- 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_ |
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boost::shared_ptr < OvernightIndexedSwap > | lastSwap_ |
| Date | lastFixingDate_ |
base class for overnight indexed swap indexes
| boost::shared_ptr<OvernightIndexedSwap> underlyingSwap | ( | const Date & | fixingDate | ) | const |