Class Wibor

Namespace

NanoQL.Indexes

Assembly

NanoQL.dll

The WIBOR rate: the Warsaw Interbank Offered Rate fixed by ACI.

public sealed class Wibor : IborIndex

Inheritance

object

FinancialIndex

InterestRateIndex

IborIndex

Wibor

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.acipolska.pl/images/stories/Rules_for_Fixing_WIBID_and_WIBOR_Reference_Rates_EN.pdf. Roll convention and end of month not yet checked.

Constructors

Wibor(Period, YieldTermStructure?)

Initializes a new instance of the Wibor class.

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

Parameters

tenor Period

The tenor.

h YieldTermStructure

The forwarding curve, or null for none.