1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>Libor Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="185" height="50" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 1.2</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.7.6.1 -->
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_libor.html">Libor</a> </li>
</ul>
</div>
</div>
<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> </div>
<div class="headertitle">
<div class="title">Libor Class Reference</div> </div>
</div><!--header-->
<div class="contents">
<!-- doxytag: class="QuantLib::Libor" --><!-- doxytag: inherits="QuantLib::IborIndex" -->
<p>base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones
<a href="class_quant_lib_1_1_libor.html#details">More...</a></p>
<p><code>#include <ql/indexes/ibor/libor.hpp></code></p>
<div class="dynheader">
Inheritance diagram for Libor:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_libor__inherit__graph.png" border="0" usemap="#_libor_inherit__map" alt="Inheritance graph"/></div>
<map name="_libor_inherit__map" id="_libor_inherit__map">
<area shape="rect" id="node5" href="class_quant_lib_1_1_a_u_d_libor.html" title="AUD LIBOR rate" alt="" coords="5,166,83,197"/><area shape="rect" id="node7" href="class_quant_lib_1_1_c_a_d_libor.html" title="CAD LIBOR rate" alt="" coords="107,166,181,197"/><area shape="rect" id="node9" href="class_quant_lib_1_1_c_h_f_libor.html" title="CHF LIBOR rate" alt="" coords="205,166,280,197"/><area shape="rect" id="node11" href="class_quant_lib_1_1_d_k_k_libor.html" title="DKK LIBOR rate" alt="" coords="304,166,381,197"/><area shape="rect" id="node13" href="class_quant_lib_1_1_g_b_p_libor.html" title="GBP LIBOR rate" alt="" coords="405,166,483,197"/><area shape="rect" id="node15" href="class_quant_lib_1_1_j_p_y_libor.html" title="JPY LIBOR rate" alt="" coords="507,166,581,197"/><area shape="rect" id="node17" href="class_quant_lib_1_1_n_z_d_libor.html" title="NZD LIBOR rate" alt="" coords="605,166,680,197"/><area shape="rect" id="node19" href="class_quant_lib_1_1_s_e_k_libor.html" title="SEK LIBOR rate" alt="" coords="704,166,781,197"/><area shape="rect" id="node21" href="class_quant_lib_1_1_u_s_d_libor.html" title="USD LIBOR rate" alt="" coords="805,166,883,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_ibor_index.html" title="base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)" alt="" coords="407,6,481,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_libor-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a31d1278ed064aaf773b5e8dfc4fd5c64"></a><!-- doxytag: member="QuantLib::Libor::Libor" ref="a31d1278ed064aaf773b5e8dfc4fd5c64" args="(const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &financialCenterCalendar, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())" -->
 </td><td class="memItemRight" valign="bottom"><b>Libor</b> (const std::string &familyName, const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &tenor, <a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> settlementDays, const <a class="el" href="class_quant_lib_1_1_currency.html">Currency</a> &currency, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &financialCenterCalendar, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &h=<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> >())</td></tr>
<tr><td colspan="2"><div class="groupHeader">Date calculations</div></td></tr>
<tr><td colspan="2"><div class="groupText"><p>see <a href="http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412">http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412</a> </p>
</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a01fafdb3585a34706678b12af90b1cf9"></a><!-- doxytag: member="QuantLib::Libor::valueDate" ref="a01fafdb3585a34706678b12af90b1cf9" args="(const Date &fixingDate) const " -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>valueDate</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &fixingDate) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a615a330e425e4b9abceba4a56fc2664f"></a><!-- doxytag: member="QuantLib::Libor::maturityDate" ref="a615a330e425e4b9abceba4a56fc2664f" args="(const Date &valueDate) const " -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>maturityDate</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &valueDate) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Other methods</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1a7804d7c4d753ee70800b8913a50622"></a><!-- doxytag: member="QuantLib::Libor::clone" ref="a1a7804d7c4d753ee70800b8913a50622" args="(const Handle< YieldTermStructure > &h) const " -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_libor.html#a1a7804d7c4d753ee70800b8913a50622">clone</a> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &h) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns a copy of itself linked to a different forwarding curve <br/></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones </p>
<p>LIBOR fixed by BBA.</p>
<p>See <<a href="http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414">http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414</a>>. </p>
</div></div><!-- contents -->
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.7.6.1
</div>
</div>
</div>
</body>
</html>
|
