ChfLiborSwapIsdaFix Class Reference
ChfLiborSwapIsdaFix index base class More...
#include <ql/indexes/swap/chfliborswap.hpp>
Inheritance diagram for ChfLiborSwapIsdaFix:

Public Member Functions | |
ChfLiborSwapIsdaFix (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) | |
ChfLiborSwapIsdaFix (const Period &tenor, const Handle< YieldTermStructure > &forwarding, const Handle< YieldTermStructure > &discounting) |
Detailed Description
ChfLiborSwapIsdaFix index base class
CHF 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 ISDAFIX4 or CHFSFIX=.
Further info can be found at <http://www.isda.org/fix/isdafix.html> or Reuters page ISDAFIX.