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QuantLib_UsdLiborSwapIsdaFixPm
Langue: en
Version: 378260 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::UsdLiborSwapIsdaFixPm -UsdLiborSwapIsdaFixPm index base class
SYNOPSIS
#include <ql/indexes/swap/usdliborswap.hpp>
Inherits QuantLib::SwapIndex.
Public Member Functions
UsdLiborSwapIsdaFixPm (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())
Detailed Description
UsdLiborSwapIsdaFixPm index base class
USD Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 3pm New York. Semiannual 30/360 vs 3M Libor. Reuters page ISDAFIX1 or USDSFIXP=.
Further info can be found at <http://www.isda.org/fix/isdafix.html> or Reuters page ISDAFIX.
Author
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