org.jquantlib.indexes

Class EurLiborSwapIfrFix

java.lang.Object

org.jquantlib.indexes.Index

org.jquantlib.indexes.InterestRateIndex

org.jquantlib.indexes.SwapIndex

org.jquantlib.indexes.EurLiborSwapIfrFix

All Implemented Interfaces:

Observable, Observer

public class EurLiborSwapIfrFix
extends SwapIndex

EurLiborSwapIfrFix index base class EUR Libor Swap indexes published by IFR Markets and distributed by Reuters page TGM42281 and by Telerate. Annual 30/360 vs 6M Libor, 1Y vs 3M Libor. For more info see

Constructor Summary

Constructors

Constructor and Description
EurLiborSwapIfrFix(Period tenor)
EurLiborSwapIfrFix(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

EurLiborSwapIfrFix

public EurLiborSwapIfrFix(Period tenor)

EurLiborSwapIfrFix

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