- QuantLib
- EURLibor
base class for all BBA EUR LIBOR indexes but the O/N More...
#include <ql/indexes/ibor/eurlibor.hpp>

Public Member Functions | |
| EURLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) | |
Date calculations | |
| Date | valueDate (const Date &fixingDate) const |
| Date | maturityDate (const Date &valueDate) const |
base class for all BBA EUR LIBOR indexes but the O/N
Euro LIBOR fixed by BBA.
See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>.