DailyTenorEURLibor (3) - Linux Manuals

DailyTenorEURLibor: base class for the one day deposit BBA EUR LIBOR indexes

NAME

QuantLib::DailyTenorEURLibor - base class for the one day deposit BBA EUR LIBOR indexes

SYNOPSIS

#include <ql/indexes/ibor/eurlibor.hpp>

Inherits QuantLib::IborIndex.

Inherited by EURLiborON.

Public Member Functions

DailyTenorEURLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())

Detailed Description

base class for the one day deposit BBA EUR LIBOR indexes

Euro O/N LIBOR fixed by BBA. It can be also used for T/N and S/N indexes, even if such indexes do not have BBA fixing.

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

Generated automatically by Doxygen for QuantLib from the source code.