Libor Class Reference

#include <ql/Indexes/libor.hpp>

Inheritance diagram for Libor:

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List of all members.

Detailed Description

base class for BBA LIBOR indexes


Public Member Functions

 Libor (const std::string &familyName, Integer n, TimeUnit units, Integer settlementDays, const Currency &currency, const Calendar &localCalendar, const Calendar &currencyCalendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h)
 Libor (const std::string &familyName, const Period &tenor, Integer settlementDays, const Currency &currency, const Calendar &localCalendar, const Calendar &currencyCalendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h)
Date calculations
Date valueDate (const Date &fixingDate) const
Date maturityDate (const Date &valueDate) const