Class EquityIndex

Namespace

NanoQL.Indexes

Assembly

NanoQL.dll

Base class for equity indexes.

public class EquityIndex : FinancialIndex

Inheritance

object

FinancialIndex

EquityIndex

Inherited Members

FinancialIndex.HasHistoricalFixing(Date, EvaluationContext)

FinancialIndex.PastFixing(Date, EvaluationContext)

FinancialIndex.TimeSeries(EvaluationContext)

FinancialIndex.FixingDates(Date)

FinancialIndex.AllowsNativeFixings

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

The equity index object allows to retrieve past fixings, as well as project future fixings using either both the risk free interest rate term structure and the dividend term structure, or just the interest rate term structure in which case one can provide a term structure of equity forwards implied from, e.g. option prices.

In case of the first method, the forward is calculated as I(t, T) = I(t, t) P_D(t, T) / P_R(t, T), where I(t, t) is today's value of the index, P_D(t, T) is a discount factor of the dividend curve at future time T, and P_R(t, T) is a discount factor of the risk free curve at future time T. In case of the latter method, the forward is calculated as I(t, T) = I(t, t) / P_F(t, T), where P_F(t, T) is a discount factor of the equity forward term structure.

To forecast future fixings, the user can provide the current index spot. If the spot is null, today's fixing will be used instead.

Each discount factor is read from the evaluation date t: P(t, T) is the curve's discount at T over its discount at t, nothing accruing before the curve's own reference date. QuantLib reads each curve's discount at T from its own reference date (equityindex.cpp:84-88), which is the formula's only where the curve is dated on or after the evaluation date; on such a curve the forecast is QuantLib's bit for bit, and on a curve dated before it a documented divergence.

Constructors

EquityIndex(string, Calendar, Currency?, YieldTermStructure?, YieldTermStructure?, double?)

Initializes a new instance of the EquityIndex class.

public EquityIndex(string name, Calendar fixingCalendar, Currency? currency, YieldTermStructure? interest = null, YieldTermStructure? dividend = null, double? spot = null)

Parameters

name string

The index's name.

fixingCalendar Calendar

The calendar defining valid fixing dates.

currency Currency

The index currency, or null, QuantLib's empty currency.

interest YieldTermStructure

The interest rate curve used to forecast fixings, or null for none.

dividend YieldTermStructure

The dividend curve used to forecast fixings, or null for none.

spot double?

The index spot value, or null for none.

Exceptions

ArgumentNullException

name or fixingCalendar is null.

Properties

Currency

Gets the index currency, or null for QuantLib's empty currency.

public Currency? Currency { get; }

Property Value

Currency

EquityDividendCurve

Gets the dividend curve used to forecast fixings, or null for none.

public YieldTermStructure? EquityDividendCurve { get; }

Property Value

YieldTermStructure

EquityInterestRateCurve

Gets the rate curve used to forecast fixings, or null for none.

public YieldTermStructure? EquityInterestRateCurve { get; }

Property Value

YieldTermStructure

FixingCalendar

Gets the calendar defining valid fixing dates.

public override Calendar FixingCalendar { get; }

Property Value

Calendar

Name

Gets the index's name, which keys its stored fixings. It is meant for output and comparison, not for code that switches on the index's type.

public override string Name { get; }

Property Value

string

Spot

Gets the index spot value, or null for none.

public double? Spot { get; }

Property Value

double?

Methods

Clone(YieldTermStructure?, YieldTermStructure?, double?)

A copy of the index on other interest and dividend curves and spot.

public virtual EquityIndex Clone(YieldTermStructure? interest, YieldTermStructure? dividend, double? spot)

Parameters

interest YieldTermStructure

The interest rate curve, or null for none.

dividend YieldTermStructure

The dividend curve, or null for none.

spot double?

The spot value, or null for none.

Returns

EquityIndex

The copy.

Fixing(Date, EvaluationContext, bool)

The fixing on a date. A date after the evaluation date, or on it with forecastTodaysFixing, is forecast; otherwise the stored fixing is used, or on the evaluation date the spot when no fixing is stored.

public override double Fixing(Date fixingDate, EvaluationContext context, bool forecastTodaysFixing = false)

Parameters

fixingDate Date

The actual calendar date of the fixing.

context EvaluationContext

The evaluation context.

forecastTodaysFixing bool

Whether a fixing on the evaluation date is forecast even when one is stored.

Returns

double

The fixing.

Exceptions

ArgumentException

fixingDate is not a valid fixing date.

NanoQLException

A fixing that must be stored is missing.

ForecastFixing(Date, EvaluationContext)

The forecast fixing on a date: the forward of today's value on the curves.

public virtual double ForecastFixing(Date fixingDate, EvaluationContext context)

Parameters

fixingDate Date

The fixing date.

context EvaluationContext

The evaluation context, whose evaluation date and fixings are read.

Returns

double

The forecast fixing.

Remarks

An extension point: it can be overridden to implement particular conventions.

Exceptions

NanoQLException

No interest rate curve is set, or neither a spot nor a fixing on the last fixing date is available.

IsValidFixingDate(Date)

Whether a date is a valid fixing date.

public override bool IsValidFixingDate(Date fixingDate)

Parameters

fixingDate Date

The date.

Returns

bool

true when it is.