Class ForwardIborAveragedRateComputationFn

  • All Implemented Interfaces:

    public class ForwardIborAveragedRateComputationFn
    extends Object
    implements RateComputationFn<IborAveragedRateComputation>
    Rate computation implementation for a rate based on the average of multiple fixings of a single Ibor floating rate index.

    The rate computation queries the rates from the RatesProvider and weighted-average them. There is no convexity adjustment computed in this implementation.

    • Constructor Detail

      • ForwardIborAveragedRateComputationFn

        public ForwardIborAveragedRateComputationFn()
        Creates an instance.