FxdIbor IRS


FxdIbor IRS is a direct subtype of FxdFlt IRS
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with functions FxdIbor IRS Functions, direct subtypes FxdIbor IRS subtypes, keys FxdIbor IRS keys and example object FxdIbIRS

TYPE INCLUSION RELATIONSHIPS

FxdFlt IRS

FxdIbor IRS

Vanilla IRS

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Fixing Days

Ibor Index

Stub Indices

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TYPICAL OBJECTS OF TYPE FxdIbor IRS

FxdIbIRS

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This type represents a plain vanilla interest rate swap, whereby a fixed interest rate is exchanged for ibor rate in regular time intervals until the swap's maturity.
It may be regarded as a special case of FxdFlt IRS with flat spreads and gearings and the index being of type Ibor Rate
It corresponds to the QuantLib type NonstandardSwap.

The pricing methodology is specified in Model[IRS]