- QuantLib
- SwapIndex
base class for swap-rate indexes More...
#include <ql/indexes/swapindex.hpp>

Public Member Functions | |
| SwapIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, Currency currency, const Calendar &calendar, const Period &fixedLegTenor, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, const boost::shared_ptr< IborIndex > &iborIndex) | |
| SwapIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, Currency currency, const Calendar &calendar, const Period &fixedLegTenor, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, const boost::shared_ptr< IborIndex > &iborIndex, const Handle< YieldTermStructure > &discountingTermStructure) | |
InterestRateIndex interface | |
| Date | maturityDate (const Date &valueDate) const |
Inspectors | |
| Period | fixedLegTenor () const |
| BusinessDayConvention | fixedLegConvention () const |
| boost::shared_ptr< IborIndex > | iborIndex () const |
| Handle< YieldTermStructure > | forwardingTermStructure () const |
| Handle< YieldTermStructure > | discountingTermStructure () const |
| bool | exogenousDiscount () const |
| boost::shared_ptr< VanillaSwap > | underlyingSwap (const Date &fixingDate) const |
Other methods | |
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virtual boost::shared_ptr < SwapIndex > | clone (const Handle< YieldTermStructure > &forwarding) const |
| returns a copy of itself linked to a different forwarding curve | |
Protected Member Functions | |
| Rate | forecastFixing (const Date &fixingDate) const |
| It can be overridden to implement particular conventions. | |
Protected Attributes | |
| Period | tenor_ |
| boost::shared_ptr< IborIndex > | iborIndex_ |
| Period | fixedLegTenor_ |
| BusinessDayConvention | fixedLegConvention_ |
| bool | exogenousDiscount_ |
| Handle< YieldTermStructure > | discount_ |
| boost::shared_ptr< VanillaSwap > | lastSwap_ |
| Date | lastFixingDate_ |
base class for swap-rate indexes
| boost::shared_ptr<VanillaSwap> underlyingSwap | ( | const Date & | fixingDate | ) | const |
Reimplemented in OvernightIndexedSwapIndex.