Class Mosprime

Namespace

NanoQL.Indexes

Assembly

NanoQL.dll

The MOSPRIME rate: the Moscow Prime Offered Rate fixed by NFEA.

public sealed class Mosprime : IborIndex

Inheritance

object

FinancialIndex

InterestRateIndex

IborIndex

Mosprime

Inherited Members

IborIndex.MaturityDate(Date)

IborIndex.ForecastFixing(Date, EvaluationContext)

IborIndex.Clone(YieldTermStructure)

IborIndex.BusinessDayConvention

IborIndex.EndOfMonth

IborIndex.ForwardingTermStructure

InterestRateIndex.IsValidFixingDate(Date)

InterestRateIndex.Fixing(Date, EvaluationContext, bool)

InterestRateIndex.FixingDate(Date)

InterestRateIndex.ValueDate(Date)

InterestRateIndex.Name

InterestRateIndex.FixingCalendar

InterestRateIndex.FamilyName

InterestRateIndex.Tenor

InterestRateIndex.FixingDays

InterestRateIndex.Currency

InterestRateIndex.DayCounter

FinancialIndex.HasHistoricalFixing(Date, EvaluationContext)

FinancialIndex.PastFixing(Date, EvaluationContext)

FinancialIndex.TimeSeries(EvaluationContext)

FinancialIndex.AllowsNativeFixings

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Conventions are taken from http://www.mosprime.com/uploads/files/MosPrime20Rate20Rules20since2030.01.2014.docx. Roll convention and end of month not yet checked.

Constructors

Mosprime(Period, YieldTermStructure?)

Initializes a new instance of the Mosprime class.

public Mosprime(Period tenor, YieldTermStructure? h = null)

Parameters

tenor Period

The tenor.

h YieldTermStructure

The forwarding curve, or null for none.