Libor Class Reference

#include <ql/indexes/ibor/libor.hpp>

Inheritance diagram for Libor:

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List of all members.

Detailed Description

base class for all BBA LIBOR indexes but the EUR ones

LIBOR fixed by BBA.

See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>.

Warning:
This is not a valid base class for the O/N, S/N index


Public Member Functions

 Libor (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &financialCenterCalendar, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h)
Date calculations
Date valueDate (const Date &fixingDate) const
Date maturityDate (const Date &valueDate) const