org.jquantlib.indexes

Class EurLiborSwapIsdaFixB

java.lang.Object

org.jquantlib.indexes.Index

org.jquantlib.indexes.InterestRateIndex

org.jquantlib.indexes.SwapIndex

org.jquantlib.indexes.EurLiborSwapIsdaFixB

All Implemented Interfaces:

Observable, Observer

public class EurLiborSwapIsdaFixB
extends SwapIndex

EurLiborSwapIsdaFixB index base class EUR Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 10am London. Annual 30/360 vs 6M Libor, 1Y vs 3M Libor. Reuters page ISDAFIX2 or EURSFIXLB=. Further info can be found at or Reuters page ISDAFIX.

Constructor Summary

Constructors

Constructor and Description
EurLiborSwapIsdaFixB(Period tenor)
EurLiborSwapIsdaFixB(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

EurLiborSwapIsdaFixB

public EurLiborSwapIsdaFixB(Period tenor)

EurLiborSwapIsdaFixB

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