org.jquantlib.indexes

Class SwapIndex

java.lang.Object

org.jquantlib.indexes.Index

org.jquantlib.indexes.InterestRateIndex

org.jquantlib.indexes.SwapIndex

All Implemented Interfaces:

Observable, Observer

Direct Known Subclasses:

ChfLiborSwapIsdaFix, EuriborSwapIfrFix, EuriborSwapIsdaFixA, EuriborSwapIsdaFixB, EurLiborSwapIfrFix, EurLiborSwapIsdaFixA, EurLiborSwapIsdaFixB, GbpLiborSwapIsdaFix, JpyLiborSwapIsdaFixAm, JpyLiborSwapIsdaFixPm, UsdLiborSwapIsdaFixAm, UsdLiborSwapIsdaFixPm

public class SwapIndex
extends InterestRateIndex

Base class for swap-rate indexes

Constructor Summary

Constructors

Constructor and Description
SwapIndex(java.lang.String familyName, Period tenor, int settlementDays, Currency currency, Calendar calendar, Period fixedLegTenor, BusinessDayConvention fixedLegConvention, DayCounter fixedLegDayCounter, IborIndex iborIndex)

Method Summary

Modifier and Type	Method and Description
BusinessDayConvention	fixedLegConvention()
Period	fixedLegTenor()
IborIndex	iborIndex()
Date	maturityDate(Date valueDate)
Handle<YieldTermStructure>	termStructure()
VanillaSwap	underlyingSwap(Date fixingDate)

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

SwapIndex

public SwapIndex(java.lang.String familyName,
                 Period tenor,
                 int settlementDays,
                 Currency currency,
                 Calendar calendar,
                 Period fixedLegTenor,
                 BusinessDayConvention fixedLegConvention,
                 DayCounter fixedLegDayCounter,
                 IborIndex iborIndex)

Method Detail

iborIndex

public IborIndex iborIndex()

fixedLegTenor

public Period fixedLegTenor()

fixedLegConvention

public BusinessDayConvention fixedLegConvention()

underlyingSwap

public VanillaSwap underlyingSwap(Date fixingDate)

maturityDate

public Date maturityDate(Date valueDate)

Specified by:

maturityDate in class InterestRateIndex

termStructure

public Handle<YieldTermStructure> termStructure()

Specified by:

termStructure in class InterestRateIndex