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QuantLib_EurLiborSwapIsdaFixB
Langue: en
Version: 377629 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
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 >())
EurLiborSwapIsdaFixB (const Period &tenor, const Handle< YieldTermStructure > &forwarding, const Handle< YieldTermStructure > &discounting)
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
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