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Class InterestRateIndex

base class for interest rate indexes

todo

add methods returning InterestRate

Hierarchy

Implements

Index

Properties

Methods

Properties

Protected _currency

_currency: Currency

Protected _dayCounter

_dayCounter: DayCounter

Protected _familyName

_familyName: string

Private _fixingCalendar

_fixingCalendar: Calendar

Protected _fixingDays

_fixingDays: Natural

_isDisposed

_isDisposed: boolean = false

Protected _name

_name: string

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _tenor

_tenor: Period

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

currency

  • Returns Currency

dayCounter

  • Returns DayCounter

familyName

  • familyName(): string

  • Returns string

fixing

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

  • Parameters

    • fixingDate: Date
    • Default value forecastTodaysFixing: boolean = false

    Returns Rate

fixingCalendar

fixingDate

  • fixingDate(valueDate: Date): Date

  • Parameters

    • valueDate: Date

    Returns Date

fixingDays

  • Returns Natural

forecastFixing1

  • forecastFixing1(fixingDate: Date): Rate

  • It can be overridden to implement particular conventions

    Parameters

    • fixingDate: Date

    Returns Rate

init

isValidFixingDate

  • isValidFixingDate(d: Date): boolean

maturityDate

  • maturityDate(valueDate: Date): Date

  • Parameters

    • valueDate: Date

    Returns Date

name

  • name(): string

  • Returns string

pastFixing

  • pastFixing(fixingDate: Date): Rate

  • Parameters

    • fixingDate: Date

    Returns Rate

tenor

  • Returns Period

update

  • update(): void

valueDate

  • valueDate(fixingDate: Date): Date

  • name Date calculations

    These method can be overridden to implement particular conventions (e.g. EurLibor)

    Parameters

    • fixingDate: Date

    Returns Date