EURLibor Class Reference

base class for all BBA EUR LIBOR indexes but the O/N More...

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

Inheritance diagram for EURLibor:

List of all members.

Public Member Functions

 EURLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())
Date calculations
Date valueDate (const Date &fixingDate) const
Date maturityDate (const Date &valueDate) const


Detailed Description

base class for all BBA EUR LIBOR indexes but the O/N

Euro LIBOR fixed by BBA.

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

Warning:
This is the rate fixed in London by BBA. Use Euribor if you're interested in the fixing by the ECB.