QuantLib_OvernightIndexedSwapIndex man page

OvernightIndexedSwapIndex — base class for overnight indexed swap indexes  

Synopsis

#include <ql/indexes/swapindex.hpp>

Inherits SwapIndex.

Public Member Functions

OvernightIndexedSwapIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, Currency currency, const boost::shared_ptr< OvernightIndex > &overnightIndex)

Inspectors

boost::shared_ptr< OvernightIndex > overnightIndex () const
boost::shared_ptr< OvernightIndexedSwap > underlyingSwap (const Date &fixingDate) const

Protected Attributes

boost::shared_ptr< OvernightIndex > overnightIndex_
boost::shared_ptr< OvernightIndexedSwap > lastSwap_
Date lastFixingDate_

Additional Inherited Members

Detailed Description

base class for overnight indexed swap indexes

Member Function Documentation

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

Warning

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

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages lastFixingDate_(3), lastSwap_(3) and OvernightIndexedSwapIndex(3) are aliases of QuantLib_OvernightIndexedSwapIndex(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib