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

Public Member Functions | Protected Member Functions | Protected Attributes

QuantLib::EuriborSwapIsdaFixB Class Reference

EuriborSwapIsdaFixB index base class More...

#include <euriborswap.hpp>

Inheritance diagram for QuantLib::EuriborSwapIsdaFixB:
Inheritance graph
Collaboration diagram for QuantLib::EuriborSwapIsdaFixB:
Collaboration graph

List of all members.

Public Member Functions

virtual void addFixing (const Date &fixingDate, Real fixing, bool forceOverwrite=false)
 stores the historical fixing at the given date
void addFixings (const TimeSeries< Real > &t, bool forceOverwrite=false)
 stores historical fixings from a TimeSeries
template<class DateIterator , class ValueIterator >
void addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false)
 stores historical fixings at the given dates
void clearFixings ()
 clears all stored historical fixings
 EuriborSwapIsdaFixB (const Period &tenor, const Handle< YieldTermStructure > &forwarding, const Handle< YieldTermStructure > &discounting)
 EuriborSwapIsdaFixB (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())
void notifyObservers ()
void registerWith (const boost::shared_ptr< Observable > &)
const TimeSeries< Real > & timeSeries () const
 returns the fixing TimeSeries
void unregisterWith (const boost::shared_ptr< Observable > &)
InterestRateIndex interface
Date maturityDate (const Date &valueDate) const
Period fixedLegTenor () const
BusinessDayConvention fixedLegConvention () const
boost::shared_ptr< IborIndexiborIndex () const
Handle< YieldTermStructureforwardingTermStructure () const
Handle< YieldTermStructurediscountingTermStructure () const
bool exogenousDiscount () const
boost::shared_ptr< VanillaSwapunderlyingSwap (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
Index interface
std::string name () const
 Returns the name of the index.
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
Observer interface
void update ()
std::string familyName () const
Period tenor () const
Natural fixingDays () const
Date fixingDate (const Date &valueDate) const
const Currencycurrency () const
const DayCounterdayCounter () const
Date calculations

These method can be overridden to implement particular conventions (e.g. EurLibor)

virtual Date valueDate (const Date &fixingDate) const

Protected Member Functions

Rate forecastFixing (const Date &fixingDate) const

Protected Attributes

Currency currency_
DayCounter dayCounter_
Handle< YieldTermStructurediscount_
bool exogenousDiscount_
std::string familyName_
BusinessDayConvention fixedLegConvention_
Period fixedLegTenor_
Calendar fixingCalendar_
Natural fixingDays_
boost::shared_ptr< IborIndexiborIndex_
Period tenor_

Detailed Description

EuriborSwapIsdaFixB index base class

Euribor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 12am Frankfurt. Annual 30/360 vs 6M Euribor, 1Y vs 3M Euribor. Reuters page ISDAFIX2 or EURSFIXB=.

Further info can be found at <http://www.isda.org/fix/isdafix.html> or Reuters page ISDAFIX.

Definition at line 61 of file euriborswap.hpp.

The documentation for this class was generated from the following files:

Generated by  Doxygen 1.6.0   Back to index