45 bool eurliborEOM(
const Period& p) {
71 eurliborConvention(tenor), eurliborEOM(tenor),
75 "for daily tenors (" << this->
tenor() <<
76 ") dedicated DailyTenor constructor must be used");
82 "Fixing date " <<
fixingDate <<
" is not valid");
107 eurliborConvention(1*
Days), eurliborEOM(1*
Days),
Actual/360 day count convention.
Date advance(const Date &, Integer n, TimeUnit unit, BusinessDayConvention convention=Following, bool endOfMonth=false) const
DailyTenorEURLibor(Natural settlementDays, const Handle< YieldTermStructure > &h={})
EURLibor(const Period &tenor, const Handle< YieldTermStructure > &h={})
Date valueDate(const Date &fixingDate) const override
Date maturityDate(const Date &valueDate) const override
Shared handle to an observable.
base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)
BusinessDayConvention convention_
bool isValidFixingDate(const Date &fixingDate) const override
returns TRUE if the fixing date is a valid one
Date fixingDate(const Date &valueDate) const
United Kingdom calendars.
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
#define QL_FAIL(message)
throw an error (possibly with file and line information)
BusinessDayConvention
Business Day conventions.
unsigned QL_INTEGER Natural
positive integer