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QuantLib_IborIndex

NAME

QuantLib::IborIndex -

base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)

SYNOPSIS

#include <ql/indexes/iborindex.hpp>

Inherits QuantLib::InterestRateIndex.

Inherited by Cdor, DailyTenorEURLibor, DailyTenorLibor, Euribor, Euribor365, EURLibor, Jibar, Libor, OvernightIndex, Tibor, TRLibor, and Zibor.

Public Member Functions

IborIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())

Inspectors

 

BusinessDayConvention businessDayConvention () const

bool endOfMonth () const

Handle< YieldTermStructure > forwardingTermStructure () const
the curve used to forecast fixings

Date calculations

 

Date maturityDate (const Date &valueDate) const

Other methods

 

virtual boost::shared_ptr< IborIndex > 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

BusinessDayConvention convention_

Handle< YieldTermStructure > termStructure_

bool endOfMonth_

Detailed Description

base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)

Author

Generated automatically by Doxygen for QuantLib from the source code.