EuriborSwapFixBvs3M Class Reference

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

Inheritance diagram for EuriborSwapFixBvs3M:

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Detailed Description

EuriborSwapFixB vs 3M index base class

EuriborSwapFixB rate fixed by ISDA. The swap index is based on the Euribor 3M and is fixed at 12:00AM FRANKFURT. Reuters page ISDAFIX2 or EURSFIXA=.


Public Member Functions

 EuriborSwapFixBvs3M (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())