- QuantLib
- UsdLiborSwapIsdaFixAm
UsdLiborSwapIsdaFixAm index base class More...
#include <ql/indexes/swap/usdliborswap.hpp>
Public Member Functions | |
UsdLiborSwapIsdaFixAm (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) | |
UsdLiborSwapIsdaFixAm (const Period &tenor, const Handle< YieldTermStructure > &forwarding, const Handle< YieldTermStructure > &discounting) |
UsdLiborSwapIsdaFixAm index base class
USD Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am New York. Semiannual 30/360 vs 3M Libor. Reuters page ISDAFIX1 or USDSFIX=.
Further info can be found at <http://www.isda.org/fix/isdafix.html> or Reuters page ISDAFIX.