QuantLib_Libor (3) - Linux Manuals

QuantLib_Libor: base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones

NAME

QuantLib::Libor - base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones

SYNOPSIS

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

Inherits QuantLib::IborIndex.

Inherited by AUDLibor, CADLibor, CHFLibor, DKKLibor, GBPLibor, JPYLibor, NZDLibor, SEKLibor, and USDLibor.

Public Member Functions

Libor (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &financialCenterCalendar, const DayCounter &dayCounter, 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

Other methods

boost::shared_ptr< IborIndex > clone (const Handle< YieldTermStructure > &h) const
returns a copy of itself linked to a different forecast curve

Detailed Description

base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones

LIBOR fixed by BBA.

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

Author

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