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

Detailed Description
EurliborSwapFixB index base classEurliborSwapFixB indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11:00AM London. Reuters page ISDAFIX2 or EURSFIXLB=. 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 | |
EurliborSwapFixB (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) |