QuantLib: a free/open-source library for quantitative finance
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libor.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007 Ferdinando Ametrano
5 Copyright (C) 2007 Chiara Fornarola
6 Copyright (C) 2005, 2006, 2008 StatPro Italia srl
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
22/*! \file libor.hpp
23 \brief base class for BBA LIBOR indexes
24*/
25
26#ifndef quantlib_libor_hpp
27#define quantlib_libor_hpp
28
30
31namespace QuantLib {
32
33 //! base class for all ICE LIBOR indexes but the EUR, O/N, and S/N ones
34 /*! LIBOR fixed by ICE.
35
36 See <https://www.theice.com/marketdata/reports/170>.
37 */
38 class Libor : public IborIndex {
39 public:
40 Libor(const std::string& familyName,
41 const Period& tenor,
42 Natural settlementDays,
43 const Currency& currency,
44 const Calendar& financialCenterCalendar,
46 const Handle<YieldTermStructure>& h = {});
47 /*! \name Date calculations
48
49 See <https://www.theice.com/marketdata/reports/170>.
50 @{
51 */
52 Date valueDate(const Date& fixingDate) const override;
53 Date maturityDate(const Date& valueDate) const override;
54 // @}
55 //! \name Other methods
56 //@{
57 ext::shared_ptr<IborIndex> clone(const Handle<YieldTermStructure>& h) const override;
58 // @}
59 //! \name Other inspectors
60 //@{
61 Calendar jointCalendar() const;
62 // @}
63 private:
66 };
67
68 //! base class for all O/N-S/N BBA LIBOR indexes but the EUR ones
69 /*! One day deposit LIBOR fixed by ICE.
70
71 See <https://www.theice.com/marketdata/reports/170>.
72 */
73 class DailyTenorLibor : public IborIndex {
74 public:
75 DailyTenorLibor(const std::string& familyName,
76 Natural settlementDays,
77 const Currency& currency,
78 const Calendar& financialCenterCalendar,
80 const Handle<YieldTermStructure>& h = {});
81 };
82
83}
84
85#endif
calendar class
Definition: calendar.hpp:61
Currency specification
Definition: currency.hpp:36
base class for all O/N-S/N BBA LIBOR indexes but the EUR ones
Definition: libor.hpp:73
Concrete date class.
Definition: date.hpp:125
day counter class
Definition: daycounter.hpp:44
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
const DayCounter & dayCounter() const
const Currency & currency() const
Date fixingDate(const Date &valueDate) const
std::string familyName() const
base class for all ICE LIBOR indexes but the EUR, O/N, and S/N ones
Definition: libor.hpp:38
Date valueDate(const Date &fixingDate) const override
Definition: libor.cpp:86
Date maturityDate(const Date &valueDate) const override
Definition: libor.cpp:102
Calendar jointCalendar_
Definition: libor.hpp:65
Calendar jointCalendar() const
Definition: libor.cpp:115
Calendar financialCenterCalendar_
Definition: libor.hpp:64
ext::shared_ptr< IborIndex > clone(const Handle< YieldTermStructure > &h) const override
returns a copy of itself linked to a different forwarding curve
Definition: libor.cpp:119
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
base class for Inter-Bank-Offered-Rate indexes
Definition: any.hpp:35