QuantLib_UsdLiborSwapIsdaFixAm (3) - Linux Man Pages

QuantLib_UsdLiborSwapIsdaFixAm: UsdLiborSwapIsdaFixAm index base class

NAME

QuantLib::UsdLiborSwapIsdaFixAm - UsdLiborSwapIsdaFixAm index base class

SYNOPSIS


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

Inherits QuantLib::SwapIndex.

Public Member Functions


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

Detailed Description

UsdLiborSwapIsdaFixAm index base class

USD Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am New York. Semiannual 30/360 vs 3M Libor. Reuters page ISDAFIX1 or USDSFIX=.

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

Author

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