Fully annotated reference manual - version 1.8.12
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qle
indexes
ibor
cnhshibor.hpp
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/*
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Copyright (C) 2020 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 cnhshibor.hpp
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\brief CNH-SHIBOR index
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\ingroup indexes
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*/
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#ifndef quantext_cnh_shibor_hpp
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#define quantext_cnh_shibor_hpp
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#include <
qle/currencies/asia.hpp
>
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#include <ql/indexes/iborindex.hpp>
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#include <ql/time/calendars/hongkong.hpp>
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#include <ql/time/daycounters/actual360.hpp>
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namespace
QuantExt
{
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using namespace
QuantLib
;
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//! CNH-SHIBOR index
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/*! CNH-SHIBOR rate overseen by The Hong Kong Association of Banks.
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See <http://www.hkab.org.hk>.
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\warning Check roll convention and EOM.
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\ingroup indexes
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*/
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class
CNHShibor
:
public
IborIndex {
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public
:
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CNHShibor
(
const
Period& tenor,
const
Handle<YieldTermStructure>& h = Handle<YieldTermStructure>())
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: IborIndex(
"CNH-SHIBOR"
, tenor, 0, CNHCurrency(), HongKong(), ModifiedFollowing, false, Actual360(), h) {}
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};
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}
// namespace QuantExt
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#endif
asia.hpp
Extend QuantLib Asian currencies.
QuantExt::CNHShibor
CNH-SHIBOR index.
Definition:
cnhshibor.hpp:44
QuantExt::CNHShibor::CNHShibor
CNHShibor(const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())
Definition:
cnhshibor.hpp:46
QuantExt
Definition:
namespaces.docs:19
QuantLib
Definition:
colombia.cpp:21
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