org.jquantlib.indexes

Class GbpLiborSwapIsdaFix

java.lang.Object

org.jquantlib.indexes.Index

org.jquantlib.indexes.InterestRateIndex

org.jquantlib.indexes.SwapIndex

org.jquantlib.indexes.GbpLiborSwapIsdaFix

All Implemented Interfaces:

Observable, Observer

public class GbpLiborSwapIsdaFix
extends SwapIndex

GbpLiborSwapIsdaFix index base class GBP Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Semiannual Actual/365F vs 6M Libor, 1Y Annual vs 3M Libor. Reuters page ISDAFIX4 or GBPSFIX=. Further info can be found at or Reuters page ISDAFIX.

Constructor Summary

Constructors

Constructor and Description
GbpLiborSwapIsdaFix(Period tenor)
GbpLiborSwapIsdaFix(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

GbpLiborSwapIsdaFix

public GbpLiborSwapIsdaFix(Period tenor)

GbpLiborSwapIsdaFix

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