Indices

Overview

functions to construct and use Index objects.

Function List

qlBMAIndex ()
qlEonia ()
qlEuribor ()
qlEuribor365 ()
qlEuriborSwap ()
qlEuriborSwapIsdaFixA ()
qlIborIndex ()
qlIborIndexBusinessDayConv ()
qlIborIndexEndOfMonth ()
qlIndexAddFixings ()
qlIndexAddFixings2 ()
qlIndexClearFixings ()
qlIndexFixing ()
qlIndexFixingCalendar ()
qlIndexIsValidFixingDate ()
qlIndexName ()
qlInterestRateIndexCurrency ()
qlInterestRateIndexDayCounter ()
qlInterestRateIndexFamilyName ()
qlInterestRateIndexFixingDate ()
qlInterestRateIndexFixingDays ()
qlInterestRateIndexMaturity ()
qlInterestRateIndexTenor ()
qlInterestRateIndexValueDate ()
qlLibor ()
qlLiborSwap ()
qlOvernightIndex ()
qlProxyIbor ()
qlSonia ()
qlSwapIndex ()
qlSwapIndexFixedLegBDC ()
qlSwapIndexFixedLegTenor ()

Function Documentation

qlBMAIndex

string returnValue
 
qlBMAIndex(
        string ObjectId
        string YieldCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BMAIndex and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
YieldCurve	forecasting YieldTermStructure object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlEonia

string returnValue
 
qlEonia(
        string ObjectId
        string YieldCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class Eonia and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
YieldCurve	forecasting YieldTermStructure object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlEuribor

string returnValue
 
qlEuribor(
        string ObjectId
        string Tenor
        string YieldCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class Euribor and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Tenor	index tenor: SW (1W), 2W, 3W, 1M, 2M, 3M, 4M, 5M, 6M, 7M, 8M, 9M, 10M, 11M, 12M (1Y).
YieldCurve	forecasting YieldTermStructure object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlEuribor365

string returnValue
 
qlEuribor365(
        string ObjectId
        string Tenor
        string YieldCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class Euribor365 and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Tenor	index tenor: SW (1W), 2W, 3W, 1M, 2M, 3M, 4M, 5M, 6M, 7M, 8M, 9M, 10M, 11M, 12M (1Y).
YieldCurve	forecasting YieldTermStructure object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlEuriborSwap

string returnValue
 
qlEuriborSwap(
        string ObjectId
        string FixingType
        string Tenor
        string FwdCurve
        string DiscCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class EuriborSwap and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
FixingType	Swap index fixing type (e.g. IsdaFixA, IsdaFixB, IfrFix, IsdaFixAm, IsdaFixPm). Default value = Default.
Tenor	index tenor (e.g. 1Y for one year).
FwdCurve	forwarding YieldTermStructure object ID. Default value = .
DiscCurve	discounting YieldTermStructure object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlEuriborSwapIsdaFixA

string returnValue
 
qlEuriborSwapIsdaFixA(
        string ObjectId
        string Tenor
        string FwdCurve
        string DiscCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class EuriborSwapIsdaFixA and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Tenor	index tenor (e.g. 1Y for one year)
FwdCurve	forwarding YieldTermStructure object ID. Default value = .
DiscCurve	discounting YieldTermStructure object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlIborIndex

string returnValue
 
qlIborIndex(
        string ObjectId
        string FamilyName
        string Tenor
        long FixingDays
        string Currency
        string Calendar
        string BDayConvention
        bool EndOfMonth
        string DayCounter
        string FwdCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class IborIndex and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
FamilyName	index family name.
Tenor	index tenor (e.g. 2D for two days , 3W for three weeks, 6M for six months, 1Y for one year).
FixingDays	fixing days (e.g. 2).
Currency	Index Currency.
Calendar	holiday calendar (e.g. TARGET).
BDayConvention	business day convention (e.g. Modified Following).
EndOfMonth	TRUE if the index follow the 'end of month' convention.
DayCounter	DayCounter ID.
FwdCurve	forwarding YieldTermStructure object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlIborIndexBusinessDayConv

string returnValue
 
qlIborIndexBusinessDayConv(
        string ObjectId
        any Trigger)

Description:

Returns the business day convention (e.g. Modified Following) for the given IborIndex object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::IborIndex object
Trigger	dependency tracking trigger

qlIborIndexEndOfMonth

bool returnValue
 
qlIborIndexEndOfMonth(
        string ObjectId
        any Trigger)

Description:

Returns TRUE if the given IborIndex object follows the 'end of month' convention.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::IborIndex object
Trigger	dependency tracking trigger

qlIndexAddFixings

void returnValue
 
qlIndexAddFixings(
        string ObjectId
        vector<long> FixingDates
        vector<double> FixingValues
        bool ForceOverwrite
        any Trigger)

Description:

Adds fixings for the given Index object.

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of existing QuantLibAddin::Index object
FixingDates	fixing dates.
FixingValues	fixing values.
ForceOverwrite	Set to TRUE to force overwriting of existing fixings, if any. Default value = false.
Trigger	dependency tracking trigger

qlIndexAddFixings2

vector<void> returnValue
 
qlIndexAddFixings2(
        string ObjectId
        vector<string> TimeSeriesID
        bool ForceOverwrite
        any Trigger)

Description:

Adds fixings for the given Index object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Index object
TimeSeriesID	TimeSeries object ID.
ForceOverwrite	Set to TRUE to force overwriting of existing fixings, if any. Default value = false.
Trigger	dependency tracking trigger

qlIndexClearFixings

void returnValue
 
qlIndexClearFixings(
        string ObjectId
        any Trigger)

Description:

Clear all fixings for the given Index object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Index object
Trigger	dependency tracking trigger

qlIndexFixing

vector<double> returnValue
 
qlIndexFixing(
        string ObjectId
        vector<long> FixingDate
        bool ForecastToday
        any Trigger)

Description:

Returns the fixing for the given Index object. The fixing is retrieved from the time series if available, otherways it is forecasted.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Index object
FixingDate	fixing date(s).
ForecastToday	If set to TRUE it forces the forecasting of today's fixing even if the actual fixing is already available in the time series. Default value = false.
Trigger	dependency tracking trigger

qlIndexFixingCalendar

string returnValue
 
qlIndexFixingCalendar(
        string ObjectId
        any Trigger)

Description:

Returns the calendar (e.g. TARGET) for the given Index object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Index object
Trigger	dependency tracking trigger

qlIndexIsValidFixingDate

vector<bool> returnValue
 
qlIndexIsValidFixingDate(
        string ObjectId
        vector<long> FixingDate
        any Trigger)

Description:

Returns TRUE if the fixing date is a valid one for the given Index object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Index object
FixingDate	fixing date(s).
Trigger	dependency tracking trigger

qlIndexName

string returnValue
 
qlIndexName(
        string ObjectId
        any Trigger)

Description:

Returns the name for the given Index object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::Index object
Trigger	dependency tracking trigger

qlInterestRateIndexCurrency

string returnValue
 
qlInterestRateIndexCurrency(
        string ObjectId
        any Trigger)

Description:

Returns the currency (e.g. EUR) for the given InterestRateIndex object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::InterestRateIndex object
Trigger	dependency tracking trigger

qlInterestRateIndexDayCounter

string returnValue
 
qlInterestRateIndexDayCounter(
        string ObjectId
        any Trigger)

Description:

Returns the DayCounter (e.g. Actual/360) for the given InterestRateIndex object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::InterestRateIndex object
Trigger	dependency tracking trigger

qlInterestRateIndexFamilyName

string returnValue
 
qlInterestRateIndexFamilyName(
        string ObjectId
        any Trigger)

Description:

Returns the family name (e.g. EURIBOR) for the given InterestRateIndex object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::InterestRateIndex object
Trigger	dependency tracking trigger

qlInterestRateIndexFixingDate

vector<long> returnValue
 
qlInterestRateIndexFixingDate(
        string ObjectId
        vector<long> ValueDate
        any Trigger)

Description:

Returns the fixing date for the given value date for the given InterestRateIndex object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::InterestRateIndex object
ValueDate	value date.
Trigger	dependency tracking trigger

qlInterestRateIndexFixingDays

long returnValue
 
qlInterestRateIndexFixingDays(
        string ObjectId
        any Trigger)

Description:

Returns the fixing days (e.g. 2) for the given InterestRateIndex object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::InterestRateIndex object
Trigger	dependency tracking trigger

qlInterestRateIndexMaturity

vector<long> returnValue
 
qlInterestRateIndexMaturity(
        string ObjectId
        vector<long> ValueDate
        any Trigger)

Description:

Returns the maturity date for the given value date for the given InterestRateIndex object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::InterestRateIndex object
ValueDate	value date.
Trigger	dependency tracking trigger

qlInterestRateIndexTenor

string returnValue
 
qlInterestRateIndexTenor(
        string ObjectId
        any Trigger)

Description:

Returns the tenor (i.e. length, e.g. 6M, 10Y) for the given InterestRateIndex object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::InterestRateIndex object
Trigger	dependency tracking trigger

qlInterestRateIndexValueDate

vector<long> returnValue
 
qlInterestRateIndexValueDate(
        string ObjectId
        vector<long> FixingDate
        any Trigger)

Description:

Returns the value date for the given fixing date for the given InterestRateIndex object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::InterestRateIndex object
FixingDate	fixing date.
Trigger	dependency tracking trigger

qlLibor

string returnValue
 
qlLibor(
        string ObjectId
        string Currency
        string Tenor
        string YieldCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class Libor and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Currency	Libor index currency.
Tenor	index tenor: ON (1D), SW (1W), 2W, 3W, 1M, 2M, 3M, 4M, 5M, 6M, 7M, 8M, 9M, 10M, 11M, 12M (1Y).
YieldCurve	forecasting YieldTermStructure object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlLiborSwap

string returnValue
 
qlLiborSwap(
        string ObjectId
        string Currency
        string FixingType
        string Tenor
        string FwdCurve
        string DiscCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class LiborSwap and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Currency	Libor swap index currency.
FixingType	Swap index fixing type (e.g. IsdaFixA, IsdaFixB, IfrFix, IsdaFixAm, IsdaFixPm). Default value = Default.
Tenor	index tenor (e.g. 1Y for one year).
FwdCurve	forwarding YieldTermStructure object ID. Default value = .
DiscCurve	discounting YieldTermStructure object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlOvernightIndex

string returnValue
 
qlOvernightIndex(
        string ObjectId
        string FamilyName
        long FixingDays
        string Currency
        string Calendar
        string DayCounter
        string YieldCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class OvernightIndex and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
FamilyName	index family name.
FixingDays	fixing days (e.g. 0).
Currency	Index Currency.
Calendar	holiday calendar (e.g. TARGET).
DayCounter	DayCounter ID.
YieldCurve	forecasting YieldTermStructure object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlProxyIbor

string returnValue
 
qlProxyIbor(
        string ObjectId
        string FamilyName
        string Tenor
        long FixingDays
        string Currency
        string Calendar
        string BDayConvention
        bool EndOfMonth
        string DayCounter
        string Gearing
        string IborIndex
        string Spread
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class ProxyIbor and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
FamilyName	index family name.
Tenor	index tenor (e.g. 2D for two days , 3W for three weeks, 6M for six months, 1Y for one year).
FixingDays	fixing days (e.g. 2).
Currency	Index Currency.
Calendar	holiday calendar (e.g. TARGET).
BDayConvention	business day convention (e.g. Modified Following).
EndOfMonth	TRUE if the index follow the 'end of month' convention.
DayCounter	DayCounter ID.
Gearing	gearing.
IborIndex	floating rate index.
Spread	floating rate spread.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSonia

string returnValue
 
qlSonia(
        string ObjectId
        string YieldCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class Sonia and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
YieldCurve	forecasting YieldTermStructure object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSwapIndex

string returnValue
 
qlSwapIndex(
        string ObjectId
        string FamilyName
        string Tenor
        long FixingDays
        string Currency
        string Calendar
        string FixedLegTenor
        string FixedLegBDC
        string FixedLegDayCounter
        string IborIndex
        string DiscCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SwapIndex and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
FamilyName	index name.
Tenor	index tenor (e.g. 2D for two days, 3W for three weeks, 6M for six months, 1Y for one year).
FixingDays	swap rate fixing days (e.g. 2).
Currency	Index Currency.
Calendar	holiday calendar (e.g. TARGET).
FixedLegTenor	tenor of the underlying swap's fixed leg (e.g. 6M, 1Y, 3M).
FixedLegBDC	business day convention of the underlying swap's fixed leg (e.g. ModifiedFollowing).
FixedLegDayCounter	day counter of the underlying swap's fixed leg (e.g. 30/360::BondBasis).
IborIndex	swap's floating ibor index object ID.
DiscCurve	discounting YieldTermStructure object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSwapIndexFixedLegBDC

string returnValue
 
qlSwapIndexFixedLegBDC(
        string ObjectId
        any Trigger)

Description:

Returns the business day convention (e.g. Modified Following) for the given SwapIndex object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::SwapIndex object
Trigger	dependency tracking trigger

qlSwapIndexFixedLegTenor

string returnValue
 
qlSwapIndexFixedLegTenor(
        string ObjectId
        any Trigger)

Description:

Returns the fixed leg tenor (e.g. 1Y) for the given SwapIndex object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::SwapIndex object
Trigger	dependency tracking trigger