EurliborSwapFixBvs6M Class Reference
#include <ql/indexes/swap/eurliborswapfixb.hpp>
Inheritance diagram for EurliborSwapFixBvs6M:

Detailed Description
EurliborSwapFixB vs 6M index base classEurliborSwapFixB rate fixed by ISDA in cooperation with Reuters and Intercapital Brokers. The swap index is based on the EuroLibor 6M and is fixed at 11:00AM London. Reuters page ISDAFIX2 or EURSFIXLB= Further info can be found at: <http://www.isda.org/fix/isdafix.html>.
Public Member Functions | |
EurliborSwapFixBvs6M (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) |