QuantLib_GbpLiborSwapIsdaFix (3) - Linux Man Pages

QuantLib_GbpLiborSwapIsdaFix: GbpLiborSwapIsdaFix index base class


QuantLib::GbpLiborSwapIsdaFix - GbpLiborSwapIsdaFix index base class


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

Inherits QuantLib::SwapIndex.

Public Member Functions

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

Detailed Description

GbpLiborSwapIsdaFix index base class

GBP Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Semiannual Actual/365F vs 6M Libor, 1Y Annual vs 3M Libor. Reuters page ISDAFIX4 or GBPSFIX=.

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


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