QuantLib_OvernightIndexedSwapIndex

Langue: en

Version: 375336 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::OvernightIndexedSwapIndex -

base class for overnight indexed swap indexes

SYNOPSIS


#include <ql/indexes/swapindex.hpp>

Inherits QuantLib::SwapIndex.

Public Member Functions


OvernightIndexedSwapIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, Currency currency, const boost::shared_ptr< OvernightIndex > &overnightIndex)

Inspectors

 


boost::shared_ptr< OvernightIndex > overnightIndex () const

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

Protected Attributes


boost::shared_ptr< OvernightIndex > overnightIndex_

Detailed Description

base class for overnight indexed swap indexes

Member Function Documentation

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

Relinking the term structure underlying the index will not have effect on the returned swap.

Reimplemented from SwapIndex.

Author

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