/usr/include/ql/indexes/interestrateindex.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006, 2007, 2009 StatPro Italia srl
Copyright (C) 2006, 2011 Ferdinando Ametrano
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file interestrateindex.hpp
\brief base class for interest rate indexes
*/
#ifndef quantlib_interestrateindex_hpp
#define quantlib_interestrateindex_hpp
#include <ql/index.hpp>
#include <ql/time/calendar.hpp>
#include <ql/currency.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/period.hpp>
namespace QuantLib {
//! base class for interest rate indexes
/*! \todo add methods returning InterestRate */
class InterestRateIndex : public Index,
public Observer {
public:
InterestRateIndex(const std::string& familyName,
const Period& tenor,
Natural settlementDays,
const Currency& currency,
const Calendar& fixingCalendar,
const DayCounter& dayCounter);
//! \name Index interface
//@{
std::string name() const;
Calendar fixingCalendar() const;
bool isValidFixingDate(const Date& fixingDate) const;
Rate fixing(const Date& fixingDate,
bool forecastTodaysFixing = false) const;
//@}
//! \name Observer interface
//@{
void update();
//@}
//! \name Inspectors
//@{
std::string familyName() const { return familyName_; }
Period tenor() const { return tenor_; }
Natural fixingDays() const { return fixingDays_; }
Date fixingDate(const Date& valueDate) const;
const Currency& currency() const { return currency_; }
const DayCounter& dayCounter() const { return dayCounter_; }
//@}
/*! \name Date calculations
These method can be overridden to implement particular
conventions (e.g. EurLibor)
@{
*/
virtual Date valueDate(const Date& fixingDate) const;
virtual Date maturityDate(const Date& valueDate) const = 0;
//@}
//! \name Fixing calculations
//@{
//! It can be overridden to implement particular conventions
virtual Rate forecastFixing(const Date& fixingDate) const = 0;
Rate pastFixing(const Date& fixingDate) const;
// @}
protected:
std::string familyName_;
Period tenor_;
Natural fixingDays_;
Currency currency_;
DayCounter dayCounter_;
std::string name_;
private:
Calendar fixingCalendar_;
};
// inline definitions
inline std::string InterestRateIndex::name() const {
return name_;
}
inline Calendar InterestRateIndex::fixingCalendar() const {
return fixingCalendar_;
}
inline bool InterestRateIndex::isValidFixingDate(const Date& d) const {
return fixingCalendar().isBusinessDay(d);
}
inline void InterestRateIndex::update() {
notifyObservers();
}
inline Date InterestRateIndex::fixingDate(const Date& valueDate) const {
Date fixingDate = fixingCalendar().advance(valueDate,
-static_cast<Integer>(fixingDays_), Days);
return fixingDate;
}
inline Date InterestRateIndex::valueDate(const Date& fixingDate) const {
QL_REQUIRE(isValidFixingDate(fixingDate),
fixingDate << " is not a valid fixing date");
return fixingCalendar().advance(fixingDate, fixingDays_, Days);
}
inline Rate InterestRateIndex::pastFixing(const Date& fixingDate) const {
QL_REQUIRE(isValidFixingDate(fixingDate),
fixingDate << " is not a valid fixing date");
return timeSeries()[fixingDate];
}
}
#endif
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