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QuantLib_SwapIndex
Langue: en
Version: 381001 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
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, OvernightIndexedSwapIndex, 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)
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
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
Protected Attributes
Period tenor_
boost::shared_ptr< IborIndex > iborIndex_
Period fixedLegTenor_
BusinessDayConvention fixedLegConvention_
bool exogenousDiscount_
Handle< YieldTermStructure > discount_
Detailed Description
base class for swap-rate indexes
Member Function Documentation
boost::shared_ptr<VanillaSwap> underlyingSwap (const Date & fixingDate) constWarning
- Relinking the term structure underlying the index will not have effect on the returned swap.
Reimplemented in OvernightIndexedSwapIndex.
Author
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Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre