CNYRepoFix Class Reference

CNY-CNREPOFIX=CFXS-Reuters index. More...

#include <qle/indexes/ibor/cnyrepofix.hpp>

Inheritance diagram for CNYRepoFix:

Collaboration diagram for CNYRepoFix:

Public Member Functions
	CNYRepoFix (const QuantLib::Period &tenor, const QuantLib::Handle< QuantLib::YieldTermStructure > &h=QuantLib::Handle< QuantLib::YieldTermStructure >())

Detailed Description

CNY-CNREPOFIX=CFXS-Reuters index.

CNY repo fixing rate published by the China Foreign Exchange Trade System (CFETS). See http://www.chinamoney.com.cn/english/bmkfrr. The 7 day maturity rate is the ISDA Floating Rate Option defined in section 7.1(ah) of supplement number 21 to the 2006 ISDA definitions.

Remarks

We have used the China inter-bank market calendar for the fixing calendar here. The ISDA definitions refer to Beijing Banking Day as the business days. They may be one and the same.

Definition at line 43 of file cnyrepofix.hpp.

Constructor & Destructor Documentation

CNYRepoFix()

CNYRepoFix	(	const QuantLib::Period &	tenor,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	h = QuantLib::Handle<QuantLib::YieldTermStructure>()
	)

Definition at line 45 of file cnyrepofix.hpp.

        : IborIndex("CNY-REPOFIX", tenor, 1, QuantLib::CNYCurrency(), QuantLib::China(QuantLib::China::IB),
            QuantLib::Following, false, QuantLib::Actual365Fixed(), h) {}