XiborManager and History

[Perissin Francesco]

Hi, I have some problems in understanding how to use these classes in order
to correctly handle past fixings for a rate index.

For example, consider this

Handle<Xibor> my6mEuribor;
my6mEuribor= Handle<Xibor> (new Euribor(6, Months, rhTermStructure));

Now, how can I link fixings to this? Suppose that I have the following
vectors:

std::vector<Date> euriborDates;
std::vector<Rate> euriborFixings;

I guess that I should create the History:

History euriborHistory = History(euriborDates, euriborFixings);

And now?


Thanks
Francesco
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[Luigi Ballabio-2]

Ciao,

At 05:32 PM 10/8/02 +0200, Perissin Francesco wrote:

>Hi, I have some problems in understanding how to use these classes in order
>to correctly handle past fixings for a rate index.
>
>For example, consider this
>
>Handle<Xibor> my6mEuribor;
>my6mEuribor= Handle<Xibor> (new Euribor(6, Months, rhTermStructure));
>
>Now, how can I link fixings to this? Suppose that I have the following
>vectors:
>
>std::vector<Date> euriborDates;
>std::vector<Rate> euriborFixings;
>
>I guess that I should create the History:
>
>History euriborHistory = History(euriborDates, euriborFixings);
>
>And now?

         XiborManager::setHistory(my6mEuribor->name(), euriborHistory);

After this,

         Rate foo = my6mEuribor->fixing(twoYearsAgo);

will work automatically.

However, I'm not entirely happy with this interface. I'd be glad to hear
any suggestions for improving it...

Bye,
         Luigi