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

Public Member Functions | |
JpyLiborSwapIsdaFixAm (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) | |
JpyLiborSwapIsdaFixAm (const Period &tenor, const Handle< YieldTermStructure > &forwarding, const Handle< YieldTermStructure > &discounting) |
Detailed Description
JpyLiborSwapIsdaFixAm index base class
JPY Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 10am Tokyo. Semiannual Act/365 vs 6M Libor. Reuters page ISDAFIX1 or JPYSFIXA=.
Further info can be found at <http://www.isda.org/fix/isdafix.html> or Reuters page ISDAFIX.