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 Sep 23 2016 Version 1.8.1 QuantLib