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_interest_rate_index.pxd
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_interest_rate_index.pxd
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"""
Copyright (C) 2011, Enthought Inc
Copyright (C) 2011, Patrick Henaff
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
"""
include '../types.pxi'
from libcpp cimport bool
from libcpp.string cimport string
from quantlib._index cimport Index
from quantlib.time._date cimport Date
from quantlib.time._period cimport Period
from quantlib.time._calendar cimport Calendar
from quantlib.time._daycounter cimport DayCounter
from quantlib.currency._currency cimport Currency
cdef extern from 'ql/indexes/interestrateindex.hpp' namespace 'QuantLib':
cdef cppclass InterestRateIndex(Index):
InterestRateIndex()
InterestRateIndex(string& familyName,
Period& tenor,
Natural settlementDays,
Currency& currency,
Calendar& fixingCalendar,
DayCounter& dayCounter) nogil
bool isValidFixingDate(Date& fixingDate)
Rate fixing(Date& fixingDate,
bool forecastTodaysFixing) except +
Rate forecastFixing(const Date& fixingDate)
string familyName()
Period tenor()
Natural fixingDays()
Date fixingDate(Date& valueDate)
Currency& currency()
DayCounter& dayCounter()
Date valueDate(Date& fixingDate)
Date maturityDate(Date& valueDate)