OvernightIndexedSwapIndex Class Reference

base class for overnight indexed swap indexes More...

#include <ql/indexes/swapindex.hpp>

Inheritance diagram for OvernightIndexedSwapIndex:

List of all members.

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_

Detailed Description

base class for overnight indexed swap indexes


Member Function Documentation

boost::shared_ptr<OvernightIndexedSwap> underlyingSwap ( const Date fixingDate) const
Warning:
Relinking the term structure underlying the index will not have effect on the returned swap.

Reimplemented from SwapIndex.