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

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

Fri Sep 23 2016 Version 1.8.1 QuantLib