What is this code?

Looks like malware to me, which may mean you’re hacked.

If you’re hacked you need to start working your way through these resources:

https://codex.www.ads-software.com/FAQ_My_site_was_hacked
https://www.ads-software.com/support/topic/268083#post-1065779
https://smackdown.blogsblogsblogs.com/2008/06/24/how-to-completely-clean-your-hacked-wordpress-installation/
https://ottopress.com/2009/hacked-wordpress-backdoors/
Additional Resources:

https://sitecheck.sucuri.net/scanner/
https://www.unmaskparasites.com/
https://blog.sucuri.net/2012/03/wordpress-understanding-its-true-vulnerability.html

Thanks. Where do I find which file this code is in?
Thank you.

The Wordfence Plugin allows you to run a scan and it compares core, plugin, theme and if you want all other files even outside of WP for a) changes vs the repository and of course for malware. It′s free.
https://www.ads-software.com/plugins/wordfence/

Great! It found the code. It found it in index.php file. I did not see it in the index.php file when i opened it with Editor. Are there more than one index.php files in WP?
Thank you.

It found it in index.php file.

Removing the problem from just 1 file may not be enough. You need to completely delouse the site by following the links above – otherwise the hacker may simply walk straight back in again.