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QuantLib_EURLibor
Langue: en
Version: 373300 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::EURLibor -base class for all BBA EUR LIBOR indexes but the O/N
SYNOPSIS
#include <ql/indexes/ibor/eurlibor.hpp>
Inherits QuantLib::IborIndex.
Inherited by EURLibor10M, EURLibor11M, EURLibor1M, EURLibor1Y, EURLibor2M, EURLibor2W, EURLibor3M, EURLibor4M, EURLibor5M, EURLibor6M, EURLibor7M, EURLibor8M, EURLibor9M, and EURLiborSW.
Public Member Functions
EURLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())
Date calculations
see http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412
Date valueDate (const Date &fixingDate) const
Date maturityDate (const Date &valueDate) const
Detailed Description
base class for all BBA EUR LIBOR indexes but the O/N
Euro LIBOR fixed by BBA.
See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>.
Warning
- This is the rate fixed in London by BBA. Use Euribor if you're interested in the fixing by the ECB.
Author
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Contenus ©2006-2024 Benjamin Poulain
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