Table of Contents

Class EuriborSwapIfrFix

Namespace
NanoQL.Indexes
Assembly
NanoQL.dll

The Euribor swap indexes published by IFR Markets and distributed by Reuters page TGM42281 and by Telerate: annual 30/360 against 6M Euribor, and 1Y against 3M Euribor.

public sealed class EuriborSwapIfrFix : SwapIndex
Inheritance
EuriborSwapIfrFix
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 Euribor 6M for a tenor longer than a year and on Euribor 3M otherwise.

Constructors

EuriborSwapIfrFix(Period, YieldTermStructure?)

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

public EuriborSwapIfrFix(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.

EuriborSwapIfrFix(Period, YieldTermStructure?, YieldTermStructure?)

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

public EuriborSwapIfrFix(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.