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Why need Index class hierarchy in QuantLib

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Yunxi Ye

Why need Index class hierarchy in QuantLib

Hi, all.
I'm a newbie to QuantLib. And My major is Computer Science. Thus my background knowledge may be not enough.

I have many questions about QuantLib. But let me start from the Index class and all its subclasses.

What is the meaning of Index here?
How does QuantLib use it?
Why does QuantLib use it?
And does it has relationship with interest rate?If it has, then what relationship?

From the Index class member functions, seems it provide fixing for some date. But what's the usage?

Is there any textbook talking about this?

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Ferdinando M. Ametrano-3

Re: Why need Index class hierarchy in QuantLib

there are interest rate indexes, in the same way as there are equity indexes.
Both have a reference level for a given day, which is used to regulate
indexed transactions.
A notable example are the payments of Libor/Euribor indexed swaps.
Any interest rate textbook will cover this, start with John Hull
"options, futures and other derivatives"

Google for "interest rate index" and you might find resources simlar to
http://www.bankrate.com/rates/interest-rates/libor.aspx

hope it helps...

On Tue, Oct 9, 2012 at 3:22 AM, Yunxi Ye <[hidden email]> wrote:

> Hi, all.
> I'm a newbie to QuantLib. And My major is Computer Science. Thus my
> background knowledge may be not enough.
>
> I have many questions about QuantLib. But let me start from the Index class
> and all its subclasses.
>
> What is the meaning of Index here?
> How does QuantLib use it?
> Why does QuantLib use it?
> And does it has relationship with interest rate?If it has, then what
> relationship?
>
> From the Index class member functions, seems it provide fixing for some
> date. But what's the usage?
>
> Is there any textbook talking about this?
>
>
>
>
> ------------------------------------------------------------------------------
> Don't let slow site performance ruin your business. Deploy New Relic APM
> Deploy New Relic app performance management and know exactly
> what is happening inside your Ruby, Python, PHP, Java, and .NET app
> Try New Relic at no cost today and get our sweet Data Nerd shirt too!
> http://p.sf.net/sfu/newrelic-dev2dev
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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Deploy New Relic app performance management and know exactly
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Yunxi Ye

Re: Why need Index class hierarchy in QuantLib

Thank you Ferdinando.
And sorry for late response.

These days I was wondering what the role the Index take in the QuantLib.
And thinking the relationship between Index and the TermStructure.

After asking my colleague, I think I got part of the answer:
*Index provide the fixing price for a date. And the fixing price will be used in CashFlow in some Instrument like FloatingRateBond.
*When we need to get the future date's fixing price. Index needs the TermStructure to interpolate the value. And I haven't used it by now.
*The TermStructure can provide value like discounter factor/zero rate/forward rate parameter. I have touched it by now.
*

But I still can't find the text book talk about the relation between rate helper and the bootstrap.
(QuantLib has many rate helper classes, they are used to build termstructure by bootstrap.
Is there any textbook talking about this?
)

On Wed, Oct 10, 2012 at 2:00 AM, Ferdinando Ametrano <[hidden email]> wrote:

there are interest rate indexes, in the same way as there are equity indexes.
Both have a reference level for a given day, which is used to regulate
indexed transactions.
A notable example are the payments of Libor/Euribor indexed swaps.
Any interest rate textbook will cover this, start with John Hull
"options, futures and other derivatives"

Google for "interest rate index" and you might find resources simlar to
http://www.bankrate.com/rates/interest-rates/libor.aspx

hope it helps...

On Tue, Oct 9, 2012 at 3:22 AM, Yunxi Ye <[hidden email]> wrote:
> Hi, all.
> I'm a newbie to QuantLib. And My major is Computer Science. Thus my
> background knowledge may be not enough.
>
> I have many questions about QuantLib. But let me start from the Index class
> and all its subclasses.
>
> What is the meaning of Index here?
> How does QuantLib use it?
> Why does QuantLib use it?
> And does it has relationship with interest rate?If it has, then what
> relationship?
>
> From the Index class member functions, seems it provide fixing for some
> date. But what's the usage?
>
> Is there any textbook talking about this?
>
>
>
>

> ------------------------------------------------------------------------------
> Don't let slow site performance ruin your business. Deploy New Relic APM
> Deploy New Relic app performance management and know exactly
> what is happening inside your Ruby, Python, PHP, Java, and .NET app
> Try New Relic at no cost today and get our sweet Data Nerd shirt too!
> http://p.sf.net/sfu/newrelic-dev2dev
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>