Libor Class Reference
base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones More...
#include <ql/indexes/ibor/libor.hpp>
Inheritance diagram for Libor:

Public Member Functions | |
Libor (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &financialCenterCalendar, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) | |
Date calculations | |
Date | valueDate (const Date &fixingDate) const |
Date | maturityDate (const Date &valueDate) const |
Other methods | |
boost::shared_ptr< IborIndex > | clone (const Handle< YieldTermStructure > &h) const |
returns a copy of itself linked to a different forwarding curve |
Detailed Description
base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones
LIBOR fixed by BBA.
See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>.