SwapIndex Class Reference
#include <ql/indexes/swapindex.hpp>
Inheritance diagram for SwapIndex:

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< YieldTermStructure > | termStructure () const |
Rate | forecastFixing (const Date &fixingDate) const |
Date | maturityDate (const Date &valueDate) const |
Inspectors | |
Period | fixedLegTenor () const |
BusinessDayConvention | fixedLegConvention () const |
boost::shared_ptr< IborIndex > | iborIndex () const |
Schedule | fixedRateSchedule (const Date &fixingDate) const |
boost::shared_ptr< VanillaSwap > | underlyingSwap (const Date &fixingDate) const |
Protected Attributes | |
Period | tenor_ |
boost::shared_ptr< IborIndex > | iborIndex_ |
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.