QuantLib: a free/open-source library for quantitative finance
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gbplibor.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 gbplibor.hpp
22 \brief %GBP %LIBOR rate
23*/
24
25#ifndef quantlib_gbp_libor_hpp
26#define quantlib_gbp_libor_hpp
27
32
33namespace QuantLib {
34
35 //! %GBP %LIBOR rate
36 /*! Pound Sterling LIBOR fixed by ICE.
37
38 See <https://www.theice.com/marketdata/reports/170>.
39 */
40 class GBPLibor : public Libor {
41 public:
43 const Handle<YieldTermStructure>& h = {})
44 : Libor("GBPLibor", tenor,
45 0,
48 Actual365Fixed(), h) {}
49 };
50
51 //! Base class for the one day deposit ICE %GBP %LIBOR indexes
53 public:
55 const Handle<YieldTermStructure>& h = {})
56 : DailyTenorLibor("GBPLibor", settlementDays,
59 Actual365Fixed(), h) {}
60 };
61
62 //! Overnight %GBP %Libor index
64 public:
65 explicit GBPLiborON(const Handle<YieldTermStructure>& h = {})
66 : DailyTenorGBPLibor(0, h) {}
67 };
68
69}
70
71#endif
Actual/365 (Fixed) day counter.
Actual/365 (Fixed) day count convention.
Base class for the one day deposit ICE GBP LIBOR indexes.
Definition: gbplibor.hpp:52
DailyTenorGBPLibor(Natural settlementDays, const Handle< YieldTermStructure > &h={})
Definition: gbplibor.hpp:54
base class for all O/N-S/N BBA LIBOR indexes but the EUR ones
Definition: libor.hpp:73
British pound sterling.
Definition: europe.hpp:134
GBP LIBOR rate
Definition: gbplibor.hpp:40
GBPLibor(const Period &tenor, const Handle< YieldTermStructure > &h={})
Definition: gbplibor.hpp:42
Overnight GBP Libor index.
Definition: gbplibor.hpp:63
GBPLiborON(const Handle< YieldTermStructure > &h={})
Definition: gbplibor.hpp:65
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
United Kingdom calendars.
@ Exchange
London stock-exchange calendar.
European currencies.
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
base class for BBA LIBOR indexes
Definition: any.hpp:35
UK calendars.