QuantLib_SwapSpreadIndex man page

SwapSpreadIndex — class for swap-rate spread indexes

Synopsis

#include <ql/experimental/coupons/swapspreadindex.hpp>

Inherits InterestRateIndex.

Public Member Functions

SwapSpreadIndex (const std::string &familyName, const boost::shared_ptr< SwapIndex > &swapIndex1, const boost::shared_ptr< SwapIndex > &swapIndex2, const Real gearing1=1.0, const Real gearing2=-1.0)

InterestRateIndex interface

Date maturityDate (const Date &valueDate) const

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

bool allowsNativeFixings ()
check if index allows for native fixings.

Inspectors

boost::shared_ptr< SwapIndex > swapIndex1 ()

boost::shared_ptr< SwapIndex > swapIndex2 ()

Real gearing1 ()

Real gearing2 ()

Additional Inherited Members

Detailed Description

class for swap-rate spread indexes

Member Function Documentation

bool allowsNativeFixings () [virtual]

check if index allows for native fixings. If this returns false, calls to addFixing and similar methods will raise an exception.

Reimplemented from Index.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

swapIndex1(3), swapIndex2(3) and SwapSpreadIndex(3) are aliases of QuantLib_SwapSpreadIndex(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib