FormulaBasedIndex Class Reference

formula based index class More...

#include <qle/indexes/formulabasedindex.hpp>

Inheritance diagram for FormulaBasedIndex:

Public Member Functions
	FormulaBasedIndex (const std::string &familyName, const std::vector< QuantLib::ext::shared_ptr< InterestRateIndex >> &indices, const CompiledFormula &formula, const Calendar &fixingCalendar)
Date	maturityDate (const Date &valueDate) const override
Rate	forecastFixing (const Date &fixingDate) const override
Rate	pastFixing (const Date &fixingDate) const override
bool	allowsNativeFixings () override
const std::vector< QuantLib::ext::shared_ptr< InterestRateIndex > > &	indices () const
const CompiledFormula &	formula () const

Detailed Description

formula based index class

The variables in the given formula must correspond to index vector, both w.r.t. size and position.

Warning:

• tenor is set to 0d for this index, since it doesn't have a meaningful interpretation
• fixingDays are set to the value of the first index, because Null<Size> could be interpreted as the actual (big) number of fixing days by client code
• currency is set to Currency()
• dayCounter is set to SimpleDayCounter(), because it's used in InterestRateIndex to set the name, which is overwritten here though
• fixingCalendar should be explicitly given, since it is used to derive the fixing date in formula based coupons (and to determine valid fixing dates)