QuantLib_DailyTenorEURLibor (3) - Linux Manuals

QuantLib_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

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