- QuantLib
- IborIndex
base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) More...
#include <ql/indexes/iborindex.hpp>
Public Member Functions | |
IborIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) | |
InterestRateIndex interface | |
Date | maturityDate (const Date &valueDate) const |
Rate | forecastFixing (const Date &fixingDate) const |
It can be overridden to implement particular conventions. | |
Inspectors | |
BusinessDayConvention | businessDayConvention () const |
bool | endOfMonth () const |
Handle< YieldTermStructure > | forwardingTermStructure () const |
the curve used to forecast fixings | |
Other methods | |
virtual boost::shared_ptr < IborIndex > | clone (const Handle< YieldTermStructure > &forwarding) const |
returns a copy of itself linked to a different forwarding curve | |
Protected Attributes | |
BusinessDayConvention | convention_ |
Handle< YieldTermStructure > | termStructure_ |
bool | endOfMonth_ |
Friends | |
class | IborCoupon |
base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)