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

Public Member Functions | |
GbpLiborSwapIsdaFix (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) |
Detailed Description
GbpLiborSwapIsdaFix index base classGBP 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.