21#include <ql/indexes/ibor/eurlibor.hpp>
22#include <ql/time/calendars/jointcalendar.hpp>
23#include <ql/time/calendars/target.hpp>
24#include <ql/time/calendars/unitedkingdom.hpp>
25#include <ql/time/daycounters/actual360.hpp>
26#include <ql/currencies/europe.hpp>
41 QL_FAIL(
"invalid time units");
45 bool eurliborEOM(
const Period& p) {
54 QL_FAIL(
"invalid time units");
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.
BusinessDayConvention
Business Day conventions.
unsigned QL_INTEGER Natural
positive integer