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<title>QuantLib: SwapIndex Class Reference</title>
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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_swap_index.html">SwapIndex</a></div>
<h1>SwapIndex Class Reference</h1><!-- doxytag: class="QuantLib::SwapIndex" --><!-- doxytag: inherits="QuantLib::InterestRateIndex" --><code>#include <ql/indexes/swapindex.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for SwapIndex:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_swap_index__inherit__graph.png" border="0" usemap="#_swap_index__inherit__map" alt="Inheritance graph"></center>
<map name="_swap_index__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_euribor_swap_fix_a.html" title="EuriborSwapFixA index base class" alt="" coords="341,5,472,32"><area shape="rect" href="class_quant_lib_1_1_euribor_swap_fix_b.html" title="EuriborSwapFix index base class" alt="" coords="341,56,472,83"><area shape="rect" href="class_quant_lib_1_1_euribor_swap_fix_i_f_r.html" title="EuriborSwapFixIFR index base class" alt="" coords="336,107,477,133"><area shape="rect" href="class_quant_lib_1_1_eurlibor_swap_fix_a.html" title="EurliborSwapFixA index base class" alt="" coords="340,157,473,184"><area shape="rect" href="class_quant_lib_1_1_eurlibor_swap_fix_b.html" title="EurliborSwapFixB index base class" alt="" coords="340,208,473,235"><area shape="rect" href="class_quant_lib_1_1_eurlibor_swap_fix_i_f_r.html" title="EurliborSwapFixIFR index base class" alt="" coords="335,259,479,285"><area shape="rect" href="class_quant_lib_1_1_interest_rate_index.html" title="base class for interest rate indexes" alt="" coords="5,132,144,159"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_swap_index-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
base class for swap-rate indexes <table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f156ef2b3f82ab02b6581de586d4884c"></a><!-- doxytag: member="QuantLib::SwapIndex::SwapIndex" ref="f156ef2b3f82ab02b6581de586d4884c" args="(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)" -->
</td><td class="memItemRight" valign="bottom"><b>SwapIndex</b> (const std::string &familyName, const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &tenor, <a class="el" href="group__types.html#g7e529c39c477ba1f5a22264d93e8457a">Natural</a> settlementDays, <a class="el" href="class_quant_lib_1_1_currency.html">Currency</a> currency, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &calendar, const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &fixedLegTenor, <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> fixedLegConvention, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &fixedLegDayCounter, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</a> > &iborIndex)</td></tr>
<tr><td colspan="2"><div class="groupHeader">InterestRateIndex interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f339c253f6ec5ba1e4afba30f0b0f8c2"></a><!-- doxytag: member="QuantLib::SwapIndex::termStructure" ref="f339c253f6ec5ba1e4afba30f0b0f8c2" args="() const " -->
<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > </td><td class="memItemRight" valign="bottom"><b>termStructure</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="615a330e425e4b9abceba4a56fc2664f"></a><!-- doxytag: member="QuantLib::SwapIndex::maturityDate" ref="615a330e425e4b9abceba4a56fc2664f" args="(const Date &valueDate) const " -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>maturityDate</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &valueDate) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="55d0d8b63c13eae3e81de1ab0c832d0a"></a><!-- doxytag: member="QuantLib::SwapIndex::fixedLegTenor" ref="55d0d8b63c13eae3e81de1ab0c832d0a" args="() const " -->
<a class="el" href="class_quant_lib_1_1_period.html">Period</a> </td><td class="memItemRight" valign="bottom"><b>fixedLegTenor</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5f701a7f5081b78395cb2b116568df02"></a><!-- doxytag: member="QuantLib::SwapIndex::fixedLegConvention" ref="5f701a7f5081b78395cb2b116568df02" args="() const " -->
<a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td><td class="memItemRight" valign="bottom"><b>fixedLegConvention</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bdf98107081c41f73c7f070884cb2505"></a><!-- doxytag: member="QuantLib::SwapIndex::iborIndex" ref="bdf98107081c41f73c7f070884cb2505" args="() const " -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</a> > </td><td class="memItemRight" valign="bottom"><b>iborIndex</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e650d9f895940b7c2ce4740e25950b13"></a><!-- doxytag: member="QuantLib::SwapIndex::fixedRateSchedule" ref="e650d9f895940b7c2ce4740e25950b13" args="(const Date &fixingDate) const " -->
<a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> </td><td class="memItemRight" valign="bottom"><b>fixedRateSchedule</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &fixingDate) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_vanilla_swap.html">VanillaSwap</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swap_index.html#fccaabbaca855e9e0b6a82e88eb59551">underlyingSwap</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &fixingDate) const </td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="31402c8dcd6c83166c07900d7f440bca"></a><!-- doxytag: member="QuantLib::SwapIndex::forecastFixing" ref="31402c8dcd6c83166c07900d7f440bca" args="(const Date &fixingDate) const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>forecastFixing</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &fixingDate) const </td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6f1e4aec3cba6f7cea92368273728ec8"></a><!-- doxytag: member="QuantLib::SwapIndex::tenor_" ref="6f1e4aec3cba6f7cea92368273728ec8" args="" -->
<a class="el" href="class_quant_lib_1_1_period.html">Period</a> </td><td class="memItemRight" valign="bottom"><b>tenor_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="211475384befbdc6d1d92bfe69635cd0"></a><!-- doxytag: member="QuantLib::SwapIndex::iborIndex_" ref="211475384befbdc6d1d92bfe69635cd0" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</a> > </td><td class="memItemRight" valign="bottom"><b>iborIndex_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d464dd02e852a5d48cb5597b3c0e128f"></a><!-- doxytag: member="QuantLib::SwapIndex::fixedLegTenor_" ref="d464dd02e852a5d48cb5597b3c0e128f" args="" -->
<a class="el" href="class_quant_lib_1_1_period.html">Period</a> </td><td class="memItemRight" valign="bottom"><b>fixedLegTenor_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8d485270c1e58e6834d7ae82c2a3f4a6"></a><!-- doxytag: member="QuantLib::SwapIndex::fixedLegConvention_" ref="8d485270c1e58e6834d7ae82c2a3f4a6" args="" -->
<a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td><td class="memItemRight" valign="bottom"><b>fixedLegConvention_</b></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="fccaabbaca855e9e0b6a82e88eb59551"></a><!-- doxytag: member="QuantLib::SwapIndex::underlyingSwap" ref="fccaabbaca855e9e0b6a82e88eb59551" args="(const Date &fixingDate) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">boost::shared_ptr<<a class="el" href="class_quant_lib_1_1_vanilla_swap.html">VanillaSwap</a>> underlyingSwap </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"> <em>fixingDate</em> </td>
<td> ) </td>
<td width="100%"> const</td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000030">Warning:</a></b></dt><dd>Relinking the term structure underlying the index will not have effect on the returned swap. </dd></dl>
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