underlyingSwap (3) - Linux Manuals

underlyingSwap: base class for swap-rate indexes

NAME

QuantLib::SwapIndex - base class for swap-rate indexes

SYNOPSIS

#include <ql/indexes/swapindex.hpp>

Inherits QuantLib::InterestRateIndex.

Inherited by ChfLiborSwapIsdaFix, EuriborSwapIfrFix, EuriborSwapIsdaFixA, EuriborSwapIsdaFixB, EurLiborSwapIfrFix, EurLiborSwapIsdaFixA, EurLiborSwapIsdaFixB, GbpLiborSwapIsdaFix, JpyLiborSwapIsdaFixAm, JpyLiborSwapIsdaFixPm, UsdLiborSwapIsdaFixAm, and UsdLiborSwapIsdaFixPm.

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)

InterestRateIndex interface

Handle< YieldTermStructure > termStructure () const

Date maturityDate (const Date &valueDate) const

Inspectors

Period fixedLegTenor () const

BusinessDayConvention fixedLegConvention () const

boost::shared_ptr< IborIndex > iborIndex () const

boost::shared_ptr< VanillaSwap > underlyingSwap (const Date &fixingDate) const

Protected Member Functions

Rate forecastFixing (const Date &fixingDate) const

Protected Attributes

Period tenor_

boost::shared_ptr< IborIndex > iborIndex_

Period fixedLegTenor_

BusinessDayConvention fixedLegConvention_

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

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