base class for swap-rate indexes More...
#include <ql/indexes/swapindex.hpp>
 Inheritance diagram for SwapIndex:
 Inheritance diagram for SwapIndex:| 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 | |
|  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 boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
| 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_ | 
|  Protected Attributes inherited from InterestRateIndex | |
| std::string | familyName_ | 
| Period | tenor_ | 
| Natural | fixingDays_ | 
| Currency | currency_ | 
| DayCounter | dayCounter_ | 
| std::string | name_ | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
base class for swap-rate indexes
| boost::shared_ptr<VanillaSwap> underlyingSwap | ( | const Date & | fixingDate | ) | const |