org.jquantlib.indexes

Class UsdLiborSwapIsdaFixAm

java.lang.Object

org.jquantlib.indexes.Index

org.jquantlib.indexes.InterestRateIndex

org.jquantlib.indexes.SwapIndex

org.jquantlib.indexes.UsdLiborSwapIsdaFixAm

All Implemented Interfaces:

Observable, Observer

public class UsdLiborSwapIsdaFixAm
extends SwapIndex

UsdLiborSwapIsdaFixAm index base class USD Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am New York. Semiannual 30/360 vs 3M Libor Reuters page ISDAFIX1 or USDSFIX=. Further info can be found at or Reuters page ISDAFIX.

Constructor Summary

Constructors

Constructor and Description
UsdLiborSwapIsdaFixAm(Period tenor)
UsdLiborSwapIsdaFixAm(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

UsdLiborSwapIsdaFixAm

public UsdLiborSwapIsdaFixAm(Period tenor)

UsdLiborSwapIsdaFixAm

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