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, const Period &tenor, Natural settlementDays, Currency currency, const Calendar &calendar, const Period &fixedLegTenor, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, const boost::shared_ptr< IborIndex > &iborIndex)
InterestRateIndex interface
Handle< YieldTermStructuretermStructure () const
Rate forecastFixing (const Date &fixingDate) const
Date maturityDate (const Date &valueDate) const
Inspectors
Period fixedLegTenor () const
BusinessDayConvention fixedLegConvention () const
boost::shared_ptr< IborIndexiborIndex () const
Schedule fixedRateSchedule (const Date &fixingDate) const
boost::shared_ptr< VanillaSwap > underlyingSwap (const Date &fixingDate) const

Protected Attributes

Period tenor_
boost::shared_ptr< IborIndexiborIndex_
Period fixedLegTenor_
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.