QuantLib: a free/open-source library for quantitative finance
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usdliborswap.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008, 2011 Ferdinando Ametrano
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file usdliborswap.hpp
21 \brief %USD %Libor %Swap indexes
22*/
23
24#ifndef quantlib_usdliborswap_hpp
25#define quantlib_usdliborswap_hpp
26
28
29namespace QuantLib {
30
31 //! %UsdLiborSwapIsdaFixAm index base class
32 /*! %USD %Libor %Swap indexes fixed by ISDA in cooperation with
33 Reuters and Intercapital Brokers at 11am New York.
34 Semiannual 30/360 vs 3M Libor. Reuters page ISDAFIX1 or USDSFIX=.
35
36 Further info can be found at <http://www.isda.org/fix/isdafix.html> or
37 Reuters page ISDAFIX.
38
39 */
41 public:
43 const Handle<YieldTermStructure>& h = {});
45 const Handle<YieldTermStructure>& forwarding,
46 const Handle<YieldTermStructure>& discounting);
47 };
48
49 //! %UsdLiborSwapIsdaFixPm index base class
50 /*! %USD %Libor %Swap indexes fixed by ISDA in cooperation with
51 Reuters and Intercapital Brokers at 3pm New York.
52 Semiannual 30/360 vs 3M Libor. Reuters page ISDAFIX1 or USDSFIXP=.
53
54 Further info can be found at <http://www.isda.org/fix/isdafix.html> or
55 Reuters page ISDAFIX.
56
57 */
59 public:
61 const Handle<YieldTermStructure>& h = {});
63 const Handle<YieldTermStructure>& forwarding,
64 const Handle<YieldTermStructure>& discounting);
65 };
66
67}
68
69#endif
Shared handle to an observable.
Definition: handle.hpp:41
base class for swap-rate indexes
Definition: swapindex.hpp:41
UsdLiborSwapIsdaFixAm index base class
UsdLiborSwapIsdaFixPm index base class
Definition: any.hpp:35
swap-rate indexes