SwapIndex

NAME

SwapIndex − base class for swap-rate indexes

SYNOPSIS

#include <ql/indexes/swapindex.hpp>

Inherits 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 &fixingCalendar, 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 &fixingCalendar, 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
Handle< YieldTermStructure > discountingTermStructure () 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
virtual boost::shared_ptr< SwapIndex > clone (const Handle< YieldTermStructure > &forwarding, const Handle< YieldTermStructure > &discounting) const
returns a copy of itself linked to different curves
virtual boost::shared_ptr< SwapIndex > clone (const Period &tenor) const
returns a copy of itself with different tenor

Protected Member Functions

Rate forecastFixing (const Date &fixingDate) const
It can be overridden to implement particular conventions.

Protected Attributes

Period tenor_
boost::shared_ptr< IborIndex > iborIndex_
Period fixedLegTenor_
BusinessDayConvention fixedLegConvention_
bool exogenousDiscount_
Handle< YieldTermStructure > discount_
boost::shared_ptr< VanillaSwap > lastSwap_
Date lastFixingDate_

Additional Inherited Members

Detailed Description

base class for swap-rate indexes

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.

Author

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