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Class Libor

base class for all ICE LIBOR indexes but the EUR, O/N, and S/N ones

LIBOR fixed by ICE.

See https://www.theice.com/marketdata/reports/170.

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

Protected _convention

_convention: BusinessDayConvention

Protected _currency

_currency: Currency

Protected _dayCounter

_dayCounter: DayCounter

Protected _endOfMonth

_endOfMonth: boolean

Protected _familyName

_familyName: string

Private _financialCenterCalendar

_financialCenterCalendar: Calendar

Protected _fixingDays

_fixingDays: Natural

_isDisposed

_isDisposed: boolean = false

Private _jointCalendar

_jointCalendar: Calendar

Protected _name

_name: string

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _tenor

_tenor: Period

Protected _termStructure

_termStructure: Handle<YieldTermStructure>

addFixings1

addFixings1: (t: TimeSeries<Real>, forceOverwrite?: boolean) => void

Type declaration

addFixings2

addFixings2: (d: Date[], dBegin: Size, dEnd: Size, v: Real[], vBegin: Size, forceOverwrite?: boolean) => void

Type declaration

    • (d: Date[], dBegin: Size, dEnd: Size, v: Real[], vBegin: Size, forceOverwrite?: boolean): void

    • Parameters

      • d: Date[]
      • dBegin: Size
      • dEnd: Size
      • v: Real[]
      • vBegin: Size
      • Optional forceOverwrite: boolean

      Returns void

checkNativeFixingsAllowed

checkNativeFixingsAllowed: () => void

Type declaration

    • (): void

    • Returns void

clearFixings

clearFixings: () => void

Type declaration

    • (): void

    • Returns void

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

timeSeries

timeSeries: () => TimeSeries<Real>

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

addFixing

  • addFixing(fixingDate: Date, fixing: Real, forceOverwrite?: boolean): void

  • Parameters

    • fixingDate: Date
    • fixing: Real
    • Optional forceOverwrite: boolean

    Returns void

allowsNativeFixings

  • allowsNativeFixings(): boolean

businessDayConvention

clone

currency

dayCounter

endOfMonth

  • endOfMonth(): boolean

familyName

  • familyName(): string

fixing

  • fixing(fixingDate: Date, forecastTodaysFixing?: boolean): Rate

fixingCalendar

fixingDate

  • fixingDate(valueDate: Date): Date

fixingDays

forecastFixing1

  • forecastFixing1(fixingDate: Date): Rate

forecastFixing2

  • forecastFixing2(d1: Date, d2: Date, t: Time): Rate

  • overload to avoid date/time (re)calculation

    This can be called with cached coupon dates (and it does give quite a performance boost to coupon calculations) but is potentially misleading: by passing the wrong dates, one can ask a 6-months index for a 1-year fixing.

    For that reason, we're leaving this method private and we're declaring the IborCoupon class (which uses it) as a friend. Should the need arise, we might promote it to public, but before doing that I'd think hard whether we have any other way to get the same results.

    Parameters

    • d1: Date
    • d2: Date
    • t: Time

    Returns Rate

forwardingTermStructure

init

isValidFixingDate

  • isValidFixingDate(d: Date): boolean

jointCalendar

  • Returns Calendar

maturityDate

  • maturityDate(valueDate: Date): Date

  • Parameters

    • valueDate: Date

    Returns Date

name

  • name(): string

pastFixing

  • pastFixing(fixingDate: Date): Rate

tenor

update

  • update(): void

valueDate

  • valueDate(fixingDate: Date): Date