base class for swap-rate indexes More...

#include <ql/indexes/swapindex.hpp>

Inheritance diagram for SwapIndex:

List of all members.

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< IborIndexiborIndex () const
Handle< YieldTermStructureforwardingTermStructure () const
Handle< YieldTermStructurediscountingTermStructure () const
bool exogenousDiscount () const
boost::shared_ptr< VanillaSwapunderlyingSwap (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< IborIndexiborIndex_
Period fixedLegTenor_
BusinessDayConvention fixedLegConvention_
bool exogenousDiscount_
Handle< YieldTermStructurediscount_

Detailed Description

base class for swap-rate indexes


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.

Reimplemented in OvernightIndexedSwapIndex.