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| OvernightIndexedSwapIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const ext::shared_ptr< OvernightIndex > &overnightIndex, bool telescopicValueDates=false) |
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| SwapIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, const Period &fixedLegTenor, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, const ext::shared_ptr< IborIndex > &iborIndex) |
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| SwapIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, const Period &fixedLegTenor, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, const ext::shared_ptr< IborIndex > &iborIndex, const Handle< YieldTermStructure > &discountingTermStructure) |
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Date | maturityDate (const Date &valueDate) const |
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Period | fixedLegTenor () const |
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BusinessDayConvention | fixedLegConvention () const |
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ext::shared_ptr< IborIndex > | iborIndex () const |
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Handle< YieldTermStructure > | forwardingTermStructure () const |
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Handle< YieldTermStructure > | discountingTermStructure () const |
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bool | exogenousDiscount () const |
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ext::shared_ptr< VanillaSwap > | underlyingSwap (const Date &fixingDate) const |
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virtual ext::shared_ptr< SwapIndex > | clone (const Handle< YieldTermStructure > &forwarding) const |
| returns a copy of itself linked to a different forwarding curve
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virtual ext::shared_ptr< SwapIndex > | clone (const Handle< YieldTermStructure > &forwarding, const Handle< YieldTermStructure > &discounting) const |
| returns a copy of itself linked to different curves
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virtual ext::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) |
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std::string | name () const |
| Returns the name of the index. More...
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Calendar | fixingCalendar () const |
| returns the calendar defining valid fixing dates
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bool | isValidFixingDate (const Date &fixingDate) const |
| returns TRUE if the fixing date is a valid one
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Rate | fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const |
| returns the fixing at the given date More...
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void | update () |
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std::string | familyName () const |
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Period | tenor () const |
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Natural | fixingDays () const |
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Date | fixingDate (const Date &valueDate) const |
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const Currency & | currency () const |
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const DayCounter & | dayCounter () const |
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virtual Date | valueDate (const Date &fixingDate) const |
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virtual Rate | pastFixing (const Date &fixingDate) const |
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const TimeSeries< Real > & | timeSeries () const |
| returns the fixing TimeSeries
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virtual bool | allowsNativeFixings () |
| check if index allows for native fixings. More...
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virtual void | addFixing (const Date &fixingDate, Real fixing, bool forceOverwrite=false) |
| stores the historical fixing at the given date More...
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void | addFixings (const TimeSeries< Real > &t, bool forceOverwrite=false) |
| stores historical fixings from a TimeSeries More...
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template<class DateIterator , class ValueIterator > |
void | addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false) |
| stores historical fixings at the given dates More...
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void | clearFixings () |
| clears all stored historical fixings
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| Observable (const Observable &) |
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Observable & | operator= (const Observable &) |
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void | notifyObservers () |
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| Observer (const Observer &) |
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Observer & | operator= (const Observer &) |
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std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
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void | registerWithObservables (const ext::shared_ptr< Observer > &) |
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Size | unregisterWith (const ext::shared_ptr< Observable > &) |
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void | unregisterWithAll () |
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virtual void | deepUpdate () |
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base class for overnight indexed swap indexes