QuantLib_EURLibor (3) Linux Manual Page

QuantLib::EURLibor – base class for all BBA EUR LIBOR indexes but the O/N

Synopsis

#include <ql/indexes/ibor/eurlibor.hpp>

Inherits QuantLib::IborIndex.

Inherited by EURLibor10M, EURLibor11M, EURLibor1M, EURLibor1Y, EURLibor2M, EURLibor2W, EURLibor3M, EURLibor4M, EURLibor5M, EURLibor6M, EURLibor7M, EURLibor8M, EURLibor9M, and EURLiborSW.

Public Member Functions

EURLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())

Date calculations
see http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412

Date valueDate (const Date &fixingDate) const

Date maturityDate (const Date &valueDate) const

Detailed Description

base class for all BBA EUR LIBOR indexes but the O/N

Euro LIBOR fixed by BBA.

See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>.

Warning

This is the rate fixed in London by BBA. Use Euribor if you’re interested in the fixing by the ECB.

Author

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