#include <qle/indexes/fxindex.hpp>

Inheritance diagram for FxIndex:

Public Member Functions
	FxIndex (const std::string &familyName, Natural fixingDays, const Currency &source, const Currency &target, const Calendar &fixingCalendar, const Handle< YieldTermStructure > &sourceYts=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &targetYts=Handle< YieldTermStructure >(), bool fixingTriangulation=false)
	FxIndex (const std::string &familyName, Natural fixingDays, const Currency &source, const Currency &target, const Calendar &fixingCalendar, const Handle< Quote > fxSpot, const Handle< YieldTermStructure > &sourceYts=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &targetYts=Handle< YieldTermStructure >(), bool fixingTriangulation=true)
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
Inspectors
std::string	familyName () const
std::string	oreName () const
Natural	fixingDays () const
Date	fixingDate (const Date &valueDate) const
const Currency &	sourceCurrency () const
const Currency &	targetCurrency () const
const Handle< YieldTermStructure > &	sourceCurve () const
const Handle< YieldTermStructure > &	targetCurve () const
const Handle< Quote >	fxQuote (bool withSettlementLag=false) const
	fxQuote returns instantaneous Quote by default, otherwise settlement after fixingDays
const bool	useQuote () const
Date calculations
virtual Date	valueDate (const Date &fixingDate) const

Fixing calculations
std::string	familyName_
std::string	oreName_
Natural	fixingDays_
Currency	sourceCurrency_
Currency	targetCurrency_
const Handle< YieldTermStructure >	sourceYts_
const Handle< YieldTermStructure >	targetYts_
std::string	name_
const Handle< Quote >	fxSpot_
Handle< Quote >	fxRate_
bool	useQuote_
virtual Real	forecastFixing (const Time &fixingTime) const override
	It can be overridden to implement particular conventions.
virtual Real	forecastFixing (const Date &fixingDate) const
Real	pastFixing (const Date &fixingDate) const override
	returns a past fixing at the given date
QuantLib::ext::shared_ptr< FxIndex >	clone (const Handle< Quote > fxQuote=Handle< Quote >(), const Handle< YieldTermStructure > &sourceYts=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &targetYts=Handle< YieldTermStructure >(), const std::string &familyName=std::string())
	clone the index, the clone will be linked to the provided handles

Detailed Description

FX Index.

Constructor & Destructor Documentation

◆ FxIndex()

FxIndex	(	const std::string &	familyName,
		Natural	fixingDays,
		const Currency &	source,
		const Currency &	target,
		const Calendar &	fixingCalendar,
		const Handle< YieldTermStructure > &	sourceYts = Handle< YieldTermStructure >(),
		const Handle< YieldTermStructure > &	targetYts = Handle< YieldTermStructure >(),
		bool	fixingTriangulation = false )

familyName may be e.g. ECB fixingDays determine the spot date of the currency pair source is the asset or foreign currency target is the numeraire or domestic currency fixingCalendar is the calendar defining good days for the pair this class uses the exchange rate manager to retrieve spot values fxSpot is the fx rate settled at today + fixingDays

Member Function Documentation

◆ forecastFixing()

virtual Real forecastFixing ( const Time & fixingTime ) const

overridevirtual

It can be overridden to implement particular conventions.

Implements EqFxIndexBase.

◆ 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.