QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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gbpliborswap.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2006, 2007, 2008, 2011 Ferdinando Ametrano
5 Copyright (C) 2006 Chiara Fornarola
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
26
27namespace QuantLib {
28
30 const Period& tenor,
32 : SwapIndex("GbpLiborSwapIsdaFix", // familyName
33 tenor,
34 0, // settlementDays
37 tenor > 1*Years ? // fixedLegTenor
38 6*Months : 1*Years,
39 ModifiedFollowing, // fixedLegConvention
40 Actual365Fixed(), // fixedLegDaycounter
41 tenor > 1*Years ?
42 ext::shared_ptr<IborIndex>(new GBPLibor(6*Months, h)) :
43 ext::shared_ptr<IborIndex>(new GBPLibor(3*Months, h))) {}
44
46 const Period& tenor,
47 const Handle<YieldTermStructure>& forwarding,
48 const Handle<YieldTermStructure>& discounting)
49 : SwapIndex("GbpLiborSwapIsdaFix", // familyName
50 tenor,
51 0, // settlementDays
54 tenor > 1*Years ? // fixedLegTenor
55 6*Months : 1*Years,
56 ModifiedFollowing, // fixedLegConvention
57 Actual365Fixed(), // fixedLegDaycounter
58 tenor > 1*Years ?
59 ext::shared_ptr<IborIndex>(new GBPLibor(6*Months, forwarding)) :
60 ext::shared_ptr<IborIndex>(new GBPLibor(3*Months, forwarding)),
61 discounting) {}
62
63}
Actual/365 (Fixed) day counter.
Actual/365 (Fixed) day count convention.
British pound sterling.
Definition: europe.hpp:134
GBP LIBOR rate
Definition: gbplibor.hpp:40
GbpLiborSwapIsdaFix(const Period &tenor, const Handle< YieldTermStructure > &h={})
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
base class for swap-rate indexes
Definition: swapindex.hpp:41
United Kingdom calendars.
European currencies.
GBP LIBOR rate
GBP Libor Swap indexes
Definition: any.hpp:35
TARGET calendar.