DKKCibor Class Reference

DKK-CIBOR index. More...

#include <qle/indexes/ibor/dkkcibor.hpp>

Inheritance diagram for DKKCibor:

Collaboration diagram for DKKCibor:

Public Member Functions
	DKKCibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())

Detailed Description

DKK-CIBOR index.

DKK-CIBOR rate overseen by Danish Bankers Association.

See http://www.finansraadet.dk/Pages/forside.aspx.

Remarks

Using Denmark calendar, should be Copenhagen. There is another index, DKK-CIBOR2, that has a spot lag of 2D.

Warning:

Check roll convention and EOM.

    \ingroup indexes

Definition at line 47 of file dkkcibor.hpp.

Constructor & Destructor Documentation

DKKCibor()

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

Definition at line 49 of file dkkcibor.hpp.

        : IborIndex("DKK-CIBOR", tenor, 2, DKKCurrency(), Denmark(), ModifiedFollowing, false, Actual360(), h) {}