Constant Maturity Bond Index.
More...
#include <qle/indexes/bondindex.hpp>
|
| ConstantMaturityBondIndex (const std::string &familyName, const Period &tenor, Natural settlementDays=0, Currency currency=Currency(), Calendar fixingCalendar=NullCalendar(), DayCounter dayCounter=SimpleDayCounter(), BusinessDayConvention convention=Following, bool endOfMonth=false, ext::shared_ptr< Bond > bond=nullptr, Compounding compounding=Compounded, Frequency frequency=Annual, Real accuracy=1.0e-8, Size maxEvaluations=100, Real guess=0.05, QuantLib::Bond::Price::Type priceType=QuantLib::Bond::Price::Clean) |
|
|
Date | maturityDate (const Date &valueDate) const override |
|
|
Rate | forecastFixing (const Date &fixingDate) const override |
|
|
BusinessDayConvention | convention () const |
|
bool | endOfMonth () const |
|
const ext::shared_ptr< Bond > & | bond () const |
|
Constant Maturity Bond Index.
The purpose of this object is converting generic bond prices into yields and to use the yields as fixings in the context of floating rate coupons