ConstantMaturityBondIndex Class Reference

Constant Maturity Bond Index. More...

#include <qle/indexes/bondindex.hpp>

Inheritance diagram for ConstantMaturityBondIndex:

Public Member Functions
	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)
InterestRateIndex interface
Date	maturityDate (const Date &valueDate) const override
Fixing calculations
Rate	forecastFixing (const Date &fixingDate) const override

Inspectors
BusinessDayConvention	convention () const
bool	endOfMonth () const
const ext::shared_ptr< Bond > &	bond () const

Detailed Description

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