The floating rate index input type

Description

Many functions require the input of a FloatingIndex. There is no idea of a general floating rate in QuantSA, the indices are all well defined. This is more in keeping with the multicurve valuation standard. Any time a forward rate is required the user needs to think about which forward rate it is so that the correct forecast curve is always used.

A FloatingRateIndex is entered into QuantSA functions string. See below for the supported values.

Available values

  • JIBAR1M
  • JIBAR3M
  • JIBAR6M
  • PRIME1M_AVG The average SA prime rate for 1 month.
  • LIBOR1M
  • LIBOR3M
  • LIBOR6M
  • EURIBOR3M
  • EURIBOR6M