EurliborSwapFixA Class Reference

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

Inheritance diagram for EurliborSwapFixA:

List of all members.


Detailed Description

EurliborSwapFixA index base class

EurliborSwapFixA indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 10:00 AM London. Reuters page ISDAFIX2 or EURSFIXLA=. Further info can be found at: <http://www.isda.org/fix/isdafix.html>.

Warning:
The 1Y swap's floating leg is based on Euribor3M; the floating legs of longer swaps are based on Euribor6M

Public Member Functions

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