JpyLiborSwapIsdaFixPm Class Reference

JpyLiborSwapIsdaFixPm index base class More...

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

Inheritance diagram for JpyLiborSwapIsdaFixPm:

List of all members.

Public Member Functions

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


Detailed Description

JpyLiborSwapIsdaFixPm index base class

JPY 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.