QuantLib: a free/open-source library for quantitative finance
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zibor.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2005 StatPro Italia srl
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file zibor.hpp
21 \brief %CHF %ZIBOR rate
22*/
23
24#ifndef quantlib_zibor_hpp
25#define quantlib_zibor_hpp
26
31
32namespace QuantLib {
33
34 //! %CHF %ZIBOR rate
35 /*! Zurich Interbank Offered Rate.
36
37 \warning This is the rate fixed in Zurich by BBA. Use CHFLibor if
38 you're interested in the London fixing by BBA.
39
40 \todo check settlement days, end-of-month adjustment,
41 and day-count convention.
42 */
43 class Zibor : public IborIndex {
44 public:
46 const Handle<YieldTermStructure>& h = {})
47 : IborIndex("Zibor", tenor, 2, CHFCurrency(),
49 Actual360(), h) {}
50 };
51
52}
53
54
55#endif
act/360 day counter
Actual/360 day count convention.
Definition: actual360.hpp:37
Swiss franc.
Definition: europe.hpp:79
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
Swiss calendar.
Definition: switzerland.hpp:50
CHF ZIBOR rate
Definition: zibor.hpp:43
Zibor(const Period &tenor, const Handle< YieldTermStructure > &h={})
Definition: zibor.hpp:45
European currencies.
base class for Inter-Bank-Offered-Rate indexes
Definition: any.hpp:35
Swiss calendar.