C# Class QLNet.Libor

Base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones LIBOR fixed by BBA.
See .
Inheritance: IborIndex
Show file Open project: ammachado/QLNet

Public Methods

Method Description
Libor ( string familyName, Period tenor, int settlementDays, Currency currency, QLNet.Calendar financialCenterCalendar, DayCounter dayCounter, Handle h ) : System

http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 : UnitedKingdom::Exchange is the fixing calendar for a) all currencies but EUR b) all indexes but o/n and s/n

clone ( Handle h ) : IborIndex
maturityDate ( Date valueDate ) : Date
valueDate ( Date fixingDate ) : Date

Method Details

Libor() public method

http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 : UnitedKingdom::Exchange is the fixing calendar for a) all currencies but EUR b) all indexes but o/n and s/n
public Libor ( string familyName, Period tenor, int settlementDays, Currency currency, QLNet.Calendar financialCenterCalendar, DayCounter dayCounter, Handle h ) : System
familyName string
tenor Period
settlementDays int
currency Currency
financialCenterCalendar QLNet.Calendar
dayCounter DayCounter
h Handle
return System

clone() public method

public clone ( Handle h ) : IborIndex
h Handle
return IborIndex

maturityDate() public method

public maturityDate ( Date valueDate ) : Date
valueDate Date
return Date

valueDate() public method

public valueDate ( Date fixingDate ) : Date
fixingDate Date
return Date