CompoEquityIndex Class Reference

Inheritance diagram for CompoEquityIndex:

Public Member Functions
	CompoEquityIndex (const QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > &source, const QuantLib::ext::shared_ptr< FxIndex > &fxIndex, const Date &dividendCutoffDate=Date())
QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 >	source () const
void	addDividend (const Dividend &dividend, bool forceOverwrite=false) override
	stores the historical dividend at the given date
const std::set< Dividend > &	dividendFixings () const override
Real	pastFixing (const Date &fixingDate) const override
	returns a past fixing at the given date
QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 >	clone (const Handle< Quote > spotQuote, const Handle< YieldTermStructure > &rate, const Handle< YieldTermStructure > &dividend, const Handle< EquityAnnouncedDividendCurve > &announcedDividend) const override
Public Member Functions inherited from EquityIndex2
	EquityIndex2 (const std::string &familyName, const Calendar &fixingCalendar, const Currency &currency, const Handle< Quote > spotQuote=Handle< Quote >(), const Handle< YieldTermStructure > &rate=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &dividend=Handle< YieldTermStructure >(), const Handle< EquityAnnouncedDividendCurve > &announcedDividend=Handle< EquityAnnouncedDividendCurve >())
std::string	name () const override
Currency	currency () const
Calendar	fixingCalendar () const override
bool	isValidFixingDate (const Date &fixingDate) const override
Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
Real	fixing (const Date &fixingDate, bool forecastTodaysFixing, bool incDividend) const
Real	dividendsBetweenDates (const Date &startDate, const Date &endDate, const bool historicalOnly=true) const
void	update () override
std::string	familyName () const
const Handle< Quote > &	equitySpot () const
const Handle< YieldTermStructure > &	equityForecastCurve () const
const Handle< YieldTermStructure > &	equityDividendCurve () const
const Handle< EquityAnnouncedDividendCurve > &	announcedDividendCurve () const
virtual Real	forecastFixing (const Date &fixingDate) const
virtual Real	forecastFixing (const Time &fixingTime) const override
	returns the fixing at the given time
virtual Real	forecastFixing (const Date &fixingDate, bool incDividend) const
virtual Real	forecastFixing (const Time &fixingTime, bool incDividend) const

Additional Inherited Members
std::string	familyName_
Currency	currency_
const Handle< YieldTermStructure >	rate_
const Handle< YieldTermStructure >	dividend_
const Handle< EquityAnnouncedDividendCurve >	announcedDividend_
std::string	name_
const Handle< Quote >	spotQuote_

Constructor & Destructor Documentation

CompoEquityIndex()

CompoEquityIndex	(	const QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > &	source,
		const QuantLib::ext::shared_ptr< FxIndex > &	fxIndex,
		const Date &	dividendCutoffDate = Date() )

• fxIndex source ccy must be the equity ccy, fxIndex target ccy is the new equity ccy
• dividends before the divCutoffDate are ignored, this is useful since there have to be fixings for the fx index on all dividend dates which might not be available

Member Function Documentation

addDividend()

void addDividend ( const Dividend & fixing, bool forceOverwrite = false )

overridevirtual

stores the historical dividend at the given date

the date passed as arguments must be the actual calendar date of the dividend.

Reimplemented from EquityIndex2.

dividendFixings()

const std::set< Dividend > & dividendFixings ( ) const

overridevirtual

Reimplemented from EquityIndex2.

pastFixing()

Real pastFixing ( const Date & fixingDate ) const

overridevirtual

returns a past 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.

Reimplemented from EquityIndex2.

clone()

QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > clone ( const Handle< Quote > spotQuote, const Handle< YieldTermStructure > & rate, const Handle< YieldTermStructure > & dividend, const Handle< EquityAnnouncedDividendCurve > & announcedDividend ) const

overridevirtual

Reimplemented from EquityIndex2.