SwapSpreadIndex Class Reference
class for swap-rate spread indexes More...
#include <ql/experimental/coupons/swapspreadindex.hpp>
Inheritance diagram for SwapSpreadIndex:
Public Member Functions | |
| SwapSpreadIndex (const std::string &familyName, const ext::shared_ptr< SwapIndex > &swapIndex1, ext::shared_ptr< SwapIndex > swapIndex2, Real gearing1=1.0, Real gearing2=-1.0) | |
InterestRateIndex interface | |
| Date | maturityDate (const Date &valueDate) const override |
| Rate | forecastFixing (const Date &fixingDate) const override |
| It can be overridden to implement particular conventions. | |
| Rate | pastFixing (const Date &fixingDate) const override |
| returns a past fixing at the given date | |
| bool | allowsNativeFixings () override |
| check if index allows for native fixings. | |
| 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. | |
| Calendar | fixingCalendar () const override |
| returns the calendar defining valid fixing dates | |
| bool | isValidFixingDate (const Date &fixingDate) const override |
| returns TRUE if the fixing date is a valid one | |
| Rate | fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override |
| returns the fixing at the given date | |
| std::string | familyName () const |
| Period | tenor () const |
| Natural | fixingDays () const |
| const Currency & | currency () const |
| const DayCounter & | dayCounter () const |
| virtual Date | fixingDate (const Date &valueDate) const |
| virtual Date | valueDate (const Date &fixingDate) const |
| Public Member Functions inherited from Index | |
| bool | hasHistoricalFixing (const Date &fixingDate) const |
| returns whether a historical fixing was stored for the given date | |
| const TimeSeries< Real > & | timeSeries () const |
| returns the fixing TimeSeries | |
| void | update () override |
| virtual void | addFixing (const Date &fixingDate, Real fixing, bool forceOverwrite=false) |
| 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 | |
| Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const 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 | deepUpdate () |
Inspectors | |
| ext::shared_ptr< SwapIndex > | swapIndex1 () |
| ext::shared_ptr< SwapIndex > | swapIndex2 () |
| Real | gearing1 () const |
| Real | gearing2 () const |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| ext::shared_ptr< Observable > | notifier () const |
| std::string | familyName_ |
| Period | tenor_ |
| Natural | fixingDays_ |
| Currency | currency_ |
| DayCounter | dayCounter_ |
| std::string | name_ |
Detailed Description
class for swap-rate spread indexes
Member Function Documentation
◆ maturityDate()
Implements InterestRateIndex.
◆ forecastFixing()
It can be overridden to implement particular conventions.
Implements InterestRateIndex.
◆ pastFixing()
returns a past fixing at the given date
the date passed as arguments must be the actual calendar date of the fixing; no settlement days must be used.
Reimplemented from Index.
◆ allowsNativeFixings()
|
overridevirtual |
check if index allows for native fixings.
If this returns false, calls to addFixing and similar methods will raise an exception.
Reimplemented from Index.
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