1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>SwapIndex Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="185" height="50" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 1.2</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.7.6.1 -->
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_swap_index.html">SwapIndex</a> </li>
</ul>
</div>
</div>
<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-methods">Protected Member Functions</a> |
<a href="#pro-attribs">Protected Attributes</a> </div>
<div class="headertitle">
<div class="title">SwapIndex Class Reference</div> </div>
</div><!--header-->
<div class="contents">
<!-- doxytag: class="QuantLib::SwapIndex" --><!-- doxytag: inherits="QuantLib::InterestRateIndex" -->
<p>base class for swap-rate indexes
<a href="class_quant_lib_1_1_swap_index.html#details">More...</a></p>
<p><code>#include <ql/indexes/swapindex.hpp></code></p>
<div class="dynheader">
Inheritance diagram for SwapIndex:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_swap_index__inherit__graph.png" border="0" usemap="#_swap_index_inherit__map" alt="Inheritance graph"/></div>
<map name="_swap_index_inherit__map" id="_swap_index_inherit__map">
<area shape="rect" id="node5" href="class_quant_lib_1_1_chf_libor_swap_isda_fix.html" title="ChfLiborSwapIsdaFix index base class" alt="" coords="337,5,481,35"/><area shape="rect" id="node7" href="class_quant_lib_1_1_euribor_swap_ifr_fix.html" title="EuriborSwapIfrFix index base class" alt="" coords="348,58,471,89"/><area shape="rect" id="node9" href="class_quant_lib_1_1_euribor_swap_isda_fix_a.html" title="EuriborSwapIsdaFixA index base class" alt="" coords="336,111,483,142"/><area shape="rect" id="node11" href="class_quant_lib_1_1_euribor_swap_isda_fix_b.html" title="EuriborSwapIsdaFixB index base class" alt="" coords="336,165,483,195"/><area shape="rect" id="node13" href="class_quant_lib_1_1_eur_libor_swap_ifr_fix.html" title="EurLiborSwapIfrFix index base class" alt="" coords="344,218,475,249"/><area shape="rect" id="node15" href="class_quant_lib_1_1_eur_libor_swap_isda_fix_a.html" title="EurLiborSwapIsdaFixA index base class" alt="" coords="333,271,485,302"/><area shape="rect" id="node17" href="class_quant_lib_1_1_eur_libor_swap_isda_fix_b.html" title="EurLiborSwapIsdaFixB index base class" alt="" coords="333,325,485,355"/><area shape="rect" id="node19" href="class_quant_lib_1_1_gbp_libor_swap_isda_fix.html" title="GbpLiborSwapIsdaFix index base class" alt="" coords="335,378,484,409"/><area shape="rect" id="node21" href="class_quant_lib_1_1_jpy_libor_swap_isda_fix_am.html" title="JpyLiborSwapIsdaFixAm index base class" alt="" coords="327,431,492,462"/><area shape="rect" id="node23" href="class_quant_lib_1_1_jpy_libor_swap_isda_fix_pm.html" title="JpyLiborSwapIsdaFixPm index base class" alt="" coords="327,485,492,515"/><area shape="rect" id="node25" href="class_quant_lib_1_1_overnight_indexed_swap_index.html" title="base class for overnight indexed swap indexes" alt="" coords="316,538,503,569"/><area shape="rect" id="node27" href="class_quant_lib_1_1_usd_libor_swap_isda_fix_am.html" title="UsdLiborSwapIsdaFixAm index base class" alt="" coords="325,591,493,622"/><area shape="rect" id="node29" href="class_quant_lib_1_1_usd_libor_swap_isda_fix_pm.html" title="UsdLiborSwapIsdaFixPm index base class" alt="" coords="327,645,492,675"/><area shape="rect" id="node2" href="class_quant_lib_1_1_interest_rate_index.html" title="base class for interest rate indexes" alt="" coords="5,325,131,355"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_swap_index-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af156ef2b3f82ab02b6581de586d4884c"></a><!-- doxytag: member="QuantLib::SwapIndex::SwapIndex" ref="af156ef2b3f82ab02b6581de586d4884c" 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#ga7e529c39c477ba1f5a22264d93e8457a">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#gaff46c5ae9385d20709bedade86edd368">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 class="memItemLeft" align="right" valign="top"><a class="anchor" id="a00ecd319fd0c7b9daff73ca5b59fa0f4"></a><!-- doxytag: member="QuantLib::SwapIndex::SwapIndex" ref="a00ecd319fd0c7b9daff73ca5b59fa0f4" 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, const Handle< YieldTermStructure > &discountingTermStructure)" -->
 </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#ga7e529c39c477ba1f5a22264d93e8457a">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#gaff46c5ae9385d20709bedade86edd368">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, 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> > &discountingTermStructure)</td></tr>
<tr><td colspan="2"><div class="groupHeader">InterestRateIndex interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a615a330e425e4b9abceba4a56fc2664f"></a><!-- doxytag: member="QuantLib::SwapIndex::maturityDate" ref="a615a330e425e4b9abceba4a56fc2664f" 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" align="right" valign="top"><a class="anchor" id="a55d0d8b63c13eae3e81de1ab0c832d0a"></a><!-- doxytag: member="QuantLib::SwapIndex::fixedLegTenor" ref="a55d0d8b63c13eae3e81de1ab0c832d0a" 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" align="right" valign="top"><a class="anchor" id="a5f701a7f5081b78395cb2b116568df02"></a><!-- doxytag: member="QuantLib::SwapIndex::fixedLegConvention" ref="a5f701a7f5081b78395cb2b116568df02" args="() const " -->
<a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td><td class="memItemRight" valign="bottom"><b>fixedLegConvention</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a39c9489a774110f2c9109243222f287e"></a><!-- doxytag: member="QuantLib::SwapIndex::iborIndex" ref="a39c9489a774110f2c9109243222f287e" 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" align="right" valign="top"><a class="anchor" id="a602aff2af572fe9b816a379dae8fb4ad"></a><!-- doxytag: member="QuantLib::SwapIndex::forwardingTermStructure" ref="a602aff2af572fe9b816a379dae8fb4ad" 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>forwardingTermStructure</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7f25888de58002b814b55c194461958d"></a><!-- doxytag: member="QuantLib::SwapIndex::discountingTermStructure" ref="a7f25888de58002b814b55c194461958d" 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>discountingTermStructure</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="acf2e42f9336ae9075e37b7655fb2b18e"></a><!-- doxytag: member="QuantLib::SwapIndex::exogenousDiscount" ref="acf2e42f9336ae9075e37b7655fb2b18e" args="() const " -->
bool </td><td class="memItemRight" valign="bottom"><b>exogenousDiscount</b> () const </td></tr>
<tr><td class="memItemLeft" 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#afccaabbaca855e9e0b6a82e88eb59551">underlyingSwap</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &fixingDate) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Other methods</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a73ace5db73159bfcf0e4e8ee9f4e0ef6"></a><!-- doxytag: member="QuantLib::SwapIndex::clone" ref="a73ace5db73159bfcf0e4e8ee9f4e0ef6" args="(const Handle< YieldTermStructure > &forwarding) const " -->
virtual boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_swap_index.html">SwapIndex</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swap_index.html#a73ace5db73159bfcf0e4e8ee9f4e0ef6">clone</a> (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> > &forwarding) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns a copy of itself linked to a different forwarding curve <br/></td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a31402c8dcd6c83166c07900d7f440bca"></a><!-- doxytag: member="QuantLib::SwapIndex::forecastFixing" ref="a31402c8dcd6c83166c07900d7f440bca" args="(const Date &fixingDate) const " -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swap_index.html#a31402c8dcd6c83166c07900d7f440bca">forecastFixing</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &fixingDate) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">It can be overridden to implement particular conventions. <br/></td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6f1e4aec3cba6f7cea92368273728ec8"></a><!-- doxytag: member="QuantLib::SwapIndex::tenor_" ref="a6f1e4aec3cba6f7cea92368273728ec8" 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" align="right" valign="top"><a class="anchor" id="a211475384befbdc6d1d92bfe69635cd0"></a><!-- doxytag: member="QuantLib::SwapIndex::iborIndex_" ref="a211475384befbdc6d1d92bfe69635cd0" 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" align="right" valign="top"><a class="anchor" id="ad464dd02e852a5d48cb5597b3c0e128f"></a><!-- doxytag: member="QuantLib::SwapIndex::fixedLegTenor_" ref="ad464dd02e852a5d48cb5597b3c0e128f" 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" align="right" valign="top"><a class="anchor" id="a8d485270c1e58e6834d7ae82c2a3f4a6"></a><!-- doxytag: member="QuantLib::SwapIndex::fixedLegConvention_" ref="a8d485270c1e58e6834d7ae82c2a3f4a6" args="" -->
<a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td><td class="memItemRight" valign="bottom"><b>fixedLegConvention_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab0effa79db7b18d65789a832ee065050"></a><!-- doxytag: member="QuantLib::SwapIndex::exogenousDiscount_" ref="ab0effa79db7b18d65789a832ee065050" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>exogenousDiscount_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a42418822361f7c1c04a78b99efb36016"></a><!-- doxytag: member="QuantLib::SwapIndex::discount_" ref="a42418822361f7c1c04a78b99efb36016" args="" -->
<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>discount_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a64caa8ee1b4f14bfc67d355d2b3e349e"></a><!-- doxytag: member="QuantLib::SwapIndex::lastSwap_" ref="a64caa8ee1b4f14bfc67d355d2b3e349e" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_vanilla_swap.html">VanillaSwap</a> > </td><td class="memItemRight" valign="bottom"><b>lastSwap_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aebda2948141a2f9bf4e188512541f885"></a><!-- doxytag: member="QuantLib::SwapIndex::lastFixingDate_" ref="aebda2948141a2f9bf4e188512541f885" args="" -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>lastFixingDate_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>base class for swap-rate indexes </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="afccaabbaca855e9e0b6a82e88eb59551"></a><!-- doxytag: member="QuantLib::SwapIndex::underlyingSwap" ref="afccaabbaca855e9e0b6a82e88eb59551" 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>> <a class="el" href="class_quant_lib_1_1_swap_index.html#afccaabbaca855e9e0b6a82e88eb59551">underlyingSwap</a> </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> const</td>
</tr>
</table>
</div>
<div class="memdoc">
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000043">Warning:</a></b></dt><dd>Relinking the term structure underlying the index will not have effect on the returned swap. </dd></dl>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_overnight_indexed_swap_index.html#a3c9a90446e2ee0b8cafbf57b9f4c671b">OvernightIndexedSwapIndex</a>.</p>
</div>
</div>
</div><!-- contents -->
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.7.6.1
</div>
</div>
</div>
</body>
</html>
|
