GbpLiborSwapIsdaFix Class Reference

GbpLiborSwapIsdaFix index base class More...

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

Inheritance diagram for GbpLiborSwapIsdaFix:

List of all members.

Public Member Functions

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


Detailed Description

GbpLiborSwapIsdaFix index base class

GBP Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Semiannual Actual/365F vs 6M Libor, 1Y Annual vs 3M Libor. Reuters page ISDAFIX4 or GBPSFIX=.

Further info can be found at <http://www.isda.org/fix/isdafix.html> or Reuters page ISDAFIX.