SwapIndex Class Reference

#include <ql/Indexes/swapindex.hpp>

Inheritance diagram for SwapIndex:

Inheritance graph
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List of all members.

Detailed Description

base class for swap-rate indexes


Public Member Functions

 SwapIndex (const std::string &familyName, Integer years, Integer settlementDays, const Currency &currency, const Calendar &calendar, Frequency fixedLegFrequency, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, const boost::shared_ptr< Xibor > &iborIndex)
InterestRateIndex interface
boost::shared_ptr< YieldTermStructuretermStructure () const
Rate forecastFixing (const Date &fixingDate) const
Inspectors
Frequency fixedLegFrequency () const
BusinessDayConvention fixedLegConvention () const
boost::shared_ptr< XiboriborIndex () const
Schedule fixedRateSchedule (const Date &fixingDate) const
boost::shared_ptr< VanillaSwapunderlyingSwap (const Date &fixingDate) const

Protected Attributes

Integer years_
boost::shared_ptr< XiboriborIndex_
Frequency fixedLegFrequency_
BusinessDayConvention fixedLegConvention_


Member Function Documentation

boost::shared_ptr<VanillaSwap> underlyingSwap ( const Date fixingDate  )  const

Warning:
Relinking the term structure underlying the index will not have effect on the returned swap.