QuantLib: a free/open-source library for quantitative finance
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jpylibor.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5 Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file jpylibor.hpp
22 \brief %JPY %LIBOR rate
23*/
24
25#ifndef quantlib_jpy_libor_hpp
26#define quantlib_jpy_libor_hpp
27
33
34namespace QuantLib {
35
36 //! %JPY %LIBOR rate
37 /*! Japanese Yen LIBOR fixed by ICE.
38
39 See <https://www.theice.com/marketdata/reports/170>.
40
41 \warning This is the rate fixed in London by ICE. Use TIBOR if
42 you're interested in the Tokio fixing.
43 */
44 class JPYLibor : public Libor {
45 public:
47 const Handle<YieldTermStructure>& h = {})
48 : Libor("JPYLibor", tenor,
49 2,
51 Japan(),
52 Actual360(), h) {}
53 };
54
55 //! base class for the one day deposit ICE %JPY %LIBOR indexes
57 public:
59 const Handle<YieldTermStructure>& h = {})
60 : DailyTenorLibor("JPYLibor", settlementDays,
62 Japan(),
63 Actual360(), h) {}
64 };
65
66}
67
68
69#endif
act/360 day counter
Asian currencies.
Actual/360 day count convention.
Definition: actual360.hpp:37
base class for the one day deposit ICE JPY LIBOR indexes
Definition: jpylibor.hpp:56
DailyTenorJPYLibor(Natural settlementDays, const Handle< YieldTermStructure > &h={})
Definition: jpylibor.hpp:58
base class for all O/N-S/N BBA LIBOR indexes but the EUR ones
Definition: libor.hpp:73
Shared handle to an observable.
Definition: handle.hpp:41
Japanese yen.
Definition: asia.hpp:134
JPY LIBOR rate
Definition: jpylibor.hpp:44
JPYLibor(const Period &tenor, const Handle< YieldTermStructure > &h={})
Definition: jpylibor.hpp:46
Japanese calendar.
Definition: japan.hpp:62
base class for all ICE LIBOR indexes but the EUR, O/N, and S/N ones
Definition: libor.hpp:38
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
Japanese calendar.
base class for BBA LIBOR indexes
Definition: any.hpp:35
UK calendars.