org.jquantlib.indexes

Class IborIndex

java.lang.Object

org.jquantlib.indexes.Index

org.jquantlib.indexes.InterestRateIndex

org.jquantlib.indexes.IborIndex

All Implemented Interfaces:

Observable, Observer

Direct Known Subclasses:

Cdor, DailyTenorEuribor, DailyTenorEuribor365, DailyTenorEURLibor, DailyTenorLibor, Euribor, Euribor365, EURLibor, Jibar, Libor, Tibor, TRLibor, Zibor

public class IborIndex
extends InterestRateIndex

Base class for Inter-Bank-Offered-Rate indexes (e.g. %Libor, etc.)

Constructor Summary

Constructors

Constructor and Description
IborIndex(java.lang.String familyName, Period tenor, int fixingDays, Currency currency, Calendar fixingCalendar, BusinessDayConvention convention, boolean endOfMonth, DayCounter dayCounter)
IborIndex(java.lang.String familyName, Period tenor, int fixingDays, Currency currency, Calendar fixingCalendar, BusinessDayConvention convention, boolean endOfMonth, DayCounter dayCounter, Handle<YieldTermStructure> h)

Method Summary

Modifier and Type	Method and Description
BusinessDayConvention	businessDayConvention()
Handle<IborIndex>	clone(Handle<YieldTermStructure> h)
boolean	endOfMonth()
Date	maturityDate(Date valueDate)
Handle<YieldTermStructure>	termStructure()

Methods inherited from class org.jquantlib.indexes.InterestRateIndex

currency, dayCounter, familyName, fixing, fixing, fixingCalendar, fixingDate, fixingDays, isValidFixingDate, name, tenor, update, valueDate

Methods inherited from class org.jquantlib.indexes.Index

addFixing, addFixing, addFixings, addObserver, clearFixings, countObservers, deleteObserver, deleteObservers, getObservers, notifyObservers, notifyObservers, timeSeries

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

IborIndex

public IborIndex(java.lang.String familyName,
                 Period tenor,
                 int fixingDays,
                 Currency currency,
                 Calendar fixingCalendar,
                 BusinessDayConvention convention,
                 boolean endOfMonth,
                 DayCounter dayCounter,
                 Handle<YieldTermStructure> h)

IborIndex

public IborIndex(java.lang.String familyName,
                 Period tenor,
                 int fixingDays,
                 Currency currency,
                 Calendar fixingCalendar,
                 BusinessDayConvention convention,
                 boolean endOfMonth,
                 DayCounter dayCounter)

Method Detail

clone

public Handle<IborIndex> clone(Handle<YieldTermStructure> h)

businessDayConvention

public BusinessDayConvention businessDayConvention()

endOfMonth

public boolean endOfMonth()

termStructure

public Handle<YieldTermStructure> termStructure()

Specified by:

termStructure in class InterestRateIndex

maturityDate

public Date maturityDate(Date valueDate)

Specified by:

maturityDate in class InterestRateIndex