44 bool liborEOM(
const Period& p) {
64 const Calendar& financialCenterCalendar,
67 :
IborIndex(familyName, tenor, settlementDays, currency,
73 liborConvention(tenor), liborEOM(tenor),
75 financialCenterCalendar_(financialCenterCalendar),
77 financialCenterCalendar,
80 "for daily tenors (" << this->
tenor() <<
81 ") dedicated DailyTenor constructor must be used");
83 "for EUR Libor dedicated EurLibor constructor must be used");
89 "Fixing date " <<
fixingDate <<
" is not valid");
132 const std::string& familyName,
135 const Calendar& financialCenterCalendar,
144 financialCenterCalendar,
146 liborConvention(1*
Days), liborEOM(1*
Days),
149 "for EUR Libor dedicated EurLibor constructor must be used");
Date adjust(const Date &, BusinessDayConvention convention=Following) const
Date advance(const Date &, Integer n, TimeUnit unit, BusinessDayConvention convention=Following, bool endOfMonth=false) const
DailyTenorLibor(const std::string &familyName, Natural settlementDays, const Currency ¤cy, const Calendar &financialCenterCalendar, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h={})
Shared handle to an observable.
base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)
BusinessDayConvention convention_
Natural fixingDays() const
const DayCounter & dayCounter() const
Calendar fixingCalendar() const override
returns the calendar defining valid fixing dates
const Currency & currency() const
bool isValidFixingDate(const Date &fixingDate) const override
returns TRUE if the fixing date is a valid one
Date fixingDate(const Date &valueDate) const
std::string familyName() const
base class for all ICE LIBOR indexes but the EUR, O/N, and S/N ones
Libor(const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &financialCenterCalendar, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h={})
Date valueDate(const Date &fixingDate) const override
Date maturityDate(const Date &valueDate) const override
Calendar jointCalendar() const
Calendar financialCenterCalendar_
ext::shared_ptr< IborIndex > clone(const Handle< YieldTermStructure > &h) const override
returns a copy of itself linked to a different forwarding curve
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
base class for BBA LIBOR indexes