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

[Francis D. <fdf...@gm...>]

Hi Brian, the test case at
https://github.com/OpenSourceRisk/Engine/blob/master/OREData/test/indices.cpp#L350
shows how this function can be used to take a string and create a
shared_ptr<QuantLib::IborIndex> based on the string.

On Tue, Sep 22, 2020 at 10:05 PM Brian Smith <bri...@gm...>
wrote:

> 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
> >>
> >>
> >> _______________________________________________
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