QuantLib::IborIndex - base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)


#include <ql/indexes/iborindex.hpp>

Inherits QuantLib::InterestRateIndex.

Inherited by Cdor, DailyTenorEuribor, DailyTenorEuribor365, DailyTenorEURLibor, DailyTenorLibor, Euribor, Euribor365, EURLibor, Jibar, Libor, Tibor, TRLibor, and Zibor.

Public Member Functions

IborIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())

InterestRateIndex interface

Handle< YieldTermStructure > termStructure () const


BusinessDayConvention businessDayConvention () const

bool endOfMonth () const

Date calculations

Date maturityDate (const Date &valueDate) const

Other methods

virtual boost::shared_ptr< IborIndex > clone (const Handle< YieldTermStructure > &h) const
returns a copy of itself linked to a different forecast curve

Protected Member Functions

Rate forecastFixing (const Date &fixingDate) const

Protected Attributes

BusinessDayConvention convention_

Handle< YieldTermStructure > termStructure_

bool endOfMonth_

Detailed Description

base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)


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