DailyTenorEuribor365 (3) Linux Manual Page

QuantLib::DailyTenorEuribor365 – Daily tenor Actual/365 Euribor index.

Synopsis

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

Inherits QuantLib::IborIndex.

Public Member Functions

DailyTenorEuribor365 (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())

Detailed Description

Daily tenor Actual/365 Euribor index.

Euribor rate adjusted for the mismatch between the actual/360 convention used for Euribor and the actual/365 convention previously used by a few pre-EUR currencies.

Author

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