EurLiborSwapIsdaFixB Class Reference

EurLiborSwapIsdaFixB index base class More...

#include <ql/indexes/swap/eurliborswap.hpp>

Inheritance diagram for EurLiborSwapIsdaFixB:

List of all members.

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.