Index Types and Functions

These types and methods help to construct indexes (e.g. Libor) and use them in instrument pricing.

General Interest Rate Index Methods

InterestRateIndex is the Abstract Type from which the Ibor and Libor indexes are derived. These are some general methods for all interest rate indexes.

fixing_date(idx::InterestRateIndex, d::Date)

Returns the fixing date of the index

value_date(idx::InterestRateIndex, d::Date)

Returns the value date of the index

fixing(idx::InterestRateIndex, ts::TermStructure, _fixing_date::Date, forecast_todays_fixing::Bool=true)

Returns the fixing of the index at a given date

forecast_fixing(idx::InterestRateIndex, ts::TermStructure, _fixing_date::Date)

Calculates a forecasted fixing for a future date, given a fixing date

forecast_fixing(idx::InterestRateIndex, ts::TermStructure, d1::Date, d2::Date, t::Float64)

Calculates a forecasted fixing for a future date given two dates and the time period between the two dates

is_valid_fixing_date(idx::InterestRateIndex, d::Date)

Determines whether or not a date is a valid fixing date for the index (namely, is it a valid business day)

add_fixing!(idx::InterestRateIndex, d::Date, fixingVal::Float64)

Adds a fixing and date to the index’s cache of fixings

Ibor Index

immutable IborIndex <: InterestRateIndex
  familyName::AbstractString
  tenor::TenorPeriod
  fixingDays::Int
  currency::AbstractCurrency
  fixingCalendar::BusinessCalendar
  convention::BusinessDayConvention
  endOfMonth::Bool
  dc::DayCount
  ts::TermStructure
  pastFixings::Dict{Date, Float64}
end

IborIndex(familyName::AbstractString, tenor::TenorPeriod, fixingDays::Int, currency::AbstractCurrency, fixingCalendar::BusinessCalendar, convention::BusinessDayConvention, endOfMonth::Bool, dc::DayCount, ts::TermStructure = NullTermStructure())

Constructor for the Ibor Index, will default to a NullTermStructure (which must be set later - this actually will clone this index with a new TS, since the type is immutable)

maturity_date(idx::IborIndex, d::Date)

Returns the maturity date of the index

Libor Index

immutable LiborIndex <: InterestRateIndex
  familyName::AbstractString
  tenor::TenorPeriod
  fixingDays::Int
  currency::Currency
  fixingCalendar::BusinessCalendar
  jointCalendar::JointCalendar
  convention::BusinessDayConvention
  endOfMonth::Bool
  dc::DayCount
  ts::TermStructure
end

LiborIndex(familyName::AbstractString, tenor::TenorPeriod, fixingDays::Int, currency::Currency, fixingCalendar::BusinessCalendar, jointCalendar::JointCalendar, convention::BusinessDayConvention, endOfMonth::Bool, dc::DayCount, ts::TermStructure = NullTermStructure())

Default constructor for a Libor Index

LiborIndex(familyName::AbstractString, tenor::TenorPeriod, fixingDays::Int, currency::Currency, fixingCalendar::BusinessCalendar, dc::DayCount, yts::YieldTermStructure)

Additional constructor for a Libor Index, with no joint calendar or business day convention passed (the joint calendar is calculated)

value_date(idx::LiborIndex, d::Date)

Returns the value date of a libor index

maturity_date(idx::LiborIndex, d::Date)

Returns the maturity date of a libor index

Indexes Derived from Libor and Ibor

euribor_index(tenor::TenorPeriod)

Builds a Euribor Ibor index with a given time period (e.g. 6 month)

euribor_index(tenor::TenorPeriod, ts::TermStructure)

Builds a Euribor Ibor index with a given time period (e.g. 6 month) with a custom term structure

usd_libor_index(tenor::TenorPeriod, yts::YieldTermStructure)

Builds a USD Libor index with a given time period (e.g. 6 month) and term structure

Swap Index

immutable SwapIndex <: InterestRateIndex
  familyName::AbstractString
  tenor::TenorPeriod
  fixingDays::Int
  currency::Currency
  fixingCalendar::BusinessCalendar
  fixedLegTenor::Dates.Period
  fixedLegConvention::BusinessDayConvention
  fixedLegDayCount::DayCount
  discount::TermStructure
  iborIndex::IborIndex
  exogenousDiscount::Bool
  lastSwap::VanillaSwap
  lastFixingDate::Date
end

SwapIndex(familyName::AbstractString, tenor::TenorPeriod, fixingDays::Int, currency::Currency, fixingCalendar::BusinessCalendar, fixedLegTenor::Dates.Period, fixedLegConvention::BusinessDayConvention, fixedLegDayCount::DayCount, discount::TermStructure, iborIndex::IborIndex, exogenousDiscount::Bool = true)

Constructor for a Swap Index