BondFuturesIndex Class Reference

Bond Futures Index. More...

#include <qle/indexes/bondindex.hpp>

Inheritance diagram for BondFuturesIndex:

Public Member Functions
	BondFuturesIndex (const std::string &futureContract, const Date &futureExpiryDate=Date(), const QuantLib::ext::shared_ptr< QuantLib::Bond > &ctd=nullptr, const Real conversionFactor=Null< Real >(), const bool dirty=false)
Index interface
std::string	name () const override
Calendar	fixingCalendar () const override
bool	isValidFixingDate (const Date &fixingDate) const override
Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
Observer interface
void	update () override
Fixing calculations
virtual Rate	forecastFixing (const Date &fixingDate) const
Rate	pastFixing (const Date &fixingDate) const override

Inspectors
const std::string &	futureContract () const
const QuantLib::Date &	futureExpiryDate () const
const QuantLib::ext::shared_ptr< QuantLib::Bond > &	ctd () const
Real	conversionFactor () const
const bool	dirty () const
void	setName (const std::string &name) const

Detailed Description

Bond Futures Index.

The ctd refers to the ctd for the current global evaluation date