QuantLib: a free/open-source library for quantitative finance
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usdlibor.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 Copyright (C) 2017 Peter Caspers
7 Copyright (C) 2017 Oleg Kulkov
8
9 This file is part of QuantLib, a free-software/open-source library
10 for financial quantitative analysts and developers - http://quantlib.org/
11
12 QuantLib is free software: you can redistribute it and/or modify it
13 under the terms of the QuantLib license. You should have received a
14 copy of the license along with this program; if not, please email
15 <quantlib-dev@lists.sf.net>. The license is also available online at
16 <http://quantlib.org/license.shtml>.
17
18 This program is distributed in the hope that it will be useful, but WITHOUT
19 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
20 FOR A PARTICULAR PURPOSE. See the license for more details.
21*/
22
23/*! \file usdlibor.hpp
24 \brief %USD %LIBOR rate
25*/
26
27#ifndef quantlib_usd_libor_hpp
28#define quantlib_usd_libor_hpp
29
34
35namespace QuantLib {
36
37 //! %USD %LIBOR rate
38 /*! US Dollar LIBOR fixed by ICE.
39
40 See <https://www.theice.com/marketdata/reports/170>.
41 */
42 class USDLibor : public Libor {
43 public:
45 const Handle<YieldTermStructure>& h = {})
46 : Libor("USDLibor", tenor,
47 2,
50 Actual360(), h) {}
51 };
52
53 //! base class for the one day deposit ICE %USD %LIBOR indexes
55 public:
57 const Handle<YieldTermStructure>& h = {})
58 : DailyTenorLibor("USDLibor", settlementDays,
61 Actual360(), h) {}
62 };
63
64 //! Overnight %USD %Libor index
66 public:
67 explicit USDLiborON(const Handle<YieldTermStructure>& h = {})
68 : DailyTenorUSDLibor(0, h) {}
69 };
70}
71
72#endif
act/360 day counter
American currencies.
Actual/360 day count convention.
Definition: actual360.hpp:37
base class for all O/N-S/N BBA LIBOR indexes but the EUR ones
Definition: libor.hpp:73
base class for the one day deposit ICE USD LIBOR indexes
Definition: usdlibor.hpp:54
DailyTenorUSDLibor(Natural settlementDays, const Handle< YieldTermStructure > &h={})
Definition: usdlibor.hpp:56
Shared handle to an observable.
Definition: handle.hpp:41
base class for all ICE LIBOR indexes but the EUR, O/N, and S/N ones
Definition: libor.hpp:38
U.S. dollar.
Definition: america.hpp:162
USD LIBOR rate
Definition: usdlibor.hpp:42
USDLibor(const Period &tenor, const Handle< YieldTermStructure > &h={})
Definition: usdlibor.hpp:44
Overnight USD Libor index.
Definition: usdlibor.hpp:65
USDLiborON(const Handle< YieldTermStructure > &h={})
Definition: usdlibor.hpp:67
United States calendars.
@ LiborImpact
Libor impact calendar.
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
base class for BBA LIBOR indexes
Definition: any.hpp:35
US calendars.