nzdbkbm.hpp

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/*
 Copyright (C) 2016 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file nzdbkbm.hpp
    \brief NZD-BKBM index
    \ingroup indexes
*/
 
#ifndef quantext_nzdbkbm_hpp
#define quantext_nzdbkbm_hpp
 
#include <ql/currencies/oceania.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/time/calendars/newzealand.hpp>
#include <ql/time/daycounters/actualactual.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
//! NZD-BKBM index
/*! NZD-BKBM rate published by NZFMA.
 
    See <http://www.nzfma.org>.
 
    \warning Check roll convention and EOM.
 
            \ingroup indexes
*/
class NZDBKBM : public IborIndex {
public:
    NZDBKBM(const Period& tenor, const Handle<YieldTermStructure>& h = Handle<YieldTermStructure>())
        : IborIndex("NZD-BKBM", tenor, 2, NZDCurrency(), NewZealand(), ModifiedFollowing, false, ActualActual(ActualActual::ISDA), h) {}
};
} // namespace QuantExt
 
#endif