QuantLib_EurLiborSwapIsdaFixA (3) Linux Manual Page

QuantLib::EurLiborSwapIsdaFixA – EurLiborSwapIsdaFixA index base class

Synopsis

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

Inherits QuantLib::SwapIndex.

Public Member Functions

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

Detailed Description

EurLiborSwapIsdaFixA index base class

EUR Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 10am London. Annual 30/360 vs 6M Libor, 1Y vs 3M Libor. Reuters page ISDAFIX2 or EURSFIXLA=.

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

Author

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