23#ifndef quantlib_swapindex_hpp
24#define quantlib_swapindex_hpp
38 class OvernightIndexedSwap;
83 virtual ext::shared_ptr<SwapIndex>
clone(
86 virtual ext::shared_ptr<SwapIndex>
clone(
90 virtual ext::shared_ptr<SwapIndex>
clone(
117 bool telescopicValueDates =
false,
134 mutable ext::shared_ptr<OvernightIndexedSwap>
lastSwap_;
148 inline ext::shared_ptr<OvernightIndex>
Shared handle to an observable.
base class for interest rate indexes
Calendar fixingCalendar() const override
returns the calendar defining valid fixing dates
const Currency & currency() const
virtual Date valueDate(const Date &fixingDate) const
Date fixingDate(const Date &valueDate) const
std::string familyName() const
base class for overnight indexed swap indexes
ext::shared_ptr< OvernightIndex > overnightIndex_
bool telescopicValueDates_
ext::shared_ptr< OvernightIndex > overnightIndex() const
ext::shared_ptr< OvernightIndexedSwap > lastSwap_
ext::shared_ptr< OvernightIndexedSwap > underlyingSwap(const Date &fixingDate) const
RateAveraging::Type averagingMethod_
base class for swap-rate indexes
virtual ext::shared_ptr< SwapIndex > clone(const Handle< YieldTermStructure > &forwarding) const
returns a copy of itself linked to a different forwarding curve
Handle< YieldTermStructure > discount_
ext::shared_ptr< VanillaSwap > underlyingSwap(const Date &fixingDate) const
Handle< YieldTermStructure > forwardingTermStructure() const
BusinessDayConvention fixedLegConvention() const
ext::shared_ptr< VanillaSwap > lastSwap_
ext::shared_ptr< IborIndex > iborIndex_
Date maturityDate(const Date &valueDate) const override
BusinessDayConvention fixedLegConvention_
ext::shared_ptr< IborIndex > iborIndex() const
bool exogenousDiscount() const
Period fixedLegTenor() const
Handle< YieldTermStructure > discountingTermStructure() const
Rate forecastFixing(const Date &fixingDate) const override
It can be overridden to implement particular conventions.
BusinessDayConvention
Business Day conventions.
unsigned QL_INTEGER Natural
positive integer
base class for interest rate indexes
Interest-rate term structure.