org.jquantlib.indexes

Class InterestRateIndex

java.lang.Object

org.jquantlib.indexes.Index

org.jquantlib.indexes.InterestRateIndex

All Implemented Interfaces:

Observable, Observer

Direct Known Subclasses:

BMAIndex, IborIndex, SwapIndex

public abstract class InterestRateIndex
extends Index
implements Observer

Constructor Summary

Constructors

Constructor and Description
InterestRateIndex(java.lang.String familyName, Period tenor, int fixingDays, Currency currency, Calendar fixingCalendar, DayCounter dayCounter)

Method Summary

Modifier and Type	Method and Description
Currency	currency()
DayCounter	dayCounter()
java.lang.String	familyName()
double	fixing(Date fixingDate)
double	fixing(Date fixingDate, boolean forecastTodaysFixing)
Calendar	fixingCalendar()
Date	fixingDate(Date valueDate)
int	fixingDays()
boolean	isValidFixingDate(Date fixingDate)
abstract Date	maturityDate(Date valueDate)
java.lang.String	name()
Period	tenor()
abstract Handle<YieldTermStructure>	termStructure()
void	update() This method is called whenever the observed object is changed.
Date	valueDate(Date fixingDate)

Methods inherited from class org.jquantlib.indexes.Index

addFixing, addFixing, addFixings, addObserver, clearFixings, countObservers, deleteObserver, deleteObservers, getObservers, notifyObservers, notifyObservers, timeSeries

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

InterestRateIndex

public InterestRateIndex(java.lang.String familyName,
                         Period tenor,
                         int fixingDays,
                         Currency currency,
                         Calendar fixingCalendar,
                         DayCounter dayCounter)

Method Detail

name

public java.lang.String name()

Specified by:

name in class Index

Returns:

name of the Index

fixingCalendar

public Calendar fixingCalendar()

Specified by:

fixingCalendar in class Index

Returns:

the calendar defining valid fixing dates

isValidFixingDate

public boolean isValidFixingDate(Date fixingDate)

Specified by:

isValidFixingDate in class Index

Returns:

TRUE if the fixing date is a valid one

familyName

public java.lang.String familyName()

tenor

public Period tenor()

fixingDays

public int fixingDays()

currency

public Currency currency()

dayCounter

public DayCounter dayCounter()

termStructure

public abstract Handle<YieldTermStructure> termStructure()

maturityDate

public abstract Date maturityDate(Date valueDate)

fixing

public double fixing(Date fixingDate,
                     boolean forecastTodaysFixing)

Specified by:

fixing in class Index

Returns:

the fixing at the given date. The date passed as arguments must be the actual calendar date of the fixing; no settlement days must be used.

fixing

public double fixing(Date fixingDate)

Overrides:

fixing in class Index

fixingDate

public Date fixingDate(Date valueDate)

valueDate

public Date valueDate(Date fixingDate)

update

public void update()

Description copied from interface: Observer

This method is called whenever the observed object is changed.

Specified by:

update in interface Observer