Logo Search packages:      
Sourcecode: quantlib version File versions  Download package


Go to the documentation of this file.
 Copyright (C) 2006 Ferdinando Ametrano
 Copyright (C) 2006, 2007 StatPro Italia srl

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at

 This program is distributed in the hope that it will be useful, but
 WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY
 or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */

/*! \file swapindex.hpp
    \brief swap-rate indexes

#ifndef quantlib_swapindex_hpp
#define quantlib_swapindex_hpp

#include <ql/indexes/interestrateindex.hpp>

namespace QuantLib {

    class IborIndex;
    class Schedule;
    class VanillaSwap;

    //! base class for swap-rate indexes
00035     class SwapIndex : public InterestRateIndex {
        SwapIndex(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);
        //! \name InterestRateIndex interface
        Handle<YieldTermStructure> termStructure() const;
        Date maturityDate(const Date& valueDate) const;
        //! \name Inspectors
        Period fixedLegTenor() const { return fixedLegTenor_; }
        BusinessDayConvention fixedLegConvention() const;
        boost::shared_ptr<IborIndex> iborIndex() const;
        Schedule fixedRateSchedule(const Date& fixingDate) const;
        /*! \warning Relinking the term structure underlying the index will
                     not have effect on the returned swap.
        boost::shared_ptr<VanillaSwap> underlyingSwap(
                                                const Date& fixingDate) const;
        Rate forecastFixing(const Date& fixingDate) const;
        Period tenor_;
        boost::shared_ptr<IborIndex> iborIndex_;
        Period fixedLegTenor_;
        BusinessDayConvention fixedLegConvention_;

    // inline definitions

    inline BusinessDayConvention SwapIndex::fixedLegConvention() const {
        return fixedLegConvention_;

    inline boost::shared_ptr<IborIndex> SwapIndex::iborIndex() const {
        return iborIndex_;



Generated by  Doxygen 1.6.0   Back to index