QuantLib_EuriborSwapIsdaFixB (3) - Linux Manuals

QuantLib_EuriborSwapIsdaFixB: EuriborSwapIsdaFixB index base class


QuantLib::EuriborSwapIsdaFixB - EuriborSwapIsdaFixB index base class


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

Inherits QuantLib::SwapIndex.

Public Member Functions

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

Detailed Description

EuriborSwapIsdaFixB index base class

Euribor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 12am Frankfurt. Annual 30/360 vs 6M Euribor, 1Y vs 3M Euribor. Reuters page ISDAFIX2 or EURSFIXB=.

Further info can be found at <http://www.isda.org/fix/isdafix.html> or Reuters page ISDAFIX.


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