Table of Contents

Class JpyLiborSwapIsdaFixAm

Namespace
NanoQL.Indexes
Assembly
NanoQL.dll

The JPY Libor swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 10am Tokyo: semiannual Act/365 against 6M Libor. Reuters page ISDAFIX1 or JPYSFIXA=.

public sealed class JpyLiborSwapIsdaFixAm : SwapIndex
Inheritance
JpyLiborSwapIsdaFixAm
Inherited Members

Remarks

Settled 2 TARGET days after fixing, against a fixed leg paying semiannually, modified following, Actual/Actual (ISDA), as QuantLib's code has it; the floating leg is on JPY Libor 6M.

Constructors

JpyLiborSwapIsdaFixAm(Period, YieldTermStructure?)

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

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

Parameters

tenor Period

The swap's tenor.

h YieldTermStructure

The forwarding curve, or null for none.

JpyLiborSwapIsdaFixAm(Period, YieldTermStructure?, YieldTermStructure?)

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

public JpyLiborSwapIsdaFixAm(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.