EuriborSwapFixB Class Reference

#include <ql/indexes/swap/euriborswapfixb.hpp>

Inheritance diagram for EuriborSwapFixB:

List of all members.


Detailed Description

EuriborSwapFix index base class

EuriborSwapFixB indexes fixed by ISDA at 12:00AM FRANKFURT. Reuters page ISDAFIX2 or EURSFIXB=.

Warning:
The 1Y swap's floating leg is based on Euribor3M; the floating legs of longer swaps are based on Euribor6M

Public Member Functions

 EuriborSwapFixB (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())