CompositeIndex Class Reference

Inheritance diagram for CompositeIndex:

Public Member Functions
	CompositeIndex (const std::string &name, const std::vector< boost::shared_ptr< QuantLib::Index >> &indices, const std::vector< Real > &weights, const std::vector< boost::shared_ptr< FxIndex >> &fxConversion={})
std::string	name () const override
	Index interface.
Calendar	fixingCalendar () const override
bool	isValidFixingDate (const Date &fixingDate) const override
Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
bool	allowsNativeFixings () override
void	update () override
	Observer interface.
const std::vector< boost::shared_ptr< QuantLib::Index > > &	indices () const
	Inspectors.
const std::vector< Real > &	weights () const
const std::vector< boost::shared_ptr< FxIndex > > &	fxConversion () const
Real	dividendsBetweenDates (const Date &startDate, const Date &endDate=Date::maxDate()) const
std::vector< std::pair< QuantLib::Date, std::string > >	dividendFixingDates (const Date &startDate, const Date &endDate=Date::maxDate())

Constructor & Destructor Documentation

CompositeIndex()

CompositeIndex	(	const std::string &	name,
		const std::vector< boost::shared_ptr< QuantLib::Index >> &	indices,
		const std::vector< Real > &	weights,
		const std::vector< boost::shared_ptr< FxIndex >> &	fxConversion = {}
	)

fxConversion can be an empty vector or its length should match indices. For components that do not require a conversion, a nullptr should be given, otherwise a FxIndex with domestic ccy equal to the target currency of the index

Member Function Documentation

dividendsBetweenDates()

Real dividendsBetweenDates	(	const Date &	startDate,
		const Date &	endDate = Date::maxDate()
	)		const

Collect dividends from equity underlying indices, apply weighting, fx conversion (if any) and return the sum. Notice that the endDate is capped at today, as in EquityIndex::dividendsBetweenDates. This only applies to underlying equity indices, for other index types zero dividends are returned