Index
 InterestRateIndex
   BMAIndex
   IborIndex
     OvernightIborIndex (COvernightIndex')
   SwapIndex
     OvernightIndexedSwapIndex
   SwapSpreadIndex
 InflationIndex
   YoYInflationIndex
   ZeroInflationIndex
 EquityIndex
 CommodityIndex

The root of the hierarchy shown under GenIndex.

Computes SequenceStatistics (mean/standard deviation/skewness/kurtosis/min/max/semi- and downside-variance and -deviation/percentiles/value-at-risk/expected shortfall, empirical and gaussian-assumption/covariance/correlation) over historical fixings of the given indexes, sampled every step between startDate and endDate. A date/index pair whose fixing is unavailable is recorded in skipped rather than failing the whole analysis. SequenceStatistics is only the accumulator filled internally by this constructor, so its risk-statistics surface is exposed directly through these accessors.

stores the historical fixing at the given date; the date must be the actual calendar date of the fixing, not a settlement date

Stores historical fixings as (date, value) pairs; the date is the actual fixing date.

clears all stored historical fixings for this index

Clears every native fixing history in QuantLib's process-global store, for all index names. This affects other index instances and is intended for explicit session or test cleanup.

The index's own name, as QuantLib builds it -- for an interest-rate index the family name, tenor and day counter, e.g. "Euribor6M Actual/360". This is the key QuantLib's process-global fixing store uses, so it is the name a stored fixing is filed under.

returns the calendar defining valid fixing dates

returns the fixing at the given date, forecasting it if not available and forecastTodaysFixing is true

whether a historical fixing has been stored for the given date

whether the given date is a valid fixing date for this index

Returns every stored native fixing for this index, in ascending date order. This is a snapshot copied out of QuantLib's process-global fixing store; it has no forecasting behavior.

Returns the names with an entry in QuantLib's process-global fixing store. Names are case-insensitive in that store and can be shared by separate index instances.

Skipped fixing dates paired with the reason no complete fixing vector was available.

Per-index mean of the historical relative returns actually sampled.

Per-index standard deviation of the historical relative returns actually sampled.

Per-index skewness of the historical relative returns actually sampled.

Per-index (excess) kurtosis of the historical relative returns actually sampled.

Per-index minimum of the historical relative returns actually sampled.

Per-index maximum of the historical relative returns actually sampled.

Per-index variance of the historical relative returns falling below the mean.

Per-index square root of semiVariance.

Per-index variance of the historical relative returns falling below zero.

Per-index square root of downsideVariance.

Per-index empirical y-th percentile of the historical relative returns actually sampled; y must lie in [0.9, 1.0).

Per-index y-th percentile assuming the historical relative returns are gaussian; y must lie in [0.9, 1.0).

Per-index empirical value-at-risk at the given centile, which must lie in [0.9, 1.0).

Per-index empirical potential upside at the given centile, which must lie in [0.9, 1.0) -- the upside counterpart of valueAtRisk.

Per-index potential upside at the given centile assuming the historical relative returns are gaussian; centile must lie in [0.9, 1.0).

Per-index regret at the given target: expected loss below target, conditional on being below it.

Per-index empirical probability of falling below target.

Per-index probability of falling below target assuming the historical relative returns are gaussian.

Per-index empirical average shortfall (expected loss below target, unconditional) at the given target.

Per-index average shortfall at the given target assuming the historical relative returns are gaussian.

Per-index value-at-risk at the given centile assuming the historical relative returns are gaussian; centile must lie in [0.9, 1.0).

Per-index empirical expected shortfall at the given centile, which must lie in [0.9, 1.0). Throws if no sampled return falls below the value-at-risk threshold.

Per-index expected shortfall at the given centile assuming the historical relative returns are gaussian; centile must lie in [0.9, 1.0).

Covariance matrix of the historical relative returns across indexes.

Correlation matrix of the historical relative returns across indexes.