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QuantLib_IborIndex
Langue: en
Version: 379501 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::IborIndex -base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)
SYNOPSIS
#include <ql/indexes/iborindex.hpp>
Inherits QuantLib::InterestRateIndex.
Inherited by Cdor, DailyTenorEURLibor, DailyTenorLibor, Euribor, Euribor365, EURLibor, Jibar, Libor, OvernightIndex, Tibor, TRLibor, and Zibor.
Public Member Functions
IborIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())
Inspectors
BusinessDayConvention businessDayConvention () const
bool endOfMonth () const
Handle< YieldTermStructure > forwardingTermStructure () const
the curve used to forecast fixings
Date calculations
Date maturityDate (const Date &valueDate) const
Other methods
virtual boost::shared_ptr< IborIndex > 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
Protected Attributes
BusinessDayConvention convention_
Handle< YieldTermStructure > termStructure_
bool endOfMonth_
Detailed Description
base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)
Author
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Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre