- QuantLib
- EurLiborSwapIsdaFixB
EurLiborSwapIsdaFixB index base class More...
#include <ql/indexes/swap/eurliborswap.hpp>
Public Member Functions | |
EurLiborSwapIsdaFixB (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) | |
EurLiborSwapIsdaFixB (const Period &tenor, const Handle< YieldTermStructure > &forwarding, const Handle< YieldTermStructure > &discounting) |
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.