Re: [Quantlib-dev] Settlement days

[Luigi B. <lui...@gm...>]

Hello,
    the Euribor fixing for a given date (and a given tenor; let's say we're
using 6-months Euribor) is the rate for a period that starts two business
days after the fixing date and ends six months after.  The two days of
delay are the fixing days.  The name "settlement days" might be a misnomer;
I guess you might consider them the days until the underlying deposit is
settled.

For instance: today is December 13th, 2017.  Today's Euribor 6M fixing is
the rate paid for borrowing money two days from now (on December 15th) and
returning it six months later (on June 15th, 2018).

Hope this helps,
    Luigi


On Mon, Dec 11, 2017 at 1:17 PM laaouini anas <laa...@ya...>
wrote:

> Hello everybody,
> I have 2 questions about fixingDays parameter:
> +What are "fixing days" for an Euribor Index?
> +Why "settlement days" parameter  is equal to 2 for an Euribor object of
> C++ QuantLib?
>
> ---------------------------------------------------------<euribor.cpp>
> Euribor::Euribor(const Period& tenor,
>
>                      const Handle<YieldTermStructure>& h)
>
>     : IborIndex("Euribor", tenor,
>
>                 2, // settlement days
>
>                 EURCurrency(), TARGET(),
>
>                 euriborConvention(tenor), euriborEOM(tenor),
>
>                 Actual360(), h) {
>
>         QL_REQUIRE(this->tenor().units()!=Days,
>
>                    "for daily tenors (" << this->tenor() <<
>
>                    ") dedicated DailyTenor constructor must be used");
>
>     }
>
>
>