const Date &fixingDate) const override |
| Public Member Functions inherited from BondIndex | |
| BondIndex (const std::string &securityName, const bool dirty=false, const bool relative=true, const Calendar &fixingCalendar=NullCalendar(), const boost::shared_ptr< QuantLib::Bond > &bond=nullptr, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Handle< DefaultProbabilityTermStructure > &defaultCurve=Handle< DefaultProbabilityTermStructure >(), const Handle< Quote > &recoveryRate=Handle< Quote >(), const Handle< Quote > &securitySpread=Handle< Quote >(), const Handle< YieldTermStructure > &incomeCurve=Handle< YieldTermStructure >(), const bool conditionalOnSurvival=true, const Date &issueDate=Date(), const PriceQuoteMethod priceQuoteMethod=PriceQuoteMethod::PercentageOfPar, const double priceQuoteBaseValue=1.0, const bool isInflationLinked=false, const double bidAskAdjustment=0.0, const bool bondIssueDateFallback=false) | |
| std::string | name () const override |
| Calendar | fixingCalendar () const override |
| bool | isValidFixingDate (const Date &fixingDate) const override |
| Real | fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override |
| void | update () override |
| Rate | pastFixing (const Date &fixingDate) const |
| const std::string & | securityName () const |
| bool | dirty () const |
| bool | relative () const |
| boost::shared_ptr< QuantLib::Bond > | bond () const |
| Handle< YieldTermStructure > | discountCurve () const |
| Handle< DefaultProbabilityTermStructure > | defaultCurve () const |
| Handle< Quote > | recoveryRate () const |
| Handle< Quote > | securitySpread () const |
| Handle< YieldTermStructure > | incomeCurve () const |
| bool | conditionalOnSurvival () const |
| Date | issueDate () const |
| PriceQuoteMethod | priceQuoteMethod () const |
| double | priceQuoteBaseValue () const |
Inspectors | |
| const QuantLib::Date & | expiryDate () const |
Additional Inherited Members | |
| Public Types inherited from BondIndex | |
| enum class | PriceQuoteMethod { PercentageOfPar , CurrencyPerUnit } |
| Protected Attributes inherited from BondIndex | |
| std::string | securityName_ |
| bool | dirty_ |
| bool | relative_ |
| Calendar | fixingCalendar_ |
| boost::shared_ptr< QuantLib::Bond > | bond_ |
| Handle< YieldTermStructure > | discountCurve_ |
| Handle< DefaultProbabilityTermStructure > | defaultCurve_ |
| Handle< Quote > | recoveryRate_ |
| Handle< Quote > | securitySpread_ |
| Handle< YieldTermStructure > | incomeCurve_ |
| bool | conditionalOnSurvival_ |
| Date | issueDate_ |
| PriceQuoteMethod | priceQuoteMethod_ |
| double | priceQuoteBaseValue_ |
| bool | isInflationLinked_ |
| double | bidAskAdjustment_ |
| boost::shared_ptr< DiscountingRiskyBondEngine > | vanillaBondEngine_ |
| bool | bondIssueDateFallback_ = false |
Bond Futures Index.
