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Class EURLibor

base class for all ICE EUR LIBOR indexes but the O/N

Euro LIBOR fixed by ICE.

See https://www.theice.com/marketdata/reports/170.

warning This is the rate fixed in London by BBA. Use Euribor if you're interested in the fixing by the ECB.

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

Protected _convention

_convention: BusinessDayConvention

Protected _currency

_currency: Currency

Protected _dayCounter

_dayCounter: DayCounter

Protected _endOfMonth

_endOfMonth: boolean

Protected _familyName

_familyName: string

Protected _fixingDays

_fixingDays: Natural

_isDisposed

_isDisposed: boolean = false

Protected _name

_name: string

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _target

_target: Calendar

Protected _tenor

_tenor: Period

Protected _termStructure

_termStructure: Handle<YieldTermStructure>

addFixings1

addFixings1: (t: TimeSeries<Real>, forceOverwrite?: boolean) => void

Type declaration

addFixings2

addFixings2: (d: Date[], dBegin: Size, dEnd: Size, v: Real[], vBegin: Size, forceOverwrite?: boolean) => void

Type declaration

    • (d: Date[], dBegin: Size, dEnd: Size, v: Real[], vBegin: Size, forceOverwrite?: boolean): void

    • Parameters

      • d: Date[]
      • dBegin: Size
      • dEnd: Size
      • v: Real[]
      • vBegin: Size
      • Optional forceOverwrite: boolean

      Returns void

checkNativeFixingsAllowed

checkNativeFixingsAllowed: () => void

Type declaration

    • (): void

    • Returns void

clearFixings

clearFixings: () => void

Type declaration

    • (): void

    • Returns void

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

timeSeries

timeSeries: () => TimeSeries<Real>

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

addFixing

  • addFixing(fixingDate: Date, fixing: Real, forceOverwrite?: boolean): void

  • Parameters

    • fixingDate: Date
    • fixing: Real
    • Optional forceOverwrite: boolean

    Returns void

allowsNativeFixings

  • allowsNativeFixings(): boolean

businessDayConvention

clone

currency

dayCounter

endOfMonth

  • endOfMonth(): boolean

familyName

  • familyName(): string

fixing

  • fixing(fixingDate: Date, forecastTodaysFixing?: boolean): Rate

fixingCalendar

fixingDate

  • fixingDate(valueDate: Date): Date

fixingDays

forecastFixing1

  • forecastFixing1(fixingDate: Date): Rate

forecastFixing2

  • forecastFixing2(d1: Date, d2: Date, t: Time): Rate

  • overload to avoid date/time (re)calculation

    This can be called with cached coupon dates (and it does give quite a performance boost to coupon calculations) but is potentially misleading: by passing the wrong dates, one can ask a 6-months index for a 1-year fixing.

    For that reason, we're leaving this method private and we're declaring the IborCoupon class (which uses it) as a friend. Should the need arise, we might promote it to public, but before doing that I'd think hard whether we have any other way to get the same results.

    Parameters

    • d1: Date
    • d2: Date
    • t: Time

    Returns Rate

forwardingTermStructure

init

isValidFixingDate

  • isValidFixingDate(d: Date): boolean

maturityDate

  • maturityDate(valueDate: Date): Date

  • Parameters

    • valueDate: Date

    Returns Date

name

  • name(): string

pastFixing

  • pastFixing(fixingDate: Date): Rate

tenor

update

  • update(): void

valueDate

  • valueDate(fixingDate: Date): Date