QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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jpyliborswap.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008, 2011 Ferdinando Ametrano
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy 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
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
25
26namespace QuantLib {
27
29 const Period& tenor,
31 : SwapIndex("JpyLiborSwapIsdaFixAm", // familyName
32 tenor,
33 2, // settlementDays
35 TARGET(),
36 6*Months, // fixedLegTenor
37 ModifiedFollowing, // fixedLegConvention
38 ActualActual(ActualActual::ISDA), // fixedLegDaycounter
39 ext::shared_ptr<IborIndex>(new JPYLibor(6*Months, h))) {}
40
42 const Period& tenor,
43 const Handle<YieldTermStructure>& forwarding,
44 const Handle<YieldTermStructure>& discounting)
45 : SwapIndex("JpyLiborSwapIsdaFixAm", // familyName
46 tenor,
47 2, // settlementDays
49 TARGET(),
50 6*Months, // fixedLegTenor
51 ModifiedFollowing, // fixedLegConvention
52 ActualActual(ActualActual::ISDA), // fixedLegDaycounter
53 ext::shared_ptr<IborIndex>(new JPYLibor(6*Months, forwarding)),
54 discounting) {}
55
57 const Period& tenor,
59 : SwapIndex("JpyLiborSwapIsdaFixPm", // familyName
60 tenor,
61 2, // settlementDays
63 TARGET(),
64 6*Months, // fixedLegTenor
65 ModifiedFollowing, // fixedLegConvention
66 ActualActual(ActualActual::ISDA), // fixedLegDaycounter
67 ext::shared_ptr<IborIndex>(new JPYLibor(6*Months, h))) {}
68
70 const Period& tenor,
71 const Handle<YieldTermStructure>& forwarding,
72 const Handle<YieldTermStructure>& discounting)
73 : SwapIndex("JpyLiborSwapIsdaFixPm", // familyName
74 tenor,
75 2, // settlementDays
77 TARGET(),
78 6*Months, // fixedLegTenor
79 ModifiedFollowing, // fixedLegConvention
80 ActualActual(ActualActual::ISDA), // fixedLegDaycounter
81 ext::shared_ptr<IborIndex>(new JPYLibor(6*Months, forwarding)),
82 discounting) {}
83
84}
act/act day counters
Asian currencies.
Actual/Actual day count.
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
Japanese yen.
Definition: asia.hpp:134
JPY LIBOR rate
Definition: jpylibor.hpp:44
JpyLiborSwapIsdaFixAm(const Period &tenor, const Handle< YieldTermStructure > &h={})
JpyLiborSwapIsdaFixPm(const Period &tenor, const Handle< YieldTermStructure > &h={})
base class for swap-rate indexes
Definition: swapindex.hpp:41
TARGET calendar
Definition: target.hpp:50
JPY LIBOR rate
JPY Libor Swap indexes
Definition: any.hpp:35
TARGET calendar.