This can be used to represent IBOR like indices (e.g. LIBOR, BBSW, CDOR)
and extends the Index class.
IborIndex(name, currency, tenor, spot_lag, calendar, day_basis, day_convention, is_eom)
| name | the name of the index as a string |
|---|---|
| currency | the currency associated with the index as a Currency object |
| tenor | the term of the index as a period |
| spot_lag | the period between the index's fixing and the start of the index's term |
| calendar | the calendar used to determine whether the index fixes on a given date as a Calendar |
| day_basis | the day basis associated with the index (e.g. "act/365") |
| day_convention | the day convention associated with the index (e.g. "mf") |
| is_eom | a flag indicating whether or not the maturity date of the index is subject to the end-to-end convention. |
an object of class IborIndex that inherits from Index
library(lubridate) library(fmdates) # 3m AUD BBSW IborIndex("BBSW", AUD(), months(3), days(0), c(AUSYCalendar()), "act/365", "ms", FALSE)#> <IborIndex> 3m AUD BBSW