EurliborSwapFixAvs6M Class Reference
#include <ql/indexes/swap/eurliborswapfixa.hpp>
Inheritance diagram for EurliborSwapFixAvs6M:

Detailed Description
EurliborSwapFixA vs 6M index base classEurliborSwapFixA rate fixed by ISDA in cooperation with Reuters and Intercapital Brokers. The swap index is based on the EuroLibor 6M 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 | |
EurliborSwapFixAvs6M (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) |