QuantLib_OvernightIndexedSwapIndex man page

OvernightIndexedSwapIndex — base class for overnight indexed swap indexes


#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)


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


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


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).

QuantLib Version 1.8.1 Fri Sep 23 2016