Fully annotated reference manual - version 1.8.12
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qle
indexes
ibor
boebaserate.hpp
Go to the documentation of this file.
1
/*
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Copyright (C) 2021 Quaternion Risk Management Ltd
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All rights reserved.
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This file is part of ORE, a free-software/open-source library
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for transparent pricing and risk analysis - http://opensourcerisk.org
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ORE is free software: you can redistribute it and/or modify it
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under the terms of the Modified BSD License. You should have received a
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copy of the license along with this program.
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The license is also available online at <http://opensourcerisk.org>
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This program is distributed on the basis that it will form a useful
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contribution to risk analytics and model standardisation, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file boebaserate.hpp
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\brief Bank of England base rate index,
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https://www.bankrate.com/uk/mortgages/bank-of-england-base-rate/
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\ingroup indexes
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*/
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#ifndef quantext_boebaserateindex_hpp
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#define quantext_boebaserateindex_hpp
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#include <ql/currencies/europe.hpp>
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#include <ql/indexes/iborindex.hpp>
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#include <ql/time/calendars/unitedkingdom.hpp>
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#include <ql/time/daycounters/actual365fixed.hpp>
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namespace
QuantExt
{
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using namespace
QuantLib
;
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//! Bank of England Base Rate index
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class
BOEBaseRateIndex
:
public
QuantLib::OvernightIndex {
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public
:
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explicit
BOEBaseRateIndex
(
const
QuantLib::Handle<YieldTermStructure>& h = QuantLib::Handle<YieldTermStructure>());
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};
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}
// namespace QuantExt
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#endif
QuantExt::BOEBaseRateIndex
Bank of England Base Rate index.
Definition:
boebaserate.hpp:38
QuantExt
Definition:
namespaces.docs:19
QuantLib
Definition:
colombia.cpp:21
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