org.jquantlib.indexes

Class ChfLiborSwapIsdaFix

java.lang.Object

org.jquantlib.indexes.Index

org.jquantlib.indexes.InterestRateIndex

org.jquantlib.indexes.SwapIndex

org.jquantlib.indexes.ChfLiborSwapIsdaFix

All Implemented Interfaces:

Observable, Observer

public class ChfLiborSwapIsdaFix
extends SwapIndex

ChfLiborSwapIsdaFix index base class CHF 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 ISDAFIX4 or CHFSFIX=. Further info can be found at or Reuters page ISDAFIX.

Constructor Summary

Constructors

Constructor and Description
ChfLiborSwapIsdaFix(Period tenor)
ChfLiborSwapIsdaFix(Period tenor, Handle<YieldTermStructure> h)

Method Summary

Methods inherited from class org.jquantlib.indexes.SwapIndex

fixedLegConvention, fixedLegTenor, iborIndex, maturityDate, termStructure, underlyingSwap

Methods inherited from class org.jquantlib.indexes.InterestRateIndex

currency, dayCounter, familyName, fixing, fixing, fixingCalendar, fixingDate, fixingDays, isValidFixingDate, name, tenor, update, valueDate

Methods inherited from class org.jquantlib.indexes.Index

addFixing, addFixing, addFixings, addObserver, clearFixings, countObservers, deleteObserver, deleteObservers, getObservers, notifyObservers, notifyObservers, timeSeries

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

ChfLiborSwapIsdaFix

public ChfLiborSwapIsdaFix(Period tenor)

ChfLiborSwapIsdaFix

public ChfLiborSwapIsdaFix(Period tenor,
                           Handle<YieldTermStructure> h)