Class IndexFixings

Namespace

NanoQL.Indexes

Assembly

NanoQL.dll

The stored fixings of indexes, by index name: QuantLib's IndexManager, as an immutable value that Fixings holds.

public sealed class IndexFixings : IEquatable<IndexFixings>

Inheritance

object

IndexFixings

Implements

IEquatable<IndexFixings>

Inherited Members

object.GetType()

object.ToString()

object.Equals(object, object)

object.ReferenceEquals(object, object)

Remarks

Every change returns a new store, as .NET's immutable collections do. The writers take the index, whose name keys its history and whose IsValidFixingDate(Date) and AllowsNativeFixings QuantLib's checks read; an index reads its fixings through PastFixing(Date, EvaluationContext), HasHistoricalFixing(Date, EvaluationContext) and TimeSeries(EvaluationContext).

Names compare as QuantLib's do: ASCII letters upper-cased, every other character as it is, so "Euribor6M" and "EURIBOR6M" share a history. The first spelling stored is the one Histories() gives, in the order of that comparison.

Two stores are equal when they hold the same names, by that comparison, each with an equal history; which spelling was kept doesn't count. The hash combines one hash per history, each computed when its series was built.

Three divergences from QuantLib: a refused batch changes nothing, where QuantLib stores its valid fixings, and a null entry at the refused date, before it throws; reading never writes, where QuantLib's reads insert null entries and empty histories; and a fixing equal to QuantLib's null sentinel Null<Real>() (3.4028234663852886e38) is stored as a value, where QuantLib reads it as no fixing.

Properties

Empty

Gets the store with no fixings, QuantLib's state after clearHistories().

public static IndexFixings Empty { get; }

Property Value

IndexFixings

Methods

AddFixing(FinancialIndex, Date, double, bool)

A store with one more fixing, written on every date the index gives for it.

public IndexFixings AddFixing(FinancialIndex index, Date fixingDate, double fixing, bool forceOverwrite = false)

Parameters

index FinancialIndex

The index the fixing is for.

fixingDate Date

The actual calendar date of the fixing, with no settlement days applied.

fixing double

The fixing.

forceOverwrite bool

Whether a fixing already stored on those dates is replaced.

Returns

IndexFixings

The new store; this one is unchanged.

Remarks

The fixing is written on each date of the index's FixingDates(Date): the date alone, or for an inflation index every day of the date's inflation period, as QuantLib's InflationIndex::addFixing writes it. The dates are written together, through the same checks as AddFixings(FinancialIndex, IEnumerable<Date>, IEnumerable<double>, bool), all or nothing.

Exceptions

ArgumentException

A date isn't a valid fixing date, or a different fixing is stored on one and forceOverwrite is false.

NanoQLException

The index allows no native fixings.

AddFixings(FinancialIndex, TimeSeries<double>, bool)

A store with more fixings, taken from a series.

public IndexFixings AddFixings(FinancialIndex index, TimeSeries<double> fixings, bool forceOverwrite = false)

Parameters

index FinancialIndex

The index the fixings are for.

fixings TimeSeries<double>

The fixings, on the actual calendar dates of the fixings.

forceOverwrite bool

Whether fixings already stored on those dates are replaced.

Returns

IndexFixings

The new store; this one is unchanged.

Exceptions

ArgumentException

A date isn't a valid fixing date, or a different fixing is stored on it and forceOverwrite is false. Nothing is stored then.

NanoQLException

The index allows no native fixings.

AddFixings(FinancialIndex, IEnumerable<Date>, IEnumerable<double>, bool)

A store with more fixings, taken in pairs from two sequences.

public IndexFixings AddFixings(FinancialIndex index, IEnumerable<Date> fixingDates, IEnumerable<double> fixings, bool forceOverwrite = false)

Parameters

index FinancialIndex

The index the fixings are for.

fixingDates IEnumerable<Date>

The actual calendar dates of the fixings, with no settlement days applied.

fixings IEnumerable<double>

The fixings, one per date; values beyond the last date are ignored, as in QuantLib.

forceOverwrite bool

Whether fixings already stored on those dates are replaced.

Returns

IndexFixings

The new store; this one is unchanged. With no dates, it holds an empty history for the index, as QuantLib's does.

Exceptions

ArgumentException

There are fewer fixings than dates; or a date isn't a valid fixing date, or a different fixing is stored on it and forceOverwrite is false. Nothing is stored then.

NanoQLException

The index allows no native fixings.

ClearFixings(FinancialIndex)

A store without the index's fixings.

public IndexFixings ClearFixings(FinancialIndex index)

Parameters

index FinancialIndex

The index.

Returns

IndexFixings

The new store; this one is unchanged.

Exceptions

NanoQLException

The index allows no native fixings.

Equals(IndexFixings?)

public bool Equals(IndexFixings? other)

Parameters

other IndexFixings

Returns

bool

Equals(object?)

public override bool Equals(object? obj)

Parameters

obj object

Returns

bool

GetHashCode()

public override int GetHashCode()

Returns

int

Histories()

The names of the indexes whose fixings are stored, as first spelt, in QuantLib's order.

public ImmutableArray<string> Histories()

Returns

ImmutableArray<string>

The names.