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QuantLib_SwapIndex

NAME

QuantLib::SwapIndex -

base class for swap-rate indexes

SYNOPSIS

#include <ql/indexes/swapindex.hpp>

Inherits QuantLib::InterestRateIndex.

Inherited by ChfLiborSwapIsdaFix, EuriborSwapIfrFix, EuriborSwapIsdaFixA, EuriborSwapIsdaFixB, EurLiborSwapIfrFix, EurLiborSwapIsdaFixA, EurLiborSwapIsdaFixB, GbpLiborSwapIsdaFix, JpyLiborSwapIsdaFixAm, JpyLiborSwapIsdaFixPm, OvernightIndexedSwapIndex, UsdLiborSwapIsdaFixAm, and UsdLiborSwapIsdaFixPm.

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

bool exogenousDiscount () 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 indexes

Member Function Documentation

boost::shared_ptr<VanillaSwap> underlyingSwap (const Date & fixingDate) constWarning

Relinking the term structure underlying the index will not have effect on the returned swap.

Reimplemented in OvernightIndexedSwapIndex.

Author

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