Class DailyTenorEURLibor

Namespace

NanoQL.Indexes

Assembly

NanoQL.dll

The base class for the one day deposit ICE EUR LIBOR indexes: Euro O/N LIBOR fixed by ICE.

public class DailyTenorEURLibor : IborIndex

Inheritance

object

FinancialIndex

InterestRateIndex

IborIndex

DailyTenorEURLibor

Derived

EURLiborON

Inherited Members

IborIndex.MaturityDate(Date)

IborIndex.ForecastFixing(Date, EvaluationContext)

IborIndex.Clone(YieldTermStructure)

IborIndex.BusinessDayConvention

IborIndex.EndOfMonth

IborIndex.ForwardingTermStructure

InterestRateIndex.IsValidFixingDate(Date)

InterestRateIndex.Fixing(Date, EvaluationContext, bool)

InterestRateIndex.FixingDate(Date)

InterestRateIndex.ValueDate(Date)

InterestRateIndex.Name

InterestRateIndex.FixingCalendar

InterestRateIndex.FamilyName

InterestRateIndex.Tenor

InterestRateIndex.FixingDays

InterestRateIndex.Currency

InterestRateIndex.DayCounter

FinancialIndex.HasHistoricalFixing(Date, EvaluationContext)

FinancialIndex.PastFixing(Date, EvaluationContext)

FinancialIndex.TimeSeries(EvaluationContext)

FinancialIndex.FixingDates(Date)

FinancialIndex.AllowsNativeFixings

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

It can be also used for T/N and S/N indexes, even if such indexes do not have ICE fixing. See https://www.theice.com/marketdata/reports/170. This is the rate fixed in London by ICE; use Eonia for the fixing by the ECB.

An extension point: QuantLib's EURLiborON derives from it.

Constructors

DailyTenorEURLibor(int, YieldTermStructure?)

Initializes a new instance of the DailyTenorEURLibor class.

public DailyTenorEURLibor(int settlementDays, YieldTermStructure? h = null)

Parameters

settlementDays int

The settlement days.

h YieldTermStructure

The forwarding curve, or null for none.

Exceptions

ArgumentOutOfRangeException

settlementDays is negative.