DateGrid Class Reference

Simulation Date Grid. More...

#include <ored/utilities/dategrid.hpp>

Public Member Functions
	DateGrid ()
	Build a date grid with a single date equal to Settings::instance().evaluationDate().
	DateGrid (const std::string &grid, const QuantLib::Calendar &gridCalendar=QuantLib::TARGET(), const QuantLib::DayCounter &dayCounter=QuantLib::ActualActual(QuantLib::ActualActual::ISDA))
	DateGrid (const std::vector< QuantLib::Period > &tenors, const QuantLib::Calendar &gridCalendar=QuantLib::TARGET(), const QuantLib::DayCounter &dayCounter=QuantLib::ActualActual(QuantLib::ActualActual::ISDA))
	Build a date grid from the given vector of tenors.
	DateGrid (const std::vector< QuantLib::Date > &dates, const QuantLib::Calendar &gridCalendar=QuantLib::TARGET(), const QuantLib::DayCounter &dayCounter=QuantLib::ActualActual(QuantLib::ActualActual::ISDA))
	Build a date grid from an explicit set of dates, sorted in ascending order.
QuantLib::Size	size () const
	The size of the date grid.
void	addCloseOutDates (const QuantLib::Period &p=QuantLib::Period(2, QuantLib::Weeks))

Inspectors
const std::vector< QuantLib::Period > &	tenors () const
const std::vector< QuantLib::Date > &	dates () const
const std::vector< bool > &	isValuationDate () const
const std::vector< bool > &	isCloseOutDate () const
std::vector< QuantLib::Date >	valuationDates () const
std::vector< QuantLib::Date >	closeOutDates () const
const QuantLib::Calendar &	calendar () const
const QuantLib::DayCounter &	dayCounter () const
const std::vector< QuantLib::Time > &	times () const
	Returns the times from Settings::instance().evaluationDate to each Date using the day counter.
const QuantLib::TimeGrid &	timeGrid () const
	Returns the time grid associated with the vector of times (plus t=0).
QuantLib::Date	closeOutDateFromValuationDate (const QuantLib::Date &d) const
	Return close-out date associated to given valuation date.
const QuantLib::Date &	operator[] (QuantLib::Size i) const
	Accessor methods.

Detailed Description

Simulation Date Grid.

Utility for building a simulation date grid.

Constructor & Destructor Documentation

DateGrid()

DateGrid	(	const std::string &	grid,
		const QuantLib::Calendar &	gridCalendar = QuantLib::TARGET(),
		const QuantLib::DayCounter &	dayCounter = QuantLib::ActualActual(QuantLib::ActualActual::ISDA) )

Build a date grid from a string which can be of the form 40,1M or 1D,2D,1W,2W,3Y,5Y or a fixed name (ALPHA, BETA) indicating a hard coded grid structure

Member Function Documentation

addCloseOutDates()

void addCloseOutDates

(

const QuantLib::Period &

p = QuantLib::Period(2, QuantLib::Weeks)

)

Add close out dates. If 0D is given, the valuation dates itself are treated as close out dates. The first date is a valuation date only and the last date is a close out date only then, all other dates are both valuation and close out dates.