QuantLib: a free/open-source library for quantitative finance
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tibor.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 tibor.hpp
21 \brief %JPY %TIBOR rate
22*/
23
24#ifndef quantlib_tibor_hpp
25#define quantlib_tibor_hpp
26
31
32namespace QuantLib {
33
34 //! %JPY %TIBOR index
35 /*! Tokyo Interbank Offered Rate.
36
37 \warning This is the rate fixed in Tokio by JBA. Use JPYLibor
38 if you're interested in the London fixing by BBA.
39
40 \todo check settlement days and end-of-month adjustment.
41 */
42 class Tibor : public IborIndex {
43 public:
45 const Handle<YieldTermStructure>& h = {})
46 : IborIndex("Tibor", tenor, 2, JPYCurrency(),
48 false, Actual365Fixed(), h) {}
49 };
50
51}
52
53
54#endif
Actual/365 (Fixed) day counter.
Asian currencies.
Actual/365 (Fixed) day count convention.
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
Japanese yen.
Definition: asia.hpp:134
Japanese calendar.
Definition: japan.hpp:62
JPY TIBOR index
Definition: tibor.hpp:42
Tibor(const Period &tenor, const Handle< YieldTermStructure > &h={})
Definition: tibor.hpp:44
base class for Inter-Bank-Offered-Rate indexes
Japanese calendar.
Definition: any.hpp:35