QuantLib_DailyTenorEURLibor man page

DailyTenorEURLibor — base class for the one day deposit ICE EUR LIBOR indexes

Synopsis

#include <ql/indexes/ibor/eurlibor.hpp>

Inherits IborIndex.

Inherited by EURLiborON.

Public Member Functions

DailyTenorEURLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())

Additional Inherited Members

Detailed Description

base class for the one day deposit ICE EUR LIBOR indexes

Euro O/N LIBOR fixed by ICE. 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/repor….

Warning

This is the rate fixed in London by ICE. Use Eonia if you're interested in the fixing by the ECB.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

DailyTenorEURLibor(3) is an alias of QuantLib_DailyTenorEURLibor(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib