valueDate (3) - Linux Manuals

valueDate: base class for all BBA EUR LIBOR indexes but the O/N

NAME

QuantLib::EURLibor - base class for all BBA EUR LIBOR indexes but the O/N

SYNOPSIS

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

Inherits QuantLib::IborIndex.

Inherited by EURLibor10M, EURLibor11M, EURLibor1M, EURLibor1Y, EURLibor2M, EURLibor2W, EURLibor3M, EURLibor4M, EURLibor5M, EURLibor6M, EURLibor7M, EURLibor8M, EURLibor9M, and EURLiborSW.

Public Member Functions

EURLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())

Date calculations
see http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412

Date valueDate (const Date &fixingDate) const

Date maturityDate (const Date &valueDate) const

Detailed Description

base class for all BBA EUR LIBOR indexes but the O/N

Euro LIBOR fixed by BBA.

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.