Re: [Quantlib-users] How to generalise the creation of Index

[Brian S. <bri...@gm...>]

Thanks Francis,

Could you please help how to use this function in a typical index
creating with QL?

On Wed, 23 Sep 2020 at 01:28, Francis Duffy <fdf...@gm...> wrote:
>
> Hi Brian, Tom,
>
> You could possibly adapt this function, boost::shared_ptr<IborIndex> parseIborIndex(...), from ORE to achieve what you want: https://github.com/OpenSourceRisk/Engine/blob/master/OREData/ored/utilities/indexparser.cpp#L197?
>
> Thanks,
> Francis.
>
> On Tue, Sep 22, 2020 at 8:52 PM Tom Anderson <tw...@ur...> wrote:
>>
>> On Wed, 23 Sep 2020, Brian Smith wrote:
>>
>> > It will really be very helpful if there is some way to achieve this
>> > using a variable string -
>>
>> I agree.
>>
>> In my code, i define an enum Index, and then have a function like this:
>>
>> shared_ptr<IborIndex> lookupIborIndex(Index index, Handle<YieldTermStructure>& curveHandle = EMPTY_HANDLE) {
>>    switch (index) {
>>      case Index::FED_FUNDS: return make_shared<FedFunds>(curveHandle);
>>      case Index::SOFR: return make_shared<Sofr>(curveHandle);
>>      case Index::USD_LIBOR_3M: return make_shared<USDLibor>(Period(3, TimeUnit::Months), curveHandle);
>>      default: QL_FAIL("unknown index: " << Traits<Index>::name(index) << " (" << index << ")");
>>    }
>> }
>>
>> It would be nice not to have to do that.
>>
>> tom
>>
>> > On Sat, 19 Sep 2020 at 23:01, Brian Smith <bri...@gm...> wrote:
>> >>
>> >> Hi,
>> >>
>> >> I understand that one way to create an index in QuantLib is,
>> >>
>> >> ext::shared_ptr<IborIndex> myIndex(new Euribor1M(termStructure));
>> >>
>> >> However in my case the information like Euribor1M is variable and
>> >> stored in another variable like,
>> >>
>> >> std::string getIndex = "Euribor1M";
>> >>
>> >> I am looking for some way to pass the variable getIndex, instead
>> >> Euribor1M directly, to create appropriate index based on my dynamic
>> >> situation.
>> >>
>> >> Is there any possible way to achieve this?
>> >
>> >
>> > _______________________________________________
>> > QuantLib-users mailing list
>> > Qua...@li...
>> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
>> >
>>
>> --
>> a blood-spattered Canadarm flinging goat carcasses into the void
>>
>>
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users