Table of Contents

Class EurLiborSwapIfrFix

Namespace
NanoQL.Indexes
Assembly
NanoQL.dll

The EUR Libor swap indexes published by IFR Markets and distributed by Reuters page TGM42281 and by Telerate: annual 30/360 against 6M Libor, and 1Y against 3M Libor (http://www.ifrmarkets.com).

public sealed class EurLiborSwapIfrFix : SwapIndex
Inheritance
EurLiborSwapIfrFix
Inherited Members

Remarks

Settled 2 TARGET days after fixing, against a fixed leg paying annually, modified following, 30/360 (bond basis); the floating leg is on EUR Libor 6M for a tenor longer than a year and on EUR Libor 3M otherwise.

Constructors

EurLiborSwapIfrFix(Period, YieldTermStructure?)

Initializes a new instance of the EurLiborSwapIfrFix class, discounting on the forwarding curve.

public EurLiborSwapIfrFix(Period tenor, YieldTermStructure? h = null)

Parameters

tenor Period

The swap's tenor.

h YieldTermStructure

The forwarding curve, or null for none.

Exceptions

NanoQLException

The tenor can't be compared with one year, as 365 or 366 days can't.

EurLiborSwapIfrFix(Period, YieldTermStructure?, YieldTermStructure?)

Initializes a new instance of the EurLiborSwapIfrFix class with exogenous discounting, on the discounting curve even when it is null.

public EurLiborSwapIfrFix(Period tenor, YieldTermStructure? forwarding, YieldTermStructure? discounting)

Parameters

tenor Period

The swap's tenor.

forwarding YieldTermStructure

The forwarding curve, or null for none.

discounting YieldTermStructure

The discounting curve, or null, QuantLib's empty handle.

Exceptions

NanoQLException

The tenor can't be compared with one year, as 365 or 366 days can't.