Ibor Index


Key Ibor Index in
Yield Curve Swp refers to the floating rate index.
Expects an object of type
Ibor Rate.
The conventions of this index determine the floating leg period and the spot lag of the swaps.
For example, if the index here is the USD 6M Libor (which carries a 2 bus days settlement), the swaps will be assumed to have a semiannual floating leg schedule, while their both legs would start accruing with a lag of 2 business days.
It is possible to have swaps that differ in their index by adding an optional column with the title #Index in the rates table associated with the key Set, in which case the entry here is ignored.