QuantLib::JpyLiborSwapIsdaFixAm - JpyLiborSwapIsdaFixAm index base class


#include <ql/indexes/swap/jpyliborswap.hpp>

Inherits QuantLib::SwapIndex.

Public Member Functions

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

Detailed Description

JpyLiborSwapIsdaFixAm index base class

JPY Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 10am Tokyo. Semiannual Act/365 vs 6M Libor. Reuters page ISDAFIX1 or JPYSFIXA=.

Further info can be found at <> or Reuters page ISDAFIX.


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