QuantLib: a free/open-source library for quantitative finance
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pribor.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4Copyright (C) 2018 Matthias Lungwitz
5
6This file is part of QuantLib, a free-software/open-source library
7for financial quantitative analysts and developers - http://quantlib.org/
8
9QuantLib is free software: you can redistribute it and/or modify it
10under the terms of the QuantLib license. You should have received a
11copy 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
15This program is distributed in the hope that it will be useful, but WITHOUT
16ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file pribor.hpp
21\brief %PRIBOR rate
22*/
23
24#ifndef quantlib_pribor_hpp
25#define quantlib_pribor_hpp
26
31
32namespace QuantLib {
33
34 //! %PRIBOR rate
35 /*! Prague Interbank Offered Rate fixed by CFBF.
36
37 Conventions are taken from
38 OpenGamma "Interest Rate Instruments and Market Conventions
39 Guide" as well as
40 https://cfbf.cz/wp-content/uploads/2018/02/pribor-rules.pdf
41
42 \warning Roll convention and EoM not yet checked.
43 */
44 class Pribor : public IborIndex {
45 public:
47 const Handle<YieldTermStructure>& h = {})
48 : IborIndex("PRIBOR", tenor, (tenor == 1 * Days ? 0 : 2), CZKCurrency(),
50 Actual360(), h) {}
51 };
52
53}
54
55
56#endif
act/360 day counter
Actual/360 day count convention.
Definition: actual360.hpp:37
Czech koruna.
Definition: europe.hpp:90
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
PRIBOR rate
Definition: pribor.hpp:44
Pribor(const Period &tenor, const Handle< YieldTermStructure > &h={})
Definition: pribor.hpp:46
Czech calendars.
European currencies.
base class for Inter-Bank-Offered-Rate indexes
Definition: any.hpp:35