JpyLiborSwapIsdaFixPm Class Reference
JpyLiborSwapIsdaFixPm index base class More...
#include <ql/indexes/swap/jpyliborswap.hpp>
Inheritance diagram for JpyLiborSwapIsdaFixPm:

Public Member Functions | |
JpyLiborSwapIsdaFixPm (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) |
Detailed Description
JpyLiborSwapIsdaFixPm index base classJPY Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 3pm Tokyo. Semiannual Act/365 vs 6M Libor. Reuters page ISDAFIX1 or JPYSFIXP=.
Further info can be found at <http://www.isda.org/fix/isdafix.html> or Reuters page ISDAFIX.