- QuantLib
- DailyTenorEURLibor
base class for the one day deposit BBA EUR LIBOR indexes More...
#include <ql/indexes/ibor/eurlibor.hpp>
Public Member Functions | |
DailyTenorEURLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) |
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>.