QuantLib_SwapIndex (3) Linux Manual Page
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) constProtected Attributes
Period tenor_boost::shared_ptr< IborIndex > iborIndex_
Period fixedLegTenor_
BusinessDayConvention fixedLegConvention_
Detailed Description
base class for swap-rate indexesMember 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.