tonar.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 tonar.hpp
    \brief Tokyo Overnight Average Rate (TONAR)
    \ingroup indexes
*/
 
#ifndef quantext_tonar_hpp
#define quantext_tonar_hpp
 
#include <ql/currencies/asia.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/time/calendars/japan.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
//! %JPY %TONAR rate
/*! Tokyo Overnight Average Rate published by BOJ.
 
    See <http://www.boj.or.jp/en/statistics/market/short/mutan/>.
 
    \remark There is a publication lag of 1 business day.
            Using Japan calendar, should be Tokyo.
 
            \ingroup indexes
*/
class Tonar : public OvernightIndex {
public:
    Tonar(const Handle<YieldTermStructure>& h = Handle<YieldTermStructure>())
        : OvernightIndex("TONAR", 0, JPYCurrency(), Japan(), Actual365Fixed(), h) {}
};
 
/*! TONAR term index
    https://moneyworld.jp/page/torf.html
    https://www.torf.co.jp/en/2021/04/26/torfrate26april/
    https://corporate.quick.co.jp/en/torf/ */
class TonarTerm : public TermRateIndex {
public:
    TonarTerm(const Period& tenor, const Handle<YieldTermStructure>& h = Handle<YieldTermStructure>())
        : TermRateIndex("JPY-TONARTerm", tenor, 2, JPYCurrency(), Japan(), ModifiedFollowing, false, Actual365Fixed(), h,
                        QuantLib::ext::make_shared<Tonar>(h)) {}
};
 
} // namespace QuantExt
 
#endif