- QuantLib
- DailyTenorLibor
base class for all O/N-S/N BBA LIBOR indexes but the EUR ones More...
#include <ql/indexes/ibor/libor.hpp>
Public Member Functions | |
DailyTenorLibor (const std::string &familyName, Natural settlementDays, const Currency ¤cy, const Calendar &financialCenterCalendar, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) |
base class for all O/N-S/N BBA LIBOR indexes but the EUR ones
One day deposit LIBOR fixed by BBA.
See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>.