QuantLib: a free/open-source library for quantitative finance
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chflibor.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5 Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file chflibor.hpp
22 \brief %CHF %LIBOR rate
23*/
24
25#ifndef quantlib_chf_libor_hpp
26#define quantlib_chf_libor_hpp
27
32
33namespace QuantLib {
34
35 //! %CHF %LIBOR rate
36 /*! Swiss Franc LIBOR fixed by ICE.
37
38 See <https://www.theice.com/marketdata/reports/170>.
39
40 \warning This is the rate fixed in London by BBA. Use ZIBOR if
41 you're interested in the Zurich fixing.
42 */
43 class CHFLibor : public Libor {
44 public:
46 const Handle<YieldTermStructure>& h = {})
47 : Libor("CHFLibor", tenor,
48 2,
51 Actual360(), h) {}
52 };
53
54 //! base class for the one day deposit BBA %CHF %LIBOR indexes
56 public:
58 const Handle<YieldTermStructure>& h = {})
59 : DailyTenorLibor("CHFLibor", settlementDays,
62 Actual360(), h) {}
63 };
64
65}
66
67#endif
act/360 day counter
Actual/360 day count convention.
Definition: actual360.hpp:37
Swiss franc.
Definition: europe.hpp:79
CHF LIBOR rate
Definition: chflibor.hpp:43
CHFLibor(const Period &tenor, const Handle< YieldTermStructure > &h={})
Definition: chflibor.hpp:45
base class for the one day deposit BBA CHF LIBOR indexes
Definition: chflibor.hpp:55
DailyTenorCHFLibor(Natural settlementDays, const Handle< YieldTermStructure > &h={})
Definition: chflibor.hpp:57
base class for all O/N-S/N BBA LIBOR indexes but the EUR ones
Definition: libor.hpp:73
Shared handle to an observable.
Definition: handle.hpp:41
base class for all ICE LIBOR indexes but the EUR, O/N, and S/N ones
Definition: libor.hpp:38
Swiss calendar.
Definition: switzerland.hpp:50
European currencies.
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
base class for BBA LIBOR indexes
Definition: any.hpp:35
Swiss calendar.