A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
|
base class for swap-rate indexes More...
#include <ql/indexes/swapindex.hpp>
Inheritance diagram for SwapIndex:Public Member Functions | |
| SwapIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, const Period &fixedLegTenor, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, const ext::shared_ptr< IborIndex > &iborIndex) | |
| SwapIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, const Period &fixedLegTenor, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, const ext::shared_ptr< IborIndex > &iborIndex, const Handle< YieldTermStructure > &discountingTermStructure) | |
InterestRateIndex interface | |
| Date | maturityDate (const Date &valueDate) const |
Inspectors | |
| Period | fixedLegTenor () const |
| BusinessDayConvention | fixedLegConvention () const |
| ext::shared_ptr< IborIndex > | iborIndex () const |
| Handle< YieldTermStructure > | forwardingTermStructure () const |
| Handle< YieldTermStructure > | discountingTermStructure () const |
| bool | exogenousDiscount () const |
| ext::shared_ptr< VanillaSwap > | underlyingSwap (const Date &fixingDate) const |
| Public Member Functions inherited from InterestRateIndex | |
| InterestRateIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, const DayCounter &dayCounter) | |
| std::string | name () const |
| Returns the name of the index. More... | |
| Calendar | fixingCalendar () const |
| returns the calendar defining valid fixing dates | |
| bool | isValidFixingDate (const Date &fixingDate) const |
| returns TRUE if the fixing date is a valid one | |
| Rate | fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const |
| returns the fixing at the given date More... | |
| void | update () |
| std::string | familyName () const |
| Period | tenor () const |
| Natural | fixingDays () const |
| Date | fixingDate (const Date &valueDate) const |
| const Currency & | currency () const |
| const DayCounter & | dayCounter () const |
| virtual Date | valueDate (const Date &fixingDate) const |
| virtual Rate | pastFixing (const Date &fixingDate) const |
| Public Member Functions inherited from Index | |
| const TimeSeries< Real > & | timeSeries () const |
| returns the fixing TimeSeries | |
| virtual bool | allowsNativeFixings () |
| check if index allows for native fixings. More... | |
| virtual void | addFixing (const Date &fixingDate, Real fixing, bool forceOverwrite=false) |
| stores the historical fixing at the given date More... | |
| void | addFixings (const TimeSeries< Real > &t, bool forceOverwrite=false) |
| stores historical fixings from a TimeSeries More... | |
| template<class DateIterator , class ValueIterator > | |
| void | addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false) |
| stores historical fixings at the given dates More... | |
| void | clearFixings () |
| clears all stored historical fixings | |
| Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Other methods | |
| Period | tenor_ |
| ext::shared_ptr< IborIndex > | iborIndex_ |
| Period | fixedLegTenor_ |
| BusinessDayConvention | fixedLegConvention_ |
| bool | exogenousDiscount_ |
| Handle< YieldTermStructure > | discount_ |
| ext::shared_ptr< VanillaSwap > | lastSwap_ |
| Date | lastFixingDate_ |
| virtual ext::shared_ptr< SwapIndex > | clone (const Handle< YieldTermStructure > &forwarding) const |
| returns a copy of itself linked to a different forwarding curve | |
| virtual ext::shared_ptr< SwapIndex > | clone (const Handle< YieldTermStructure > &forwarding, const Handle< YieldTermStructure > &discounting) const |
| returns a copy of itself linked to different curves | |
| virtual ext::shared_ptr< SwapIndex > | clone (const Period &tenor) const |
| returns a copy of itself with different tenor | |
| Rate | forecastFixing (const Date &fixingDate) const |
| It can be overridden to implement particular conventions. | |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
| Protected Attributes inherited from InterestRateIndex | |
| std::string | familyName_ |
| Period | tenor_ |
| Natural | fixingDays_ |
| Currency | currency_ |
| DayCounter | dayCounter_ |
| std::string | name_ |
base class for swap-rate indexes
| ext::shared_ptr<VanillaSwap> underlyingSwap | ( | const Date & | fixingDate | ) | const |
