org.jquantlib.indexes

Class DailyTenorEURLibor

java.lang.Object

org.jquantlib.indexes.Index

org.jquantlib.indexes.InterestRateIndex

org.jquantlib.indexes.IborIndex

org.jquantlib.indexes.DailyTenorEURLibor

All Implemented Interfaces:

Observable, Observer

Direct Known Subclasses:

DailyTenorEURLiborON

public class DailyTenorEURLibor
extends IborIndex

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.

Constructor Summary

Constructors

Constructor and Description
DailyTenorEURLibor(int settlementDays) JoinBusinessDays is the fixing calendar for all indexes but o/n
DailyTenorEURLibor(int settlementDays, Handle<YieldTermStructure> h)

Method Summary

Methods inherited from class org.jquantlib.indexes.IborIndex

businessDayConvention, clone, endOfMonth, maturityDate, termStructure

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

DailyTenorEURLibor

public DailyTenorEURLibor(int settlementDays)

JoinBusinessDays is the fixing calendar for all indexes but o/n

See Also:

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

DailyTenorEURLibor

public DailyTenorEURLibor(int settlementDays,
                          Handle<YieldTermStructure> h)