org.jquantlib.indexes

Class UsdLiborSwapIsdaFixPm

java.lang.Object

org.jquantlib.indexes.Index

org.jquantlib.indexes.InterestRateIndex

org.jquantlib.indexes.SwapIndex

org.jquantlib.indexes.UsdLiborSwapIsdaFixPm

All Implemented Interfaces:

Observable, Observer

public class UsdLiborSwapIsdaFixPm
extends SwapIndex

UsdLiborSwapIsdaFixPm index base class USD Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 3pm 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
UsdLiborSwapIsdaFixPm(Period tenor)
UsdLiborSwapIsdaFixPm(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

UsdLiborSwapIsdaFixPm

public UsdLiborSwapIsdaFixPm(Period tenor)

UsdLiborSwapIsdaFixPm

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