eurlibor.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 Ferdinando Ametrano
 Copyright (C) 2006, 2007 Chiara Fornarola
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2005, 2006 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_eur_libor_hpp
#define quantlib_eur_libor_hpp
 
#include <ql/indexes/iborindex.hpp>
 
namespace QuantLib {
 
 
    class EURLibor : public IborIndex {
      public:
        EURLibor(const Period& tenor,
                 const Handle<YieldTermStructure>& h = {});
        Date valueDate(const Date& fixingDate) const override;
        Date maturityDate(const Date& valueDate) const override;
        // @}
      private:
        Calendar target_;
    };
 
 
    class DailyTenorEURLibor : public IborIndex {
      public:
        DailyTenorEURLibor(Natural settlementDays,
                           const Handle<YieldTermStructure>& h = {});
    };
 
    class EURLiborON : public DailyTenorEURLibor {
      public:
        explicit EURLiborON(const Handle<YieldTermStructure>& h = {})
        : DailyTenorEURLibor(0, h) {}
    };
 
    class EURLiborSW : public EURLibor {
      public:
        explicit EURLiborSW(const Handle<YieldTermStructure>& h = {})
        : EURLibor(Period(1, Weeks), h) {}
    };
 
    class EURLibor2W : public EURLibor {
      public:
        explicit EURLibor2W(const Handle<YieldTermStructure>& h = {})
        : EURLibor(Period(2, Weeks), h) {}
    };
 
 
    class EURLibor1M : public EURLibor {
      public:
        explicit EURLibor1M(const Handle<YieldTermStructure>& h = {})
        : EURLibor(Period(1, Months), h) {}
    };
 
    class EURLibor2M : public EURLibor {
      public:
        explicit EURLibor2M(const Handle<YieldTermStructure>& h = {})
        : EURLibor(Period(2, Months), h) {}
    };
 
    class EURLibor3M : public EURLibor {
      public:
        explicit EURLibor3M(const Handle<YieldTermStructure>& h = {})
        : EURLibor(Period(3, Months), h) {}
    };
 
    class EURLibor4M : public EURLibor {
      public:
        explicit EURLibor4M(const Handle<YieldTermStructure>& h = {})
        : EURLibor(Period(4, Months), h) {}
    };
 
    class EURLibor5M : public EURLibor {
      public:
        explicit EURLibor5M(const Handle<YieldTermStructure>& h = {})
        : EURLibor(Period(5, Months), h) {}
    };
 
    class EURLibor6M : public EURLibor {
      public:
        explicit EURLibor6M(const Handle<YieldTermStructure>& h = {})
        : EURLibor(Period(6, Months), h) {}
    };
 
    class EURLibor7M : public EURLibor{
      public:
        explicit EURLibor7M(const Handle<YieldTermStructure>& h = {})
        : EURLibor(Period(7, Months), h) {}
    };
 
    class EURLibor8M : public EURLibor {
      public:
        explicit EURLibor8M(const Handle<YieldTermStructure>& h = {})
        : EURLibor(Period(8, Months), h) {}
    };
 
    class EURLibor9M : public EURLibor {
      public:
        explicit EURLibor9M(const Handle<YieldTermStructure>& h = {})
        : EURLibor(Period(9, Months), h) {}
    };
 
    class EURLibor10M : public EURLibor {
      public:
        explicit EURLibor10M(const Handle<YieldTermStructure>& h = {})
        : EURLibor(Period(10, Months), h) {}
    };
 
    class EURLibor11M : public EURLibor {
      public:
        explicit EURLibor11M(const Handle<YieldTermStructure>& h = {})
        : EURLibor(Period(11, Months), h) {}
    };
 
    class EURLibor1Y : public EURLibor {
      public:
        explicit EURLibor1Y(const Handle<YieldTermStructure>& h = {})
        : EURLibor(Period(1, Years), h) {}
    };
 
 
}
 
#endif