org.jquantlib.indexes.ibor

Class USDLibor

java.lang.Object

org.jquantlib.indexes.Index

org.jquantlib.indexes.InterestRateIndex

org.jquantlib.indexes.IborIndex

org.jquantlib.indexes.ibor.Libor

org.jquantlib.indexes.ibor.USDLibor

All Implemented Interfaces:

Observable, Observer

public class USDLibor
extends Libor

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
USDLibor(Period tenor)
USDLibor(Period tenor, Handle<YieldTermStructure> h)

Method Summary

Methods inherited from class org.jquantlib.indexes.ibor.Libor

clone, maturityDate, valueDate

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

USDLibor

public USDLibor(Period tenor)

USDLibor

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