|
|
| OvernightIndexedSwapIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const ext::shared_ptr< OvernightIndex > &overnightIndex, bool telescopicValueDates=false) |
| |
|
| 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) |
| |
|
| 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) |
| |
|
Date | maturityDate (const Date &valueDate) const |
| |
|
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
|
| |
|
virtual ext::shared_ptr< SwapIndex > | clone (const Handle< YieldTermStructure > &forwarding, const Handle< YieldTermStructure > &discounting) const |
| | returns a copy of itself linked to different curves
|
| |
|
virtual ext::shared_ptr< SwapIndex > | clone (const Period &tenor) const |
| | returns a copy of itself with different tenor
|
| |
|
| InterestRateIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, const DayCounter &dayCounter) |
| |
| std::string | name () const |
| | Returns the name of the index. More...
|
| |
|
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 More...
|
| |
| void | update () |
| |
|
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 |
| |
|
const TimeSeries< Real > & | timeSeries () const |
| | returns the fixing TimeSeries
|
| |
| 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
|
| |
|
| Observable (const Observable &) |
| |
| Observable & | operator= (const Observable &) |
| |
| void | notifyObservers () |
| |
|
| 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 () |
| |
base class for overnight indexed swap indexes