- QuantLib
- SwapIndex
 
base class for swap-rate indexes More...
#include <ql/indexes/swapindex.hpp>

| Public Member Functions | |
| SwapIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, Currency currency, const Calendar &calendar, 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 &calendar, 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 | |
| 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_ | 
base class for swap-rate indexes
| boost::shared_ptr<VanillaSwap> underlyingSwap | ( | const Date & | fixingDate | ) | const | 
Reimplemented in OvernightIndexedSwapIndex.