DailyTenorEURLibor (3) Linux Manual Page
QuantLib::DailyTenorEURLibor – base class for the one day deposit BBA EUR LIBOR indexes
Synopsis
#include <ql/indexes/ibor/eurlibor.hpp>
Inherits QuantLib::IborIndex.
Inherited by EURLiborON.
Public Member Functions
DailyTenorEURLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())
Detailed Description
base class for the one day deposit BBA EUR LIBOR indexes
Euro O/N LIBOR fixed by BBA. It can be also used for T/N and S/N indexes, even if such indexes do not have BBA fixing.
See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>.
Warning
- This is the rate fixed in London by BBA. Use
Euriborif you’re interested in the fixing by the ECB.
Author
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