See: Description
| Class | Description |
|---|---|
| AbstractIndex |
Base class for indices.
|
| AccruedInterest |
An accrued interest index.
|
| AnalyticModelForwardCurveIndex |
An index which is given by a name referencing a curve of an analytic model.
|
| AnalyticModelIndex |
An index which is given by a name referencing a curve of an analytic model.
|
| CappedFlooredIndex |
An capped and floored index paying min(max(index(t),floor(t)),cap(t)), where index, floor and cap are indices,
i.e., objects implementing
AbstractIndex. |
| ConstantMaturitySwaprate |
An idealized (single curve) CMS index with given maturity and given period length.
|
| DateIndex |
An index whose value is a function of the fixing date, for example the DAY, MONTH or NUMBER_OF_DAYS_IN_MONTH.
|
| FixedCoupon |
A fixed coupon index paying constant coupon..
|
| ForwardCurveIndex |
A fixed coupon index paying coupon calculated from a forward curve.
|
| LaggedIndex |
A time-lagged index paying index(t+fixingOffset)
|
| LIBORIndex |
A (floating) forward rate index for a given period start offset (offset from fixing) and period length.
|
| LinearCombinationIndex |
A linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)
|
| MaxIndex |
A maximum index.
|
| MinIndex |
A minumum index.
|
| NumerairePerformanceIndex |
A (floating) rate index representing the performance of the numeraire asset for a given period start offset (offset from fixing) and period length.
|
| NumerairePerformanceOnScheduleIndex |
A (floating) rate index representing the performance of the numeraire asset.
|
| PerformanceIndex |
A performance index being numeratorIndex(t) / denominatorIndex(t)
|
| PowIndex |
A power index.
|
| ProductIndex |
A product index being index1(t) * index2(t)
|
| TimeDiscreteEndOfMonthIndex |
An 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.
|
| TriggerIndex |
A trigger index.
|
| UnsupportedIndex |
An index throwing an exception if his
getValue method is called. |
| Enum | Description |
|---|---|
| DateIndex.DateIndexType |
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