QuantLib: a free/open-source library for quantitative finance
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cdor.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2005 StatPro Italia srl
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
20/*! \file cdor.hpp
21 \brief %CDOR rate
22*/
23
24#ifndef quantlib_cdor_hpp
25#define quantlib_cdor_hpp
26
31
32namespace QuantLib {
33
34 //! %CDOR rate
35 /*! Canadian Dollar Offered Rate fixed by IDA.
36
37 Conventions are taken from a number of sources including
38 OpenGamma "Interest Rate Instruments and Market Conventions
39 Guide", BBG, IKON.
40
41 \warning This is the rate fixed in Canada by IDA. Use CADLibor
42 if you're interested in the London fixing by BBA.
43 */
44 class Cdor : public IborIndex {
45 public:
47 const Handle<YieldTermStructure>& h = {})
48 : IborIndex("CDOR", tenor, 0, CADCurrency(),
49 Canada(), ModifiedFollowing, false,
50 Actual365Fixed(), h) {}
51 };
52
53}
54
55
56#endif
Actual/365 (Fixed) day counter.
American currencies.
Canadian calendar.
Actual/365 (Fixed) day count convention.
Canadian dollar.
Definition: america.hpp:68
Canadian calendar.
Definition: canada.hpp:73
CDOR rate
Definition: cdor.hpp:44
Cdor(const Period &tenor, const Handle< YieldTermStructure > &h={})
Definition: cdor.hpp:46
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
base class for Inter-Bank-Offered-Rate indexes
Definition: any.hpp:35