EurliborSwapFixB Class Reference

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

Inheritance diagram for EurliborSwapFixB:

List of all members.


Detailed Description

EurliborSwapFixB index base class

EurliborSwapFixB 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 >())