org.jquantlib.indexes

Class EuriborSwapIsdaFixB

java.lang.Object

org.jquantlib.indexes.Index

org.jquantlib.indexes.InterestRateIndex

org.jquantlib.indexes.SwapIndex

org.jquantlib.indexes.EuriborSwapIsdaFixB

All Implemented Interfaces:

Observable, Observer

public class EuriborSwapIsdaFixB
extends SwapIndex

EuriborSwapIfrFixB index base class Euribor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am Frankfurt. Annual 30/360 vs 6M Euribor, 1Y vs 3M Euribor. Reuters page ISDAFIX2 or EURSFIXB=. Further info can be found at or Reuters page ISDAFIX.

Constructor Summary

Constructors

Constructor and Description
EuriborSwapIsdaFixB(Period tenor)
EuriborSwapIsdaFixB(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

EuriborSwapIsdaFixB

public EuriborSwapIsdaFixB(Period tenor)

EuriborSwapIsdaFixB

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