sekstibor.hpp

Go to the documentation of this file.

/*
 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 sekstibor.hpp
    \brief SEK-STIBOR index
    \ingroup indexes
*/
 
#ifndef quantext_sekstibor_hpp
#define quantext_sekstibor_hpp
 
#include <ql/currencies/europe.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/time/calendars/sweden.hpp>
#include <ql/time/daycounters/actual360.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
//! SEK-STIBOR index
/*! SEK-STIBOR rate published by Swedish Bankers' Association.
 
    See <http://www.swedishbankers.se/web/bf.nsf/pages/startpage_eng.html>.
 
    \remark Using Sweden calendar, should be Stockholm.
 
    \warning Check roll convention and EOM.
 
            \ingroup indexes
*/
class SEKStibor : public IborIndex {
public:
    SEKStibor(const Period& tenor, const Handle<YieldTermStructure>& h = Handle<YieldTermStructure>())
        : IborIndex("SEK-STIBOR", tenor, 2, SEKCurrency(), Sweden(), ModifiedFollowing, false, Actual360(), h) {}
};
} // namespace QuantExt
 
#endif