The  LastFixingQuote is an implementation of the abstract Quote class. LastFixingQuote represents a quote for the last available fixing of an index. Essentially it is a simple wrapper around the Index class to allow indices to be used as Quotes. class…
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Previously, I have talked about indices and have looked at the Index class in QuantLib. In this article I will talk about a specialization of the Index class, the InterestRateIndex class. This class extends the basic Index with functionality that…
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An index is a value of a hypothetical portfolio or, more generally, a statistical measure for a collection of data points. Indices are usually fixed at specific dates. Individual fixings can be thought of as date-value pairs. In an abstract…
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