EurliborSwapFixAvs3M Class Reference

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

Inheritance diagram for EurliborSwapFixAvs3M:

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Detailed Description

EurliborSwapFixA vs 3M index base class

EurliborSwapFixA rate fixed by ISDA in cooperation with Reuters and Intercapital Brokers. The swap index is based on the EuroLibor 3M and is fixed at 10:00 AM London. Reuters page ISDAFIX2 or EURSFIXLA=. Further info can be found at: <http://www.isda.org/fix/isdafix.html>.


Public Member Functions

 EurliborSwapFixAvs3M (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())