QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
indexes
swap
jpyliborswap.cpp
Go to the documentation of this file.
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2008, 2011 Ferdinando Ametrano
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#include <
ql/indexes/swap/jpyliborswap.hpp
>
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#include <
ql/indexes/ibor/jpylibor.hpp
>
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#include <
ql/time/calendars/target.hpp
>
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#include <
ql/time/daycounters/actualactual.hpp
>
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#include <
ql/currencies/asia.hpp
>
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namespace
QuantLib
{
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JpyLiborSwapIsdaFixAm::JpyLiborSwapIsdaFixAm
(
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const
Period
& tenor,
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const
Handle<YieldTermStructure>
& h)
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:
SwapIndex
(
"JpyLiborSwapIsdaFixAm"
,
// familyName
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tenor,
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2,
// settlementDays
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JPYCurrency
(),
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TARGET
(),
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6*
Months
,
// fixedLegTenor
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ModifiedFollowing
,
// fixedLegConvention
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ActualActual
(
ActualActual
::ISDA),
// fixedLegDaycounter
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ext::shared_ptr<
IborIndex
>(new
JPYLibor
(6*
Months
, h))) {}
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JpyLiborSwapIsdaFixAm::JpyLiborSwapIsdaFixAm
(
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const
Period
& tenor,
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const
Handle<YieldTermStructure>
& forwarding,
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const
Handle<YieldTermStructure>
& discounting)
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:
SwapIndex
(
"JpyLiborSwapIsdaFixAm"
,
// familyName
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tenor,
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2,
// settlementDays
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JPYCurrency
(),
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TARGET
(),
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6*
Months
,
// fixedLegTenor
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ModifiedFollowing
,
// fixedLegConvention
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ActualActual
(
ActualActual
::ISDA),
// fixedLegDaycounter
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ext::shared_ptr<
IborIndex
>(new
JPYLibor
(6*
Months
, forwarding)),
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discounting) {}
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JpyLiborSwapIsdaFixPm::JpyLiborSwapIsdaFixPm
(
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const
Period
& tenor,
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const
Handle<YieldTermStructure>
& h)
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:
SwapIndex
(
"JpyLiborSwapIsdaFixPm"
,
// familyName
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tenor,
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2,
// settlementDays
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JPYCurrency
(),
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TARGET
(),
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6*
Months
,
// fixedLegTenor
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ModifiedFollowing
,
// fixedLegConvention
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ActualActual
(
ActualActual
::ISDA),
// fixedLegDaycounter
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ext::shared_ptr<
IborIndex
>(new
JPYLibor
(6*
Months
, h))) {}
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JpyLiborSwapIsdaFixPm::JpyLiborSwapIsdaFixPm
(
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const
Period
& tenor,
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const
Handle<YieldTermStructure>
& forwarding,
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const
Handle<YieldTermStructure>
& discounting)
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:
SwapIndex
(
"JpyLiborSwapIsdaFixPm"
,
// familyName
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tenor,
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2,
// settlementDays
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JPYCurrency
(),
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TARGET
(),
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6*
Months
,
// fixedLegTenor
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ModifiedFollowing
,
// fixedLegConvention
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ActualActual
(
ActualActual
::ISDA),
// fixedLegDaycounter
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ext::shared_ptr<
IborIndex
>(new
JPYLibor
(6*
Months
, forwarding)),
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discounting) {}
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}
actualactual.hpp
act/act day counters
asia.hpp
Asian currencies.
QuantLib::ActualActual
Actual/Actual day count.
Definition:
actualactual.hpp:51
QuantLib::Handle
Shared handle to an observable.
Definition:
handle.hpp:41
QuantLib::IborIndex
base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)
Definition:
iborindex.hpp:35
QuantLib::JPYCurrency
Japanese yen.
Definition:
asia.hpp:134
QuantLib::JPYLibor
JPY LIBOR rate
Definition:
jpylibor.hpp:44
QuantLib::JpyLiborSwapIsdaFixAm::JpyLiborSwapIsdaFixAm
JpyLiborSwapIsdaFixAm(const Period &tenor, const Handle< YieldTermStructure > &h={})
Definition:
jpyliborswap.cpp:28
QuantLib::JpyLiborSwapIsdaFixPm::JpyLiborSwapIsdaFixPm
JpyLiborSwapIsdaFixPm(const Period &tenor, const Handle< YieldTermStructure > &h={})
Definition:
jpyliborswap.cpp:56
QuantLib::Period
Definition:
period.hpp:44
QuantLib::SwapIndex
base class for swap-rate indexes
Definition:
swapindex.hpp:41
QuantLib::TARGET
TARGET calendar
Definition:
target.hpp:50
QuantLib::Months
@ Months
Definition:
timeunit.hpp:39
QuantLib::ModifiedFollowing
@ ModifiedFollowing
Definition:
businessdayconvention.hpp:45
jpylibor.hpp
JPY LIBOR rate
jpyliborswap.hpp
JPY Libor Swap indexes
QuantLib
Definition:
any.hpp:35
target.hpp
TARGET calendar.
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