- QuantLib
- OvernightIndexedSwapIndex
base class for overnight indexed swap indexes More...
#include <ql/indexes/swapindex.hpp>
Public Member Functions | |
OvernightIndexedSwapIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, Currency currency, const boost::shared_ptr< OvernightIndex > &overnightIndex) | |
Inspectors | |
boost::shared_ptr< OvernightIndex > | overnightIndex () const |
boost::shared_ptr < OvernightIndexedSwap > | underlyingSwap (const Date &fixingDate) const |
Protected Attributes | |
boost::shared_ptr< OvernightIndex > | overnightIndex_ |
boost::shared_ptr < OvernightIndexedSwap > | lastSwap_ |
Date | lastFixingDate_ |
base class for overnight indexed swap indexes
boost::shared_ptr<OvernightIndexedSwap> underlyingSwap | ( | const Date & | fixingDate | ) | const |