EurliborSwapFixA Class Reference
#include <ql/indexes/swap/eurliborswapfixa.hpp>
Inheritance diagram for EurliborSwapFixA:

Detailed Description
EurliborSwapFixA index base classEurliborSwapFixA indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 10:00 AM London. Reuters page ISDAFIX2 or EURSFIXLA=. Further info can be found at: <http://www.isda.org/fix/isdafix.html>.
- Warning:
- The 1Y swap's floating leg is based on Euribor3M; the floating legs of longer swaps are based on Euribor6M
Public Member Functions | |
EurliborSwapFixA (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) |