org.jquantlib.indexes

Class EURLibor

java.lang.Object

org.jquantlib.indexes.Index

org.jquantlib.indexes.InterestRateIndex

org.jquantlib.indexes.IborIndex

org.jquantlib.indexes.EURLibor

All Implemented Interfaces:

Observable, Observer

Direct Known Subclasses:

EURLibor10M, EURLibor11M, EURLibor1M, EURLibor1Y, EURLibor2M, EURLibor2W, EURLibor3M, EURLibor4M, EURLibor5M, EURLibor6M, EURLibor7M, EURLibor8M, EURLibor9M, EURLiborSW

public class EURLibor
extends IborIndex

EurLibor index

EurLibor rate fixed in London fixing by BBA.

Constructor Summary

Constructors

Constructor and Description
EURLibor(Period tenor) JoinBusinessDays is the fixing calendar for all indexes but o/n
EURLibor(Period tenor, Handle<YieldTermStructure> h)

Method Summary

Modifier and Type	Method and Description
Date	maturityDate(Date valueDate)
Date	valueDate(Date fixingDate) Date calculations

Methods inherited from class org.jquantlib.indexes.IborIndex

businessDayConvention, clone, endOfMonth, termStructure

Methods inherited from class org.jquantlib.indexes.InterestRateIndex

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

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

EURLibor

public EURLibor(Period tenor)

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

EURLibor

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

Method Detail

valueDate

public Date valueDate(Date fixingDate)

Date calculations

Overrides:

valueDate in class InterestRateIndex

See Also:

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

maturityDate

public Date maturityDate(Date valueDate)

Overrides:

maturityDate in class IborIndex