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

Detailed Description
base class for swap-rate indexesPublic 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) | |
InterestRateIndex interface | |
| Handle< YieldTermStructure > | termStructure () const |
| Date | maturityDate (const Date &valueDate) const |
Inspectors | |
| Period | fixedLegTenor () const |
| BusinessDayConvention | fixedLegConvention () const |
| boost::shared_ptr< IborIndex > | iborIndex () const |
| Schedule | fixedRateSchedule (const Date &fixingDate) const |
| boost::shared_ptr< VanillaSwap > | underlyingSwap (const Date &fixingDate) const |
Protected Member Functions | |
| Rate | forecastFixing (const Date &fixingDate) const |
Protected Attributes | |
| Period | tenor_ |
| boost::shared_ptr< IborIndex > | iborIndex_ |
| Period | fixedLegTenor_ |
| 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.