SwapIndex Class Reference
#include <ql/Indexes/swapindex.hpp>
Inheritance diagram for SwapIndex:

Detailed Description
base class for swap-rate indexes
Public Member Functions | |
SwapIndex (const std::string &familyName, Integer years, Integer settlementDays, const Currency ¤cy, const Calendar &calendar, Frequency fixedLegFrequency, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, const boost::shared_ptr< Xibor > &iborIndex) | |
InterestRateIndex interface | |
boost::shared_ptr< YieldTermStructure > | termStructure () const |
Rate | forecastFixing (const Date &fixingDate) const |
Inspectors | |
Frequency | fixedLegFrequency () const |
BusinessDayConvention | fixedLegConvention () const |
boost::shared_ptr< Xibor > | iborIndex () const |
Schedule | fixedRateSchedule (const Date &fixingDate) const |
boost::shared_ptr< VanillaSwap > | underlyingSwap (const Date &fixingDate) const |
Protected Attributes | |
Integer | years_ |
boost::shared_ptr< Xibor > | iborIndex_ |
Frequency | fixedLegFrequency_ |
BusinessDayConvention | fixedLegConvention_ |
Member 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.