QuantLib: a free/open-source library for quantitative finance
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eurliborswap.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, 2009 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 eurliborswap.hpp
21 \brief %EUR %Libor %Swap indexes
22*/
23
24#ifndef quantlib_eurliborswap_hpp
25#define quantlib_eurliborswap_hpp
26
28
29namespace QuantLib {
30
31 //! %EurLiborSwapIsdaFixA index base class
32 /*! %EUR %Libor %Swap indexes fixed by ISDA in cooperation with
33 Reuters and Intercapital Brokers at 10am London.
34 Annual 30/360 vs 6M Libor, 1Y vs 3M Libor.
35 Reuters page ISDAFIX2 or EURSFIXLA=.
36
37 Further info can be found at <http://www.isda.org/fix/isdafix.html> or
38 Reuters page ISDAFIX.
39
40 */
42 public:
44 const Handle<YieldTermStructure>& h = {});
46 const Handle<YieldTermStructure>& forwarding,
47 const Handle<YieldTermStructure>& discounting);
48 };
49
50 //! %EurLiborSwapIsdaFixB index base class
51 /*! %EUR %Libor %Swap indexes fixed by ISDA in cooperation with
52 Reuters and Intercapital Brokers at 11am London.
53 Annual 30/360 vs 6M Libor, 1Y vs 3M Libor.
54 Reuters page ISDAFIX2 or EURSFIXLB=.
55
56 Further info can be found at <http://www.isda.org/fix/isdafix.html> or
57 Reuters page ISDAFIX.
58
59 */
61 public:
63 const Handle<YieldTermStructure>& h = {});
65 const Handle<YieldTermStructure>& forwarding,
66 const Handle<YieldTermStructure>& discounting);
67 };
68
69
70 //! %EurLiborSwapIfrFix index base class
71 /*! %EUR %Libor %Swap indexes published by IFR Markets and
72 distributed by Reuters page TGM42281 and by Telerate.
73 Annual 30/360 vs 6M Libor, 1Y vs 3M Libor.
74 For more info see <http://www.ifrmarkets.com>.
75
76 */
78 public:
80 const Handle<YieldTermStructure>& h = {});
82 const Handle<YieldTermStructure>& forwarding,
83 const Handle<YieldTermStructure>& discounting);
84 };
85
86}
87
88#endif
EurLiborSwapIfrFix index base class
EurLiborSwapIsdaFixA index base class
EurLiborSwapIsdaFixB index base class
Shared handle to an observable.
Definition: handle.hpp:41
base class for swap-rate indexes
Definition: swapindex.hpp:41
Definition: any.hpp:35
swap-rate indexes