SwapIndex Class Reference
base class for swap-rate indexes More...
#include <ql/indexes/swapindex.hpp>
Inheritance diagram for SwapIndex:

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 |
boost::shared_ptr< VanillaSwap > | underlyingSwap (const Date &fixingDate) const |
Other methods | |
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 |
Protected Attributes | |
Period | tenor_ |
boost::shared_ptr< IborIndex > | iborIndex_ |
Period | fixedLegTenor_ |
BusinessDayConvention | fixedLegConvention_ |
bool | exogenousDiscount_ |
Handle< YieldTermStructure > | discount_ |
Detailed Description
base class for swap-rate indexesMember 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.