libor.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 Ferdinando Ametrano
 Copyright (C) 2007 Chiara Fornarola
 Copyright (C) 2005, 2006, 2008 StatPro Italia srl
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_libor_hpp
#define quantlib_libor_hpp
 
#include <ql/indexes/iborindex.hpp>
 
namespace QuantLib {
 
 
    class Libor : public IborIndex {
      public:
        Libor(const std::string& familyName,
              const Period& tenor,
              Natural settlementDays,
              const Currency& currency,
              const Calendar& financialCenterCalendar,
              const DayCounter& dayCounter,
              const Handle<YieldTermStructure>& h = {});
        Date valueDate(const Date& fixingDate) const override;
        Date maturityDate(const Date& valueDate) const override;
        // @}
 
        ext::shared_ptr<IborIndex> clone(const Handle<YieldTermStructure>& h) const override;
        // @}
 
        Calendar jointCalendar() const;
        // @}
      private:
        Calendar financialCenterCalendar_;
        Calendar jointCalendar_;
    };
 
 
    class DailyTenorLibor : public IborIndex {
      public:
        DailyTenorLibor(const std::string& familyName,
                        Natural settlementDays,
                        const Currency& currency,
                        const Calendar& financialCenterCalendar,
                        const DayCounter& dayCounter,
                        const Handle<YieldTermStructure>& h = {});
    };
 
}
 
#endif