EuriborSwapIsdaFixB index base class More...
#include <euriborswap.hpp>
Inheritance diagram for EuriborSwapIsdaFixB:
Collaboration diagram for EuriborSwapIsdaFixB:
Public Member Functions | |
| EuriborSwapIsdaFixB (const Period &tenor, const Handle< YieldTermStructure > &h={}) | |
| EuriborSwapIsdaFixB (const Period &tenor, const Handle< YieldTermStructure > &forwarding, const Handle< YieldTermStructure > &discounting) | |
| Public Member Functions inherited from SwapIndex | |
| SwapIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, const Period &fixedLegTenor, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, ext::shared_ptr< IborIndex > iborIndex) | |
| SwapIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, const Period &fixedLegTenor, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, ext::shared_ptr< IborIndex > iborIndex, Handle< YieldTermStructure > discountingTermStructure) | |
| Date | maturityDate (const Date &valueDate) const override |
| Period | fixedLegTenor () const |
| BusinessDayConvention | fixedLegConvention () const |
| ext::shared_ptr< IborIndex > | iborIndex () const |
| Handle< YieldTermStructure > | forwardingTermStructure () const |
| Handle< YieldTermStructure > | discountingTermStructure () const |
| bool | exogenousDiscount () const |
| ext::shared_ptr< VanillaSwap > | underlyingSwap (const Date &fixingDate) const |
| virtual ext::shared_ptr< SwapIndex > | clone (const Handle< YieldTermStructure > &forwarding) const |
| returns a copy of itself linked to a different forwarding curve More... | |
| virtual ext::shared_ptr< SwapIndex > | clone (const Handle< YieldTermStructure > &forwarding, const Handle< YieldTermStructure > &discounting) const |
| returns a copy of itself linked to different curves More... | |
| virtual ext::shared_ptr< SwapIndex > | clone (const Period &tenor) const |
| returns a copy of itself with different tenor More... | |
| Public Member Functions inherited from InterestRateIndex | |
| InterestRateIndex (std::string familyName, const Period &tenor, Natural settlementDays, Currency currency, Calendar fixingCalendar, DayCounter dayCounter) | |
| std::string | name () const override |
| Returns the name of the index. More... | |
| Calendar | fixingCalendar () const override |
| returns the calendar defining valid fixing dates More... | |
| bool | isValidFixingDate (const Date &fixingDate) const override |
| returns TRUE if the fixing date is a valid one More... | |
| Rate | fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override |
| returns the fixing at the given date More... | |
| void | update () override |
| 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 | |
| ~Index () override=default | |
| virtual std::string | name () const =0 |
| Returns the name of the index. More... | |
| virtual Calendar | fixingCalendar () const =0 |
| returns the calendar defining valid fixing dates More... | |
| virtual bool | isValidFixingDate (const Date &fixingDate) const =0 |
| returns TRUE if the fixing date is a valid one More... | |
| bool | hasHistoricalFixing (const Date &fixingDate) const |
| returns whether a historical fixing was stored for the given date More... | |
| virtual Real | fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const =0 |
| returns the fixing at the given date More... | |
| const TimeSeries< Real > & | timeSeries () const |
| returns the fixing TimeSeries More... | |
| 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 More... | |
| Public Member Functions inherited from Observable | |
| Observable () | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~Observer () |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | update ()=0 |
| virtual void | deepUpdate () |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from SwapIndex | |
| Rate | forecastFixing (const Date &fixingDate) const override |
| It can be overridden to implement particular conventions. More... | |
| Protected Attributes inherited from SwapIndex | |
| Period | tenor_ |
| ext::shared_ptr< IborIndex > | iborIndex_ |
| Period | fixedLegTenor_ |
| BusinessDayConvention | fixedLegConvention_ |
| bool | exogenousDiscount_ |
| Handle< YieldTermStructure > | discount_ |
| ext::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_ |
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 60 of file euriborswap.hpp.
Constructor & Destructor Documentation
◆ EuriborSwapIsdaFixB() [1/2]
| EuriborSwapIsdaFixB | ( | const Period & | tenor, |
| const Handle< YieldTermStructure > & | h = {} |
||
| ) |
Definition at line 61 of file euriborswap.cpp.
◆ EuriborSwapIsdaFixB() [2/2]
| EuriborSwapIsdaFixB | ( | const Period & | tenor, |
| const Handle< YieldTermStructure > & | forwarding, | ||
| const Handle< YieldTermStructure > & | discounting | ||
| ) |
Definition at line 76 of file euriborswap.cpp.