Provides a set of indices which can be used as part of a period.
- Christian Fries
- See Also:
Class Summary Class Description AbstractIndexBase class for indices. AccruedInterestAn accrued interest index. AnalyticModelForwardCurveIndexAn index which is given by a name referencing a curve of an analytic model. AnalyticModelIndexAn index which is given by a name referencing a curve of an analytic model. CappedFlooredIndexAn capped and floored index paying min(max(index(t),floor(t)),cap(t)), where index, floor and cap are indices, i.e., objects implementing
ConstantMaturitySwaprateAn idealized (single curve) CMS index with given maturity and given period length. DateIndexAn index whose value is a function of the fixing date, for example the DAY, MONTH or NUMBER_OF_DAYS_IN_MONTH. FixedCouponA fixed coupon index paying constant coupon.. ForwardCurveIndexA fixed coupon index paying coupon calculated from a forward curve. LaggedIndexA time-lagged index paying index(t+fixingOffset) LIBORIndexA (floating) forward rate index for a given period start offset (offset from fixing) and period length. LinearCombinationIndexA linear combination index paying scaling1 * index1(t) + scaling2 * index2(t) MaxIndexA maximum index. MinIndexA minumum index. NumerairePerformanceIndexA (floating) rate index representing the performance of the numeraire asset for a given period start offset (offset from fixing) and period length. NumerairePerformanceOnScheduleIndexA (floating) rate index representing the performance of the numeraire asset. PerformanceIndexA performance index being numeratorIndex(t) / denominatorIndex(t) PowIndexA power index. ProductIndexA product index being index1(t) * index2(t) TimeDiscreteEndOfMonthIndexAn index which maps is evaluation point to a fixed discrete point, the end of the month, then takes the value of a given base index at this point. TriggerIndexA trigger index. UnsupportedIndexAn index throwing an exception if his
getValuemethod is called.
Enum Summary Enum Description DateIndex.DateIndexType