QuantLib_EurLiborSwapIsdaFixB (3) Linux Manual Page

QuantLib::EurLiborSwapIsdaFixB – EurLiborSwapIsdaFixB index base class

Synopsis

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

Inherits QuantLib::SwapIndex.

Public Member Functions

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

Detailed Description

EurLiborSwapIsdaFixB index base class

EUR Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Annual 30/360 vs 6M Libor, 1Y vs 3M Libor. Reuters page ISDAFIX2 or EURSFIXLB=.

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

Author

Generated automatically by Doxygen for QuantLib from the source code.