Skip to main content

ibor

Function ibor 

pub(crate) fn ibor(
    name: &str,
    currency: &str,
    tenor: Period,
    day_count: DayCountFraction,
    fixing_center: &str,
    fixing_lag_days: u16,
    end_of_month: bool,
) -> IborIndex
Expand description

Builds a term index, resolving its fixing calendar from a business-center code (single or comma-joined, per the lookup DSL). The business-day convention is modified-following for every standard term index; the end-of-month rule varies (true for the standard month/year IBOR tenors).