jpylibor.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_jpy_libor_hpp
#define quantlib_jpy_libor_hpp
 
#include <ql/indexes/ibor/libor.hpp>
#include <ql/time/calendars/unitedkingdom.hpp>
#include <ql/time/calendars/japan.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/currencies/asia.hpp>
 
namespace QuantLib {
 
 
    class JPYLibor : public Libor {
      public:
        JPYLibor(const Period& tenor,
                 const Handle<YieldTermStructure>& h = {})
        : Libor("JPYLibor", tenor,
                2,
                JPYCurrency(),
                Japan(),
                Actual360(), h) {}
    };
 
    class DailyTenorJPYLibor : public DailyTenorLibor {
      public:
        DailyTenorJPYLibor(Natural settlementDays,
                           const Handle<YieldTermStructure>& h = {})
        : DailyTenorLibor("JPYLibor", settlementDays,
                          JPYCurrency(),
                          Japan(),
                          Actual360(), h) {}
    };
 
}
 
 
#endif