org.jquantlib.indexes.ibor

Class Libor

java.lang.Object

org.jquantlib.indexes.Index

org.jquantlib.indexes.InterestRateIndex

org.jquantlib.indexes.IborIndex

org.jquantlib.indexes.ibor.Libor

All Implemented Interfaces:

Observable, Observer

Direct Known Subclasses:

AUDLibor, CADLibor, CHFLibor, DKKLibor, GBPLibor, JPYLibor, NZDLibor, SEKLibor, USDLibor

public class Libor
extends IborIndex

base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones LIBOR fixed by BBA.

See Also:

http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414

Constructor Summary

Constructors

Constructor and Description
Libor(java.lang.String familyName, Period tenor, int settlementDays, Currency currency, Calendar financialCenterCalendar, DayCounter dayCounter)
Libor(java.lang.String familyName, Period tenor, int settlementDays, Currency currency, Calendar financialCenterCalendar, DayCounter dayCounter, Handle<YieldTermStructure> h)

Method Summary

Modifier and Type	Method and Description
Handle<IborIndex>	clone(Handle<YieldTermStructure> h)
Date	maturityDate(Date valueDate)
Date	valueDate(Date fixingDate) Date calculations

Methods inherited from class org.jquantlib.indexes.IborIndex

businessDayConvention, endOfMonth, termStructure

Methods inherited from class org.jquantlib.indexes.InterestRateIndex

currency, dayCounter, familyName, fixing, fixing, fixingCalendar, fixingDate, fixingDays, isValidFixingDate, name, tenor, update

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

Libor

public Libor(java.lang.String familyName,
             Period tenor,
             int settlementDays,
             Currency currency,
             Calendar financialCenterCalendar,
             DayCounter dayCounter,
             Handle<YieldTermStructure> h)

Libor

public Libor(java.lang.String familyName,
             Period tenor,
             int settlementDays,
             Currency currency,
             Calendar financialCenterCalendar,
             DayCounter dayCounter)

Method Detail

valueDate

public Date valueDate(Date fixingDate)

Date calculations

Overrides:

valueDate in class InterestRateIndex

See Also:

http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412

maturityDate

public Date maturityDate(Date valueDate)

Overrides:

maturityDate in class IborIndex

clone

public Handle<IborIndex> clone(Handle<YieldTermStructure> h)

Overrides:

clone in class IborIndex