QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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shibor.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2014 Cheng Li
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
24
25namespace QuantLib {
26
27 namespace {
28
29 BusinessDayConvention shiborConvention(const Period& p) {
30 switch (p.units()) {
31 case Days:
32 case Weeks:
33 return Following;
34 case Months:
35 case Years:
36 return ModifiedFollowing;
37 default:
38 QL_FAIL("invalid time units");
39 }
40 }
41
42 }
43
44 Shibor::Shibor(const Period& tenor,
46 : IborIndex("Shibor", tenor, (tenor == 1*Days? 0 : 1), CNYCurrency(),
47 China(China::IB), shiborConvention(tenor), false,
48 Actual360(), h) {}
49
50 ext::shared_ptr<IborIndex> Shibor::clone(
51 const Handle<YieldTermStructure>& h) const {
52 return ext::shared_ptr<IborIndex>(new Shibor(tenor(), h));
53 }
54}
act/360 day counter
Asian currencies.
Chinese calendar.
Actual/360 day count convention.
Definition: actual360.hpp:37
Chinese yuan.
Definition: asia.hpp:57
Chinese calendar.
Definition: china.hpp:58
Shared handle to an observable.
Definition: handle.hpp:41
base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)
Definition: iborindex.hpp:35
ext::shared_ptr< IborIndex > clone(const Handle< YieldTermStructure > &forwarding) const override
returns a copy of itself linked to a different forwarding curve
Definition: shibor.cpp:50
Shibor(const Period &tenor, const Handle< YieldTermStructure > &h={})
Definition: shibor.cpp:44
#define QL_FAIL(message)
throw an error (possibly with file and line information)
Definition: errors.hpp:92
BusinessDayConvention
Business Day conventions.
Definition: any.hpp:35
China Shibor indexes.