org.jquantlib.indexes

Class JpyLiborSwapIsdaFixPm

java.lang.Object

org.jquantlib.indexes.Index

org.jquantlib.indexes.InterestRateIndex

org.jquantlib.indexes.SwapIndex

org.jquantlib.indexes.JpyLiborSwapIsdaFixPm

All Implemented Interfaces:

Observable, Observer

public class JpyLiborSwapIsdaFixPm
extends SwapIndex

JpyLiborSwapIsdaFixPm index base class JPY Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 3pm Tokyo. Semiannual Act/365 vs 6M Libor. Reuters page ISDAFIX1 or JPYSFIXA= Further info can be found at or Reuters page ISDAFIX.

Constructor Summary

Constructors

Constructor and Description
JpyLiborSwapIsdaFixPm(Period tenor)
JpyLiborSwapIsdaFixPm(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

JpyLiborSwapIsdaFixPm

public JpyLiborSwapIsdaFixPm(Period tenor)

JpyLiborSwapIsdaFixPm

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