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Fully annotated reference manual - version 1.8.12
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cnhshibor.hpp
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1/*
2 Copyright (C) 2020 Quaternion Risk Management Ltd
3 All rights reserved.
4
5 This file is part of ORE, a free-software/open-source library
6 for transparent pricing and risk analysis - http://opensourcerisk.org
7
8 ORE is free software: you can redistribute it and/or modify it
9 under the terms of the Modified BSD License. You should have received a
10 copy of the license along with this program.
11 The license is also available online at <http://opensourcerisk.org>
12
13 This program is distributed on the basis that it will form a useful
14 contribution to risk analytics and model standardisation, but WITHOUT
15 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
16 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
17*/
18
19/*! \file cnhshibor.hpp
20 \brief CNH-SHIBOR index
21 \ingroup indexes
22*/
23
24#ifndef quantext_cnh_shibor_hpp
25#define quantext_cnh_shibor_hpp
26
28#include <ql/indexes/iborindex.hpp>
29#include <ql/time/calendars/hongkong.hpp>
30#include <ql/time/daycounters/actual360.hpp>
31
32namespace QuantExt {
33using namespace QuantLib;
34
35//! CNH-SHIBOR index
36/*! CNH-SHIBOR rate overseen by The Hong Kong Association of Banks.
37
38 See <http://www.hkab.org.hk>.
39
40 \warning Check roll convention and EOM.
41
42 \ingroup indexes
43*/
44class CNHShibor : public IborIndex {
45public:
46 CNHShibor(const Period& tenor, const Handle<YieldTermStructure>& h = Handle<YieldTermStructure>())
47 : IborIndex("CNH-SHIBOR", tenor, 0, CNHCurrency(), HongKong(), ModifiedFollowing, false, Actual360(), h) {}
48};
49} // namespace QuantExt
50
51#endif
Extend QuantLib Asian currencies.
CNH-SHIBOR index.
Definition: cnhshibor.hpp:44
CNHShibor(const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())
Definition: cnhshibor.hpp:46