QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
THBFIX Class Reference

THB THBFIX rate More...

#include <ql/indexes/ibor/thbfix.hpp>

+ Inheritance diagram for THBFIX:

Public Member Functions

 THBFIX (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())
 
- Public Member Functions inherited from IborIndex
 IborIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())
 
Date maturityDate (const Date &valueDate) const
 
Rate forecastFixing (const Date &fixingDate) const
 It can be overridden to implement particular conventions.
 
BusinessDayConvention businessDayConvention () const
 
bool endOfMonth () const
 
Handle< YieldTermStructureforwardingTermStructure () const
 the curve used to forecast fixings
 
virtual ext::shared_ptr< IborIndexclone (const Handle< YieldTermStructure > &forwarding) const
 returns a copy of itself linked to a different forwarding curve
 
- Public Member Functions inherited from InterestRateIndex
 InterestRateIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, const DayCounter &dayCounter)
 
std::string name () const
 Returns the name of the index. More...
 
Calendar fixingCalendar () const
 returns the calendar defining valid fixing dates
 
bool isValidFixingDate (const Date &fixingDate) const
 returns TRUE if the fixing date is a valid one
 
Rate fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const
 returns the fixing at the given date More...
 
void update ()
 
std::string familyName () const
 
Period tenor () const
 
Natural fixingDays () const
 
Date fixingDate (const Date &valueDate) const
 
const Currencycurrency () const
 
const DayCounterdayCounter () const
 
virtual Date valueDate (const Date &fixingDate) const
 
virtual Rate pastFixing (const Date &fixingDate) const
 
- Public Member Functions inherited from Index
const TimeSeries< Real > & timeSeries () const
 returns the fixing TimeSeries
 
virtual bool allowsNativeFixings ()
 check if index allows for native fixings. More...
 
virtual void addFixing (const Date &fixingDate, Real fixing, bool forceOverwrite=false)
 stores the historical fixing at the given date More...
 
void addFixings (const TimeSeries< Real > &t, bool forceOverwrite=false)
 stores historical fixings from a TimeSeries More...
 
template<class DateIterator , class ValueIterator >
void addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false)
 stores historical fixings at the given dates More...
 
void clearFixings ()
 clears all stored historical fixings
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from IborIndex
BusinessDayConvention convention_
 
Handle< YieldTermStructuretermStructure_
 
bool endOfMonth_
 
- Protected Attributes inherited from InterestRateIndex
std::string familyName_
 
Period tenor_
 
Natural fixingDays_
 
Currency currency_
 
DayCounter dayCounter_
 
std::string name_
 

Detailed Description

THB THBFIX rate

THBFIX

THB interest rate implied by USD/THB foreign exchange swaps

The Swap Offer Rate represents the cost of borrowing a currency synthetically by borrowing USD for the same tenor and using the foreign exchange swap offer rate on the offer side to swap out the USD in return for the foreign currency.

Fixing is based on average FX Forward rates from 21 banks and the USD Libor Fixing.

Fixing is published at 11:00 am BKK time