EurLiborSwapIsdaFixB index base class More...
#include <ql/indexes/swap/eurliborswap.hpp>
Public Member Functions | |
EurLiborSwapIsdaFixB (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) | |
EurLiborSwapIsdaFixB (const Period &tenor, const Handle< YieldTermStructure > &forwarding, const Handle< YieldTermStructure > &discounting) | |
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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) | |
Date | maturityDate (const Date &valueDate) const |
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 |
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 | |
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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 |
Rate | pastFixing (const Date &fixingDate) const |
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const TimeSeries< Real > & | timeSeries () const |
returns the fixing TimeSeries | |
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 | |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Additional Inherited Members | |
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Rate | forecastFixing (const Date &fixingDate) const |
It can be overridden to implement particular conventions. | |
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Period | tenor_ |
boost::shared_ptr< IborIndex > | iborIndex_ |
Period | fixedLegTenor_ |
BusinessDayConvention | fixedLegConvention_ |
bool | exogenousDiscount_ |
Handle< YieldTermStructure > | discount_ |
boost::shared_ptr< VanillaSwap > | lastSwap_ |
Date | lastFixingDate_ |
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std::string | familyName_ |
Period | tenor_ |
Natural | fixingDays_ |
Currency | currency_ |
DayCounter | dayCounter_ |
EurLiborSwapIsdaFixB index base class
EUR Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Annual 30/360 vs 6M Libor, 1Y vs 3M Libor. Reuters page ISDAFIX2 or EURSFIXLB=.
Further info can be found at http://www.isda.org/fix/isdafix.html or Reuters page ISDAFIX.