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OpenGamma / Strata

Open source analytics and market risk library from OpenGamma
http://strata.opengamma.io
Apache License 2.0
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Add IborIndexFamily #789

Open cjkent opened 8 years ago

cjkent commented 8 years ago

Given an IBOR index it would be very useful to be able to obtain the related index for a different tenor. In order to do this we will need a new concept, IborIndexFamily which knows about all related IBOR indices.

jodastephen commented 8 years ago

FloatingRateName now has the ability to find all the active tenors for an Ibor index.

cjkent commented 8 years ago

I have a use case which isn't covered by the changes to FloatingRateName. I have a RateIndex instance and the behaviour depends on the index family. It's currently implemented by checking if the index name contains the index family name. That doesn't smell good.