QuantLib_SwapIndex man page

SwapIndex — base class for swap-rate indexes  

Synopsis

#include <ql/indexes/swapindex.hpp>

Inherits 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 &fixingCalendar, 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 &fixingCalendar, 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
Handle< YieldTermStructure > discountingTermStructure () 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
virtual boost::shared_ptr< SwapIndex > clone (const Handle< YieldTermStructure > &forwarding, const Handle< YieldTermStructure > &discounting) const
returns a copy of itself linked to different curves
virtual boost::shared_ptr< SwapIndex > clone (const Period &tenor) const
returns a copy of itself with different tenor

Protected Member Functions

Rate forecastFixing (const Date &fixingDate) const
It can be overridden to implement particular conventions.

Protected Attributes

Period tenor_
boost::shared_ptr< IborIndex > iborIndex_
Period fixedLegTenor_
BusinessDayConvention fixedLegConvention_
bool exogenousDiscount_
Handle< YieldTermStructure > discount_
boost::shared_ptr< VanillaSwap > lastSwap_
Date lastFixingDate_

Additional Inherited Members

Detailed Description

base class for swap-rate indexes

Member Function Documentation

boost::shared_ptr<VanillaSwap> 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

discountingTermStructure(3), exogenousDiscount(3), exogenousDiscount_(3), fixedLegConvention(3), fixedLegConvention_(3), fixedLegTenor(3), fixedLegTenor_(3) and SwapIndex(3) are aliases of QuantLib_SwapIndex(3).

Fri Jun 2 2017 Version 1.10 QuantLib