QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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proxyibor.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2010 Ferdinando Ametrano
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
21#include <utility>
22
23namespace QuantLib {
24
25 ProxyIbor::ProxyIbor(const std::string& familyName,
26 const Period& tenor,
27 Natural settlementDays,
28 const Currency& currency,
29 const Calendar& fixingCalendar,
30 BusinessDayConvention convention,
31 bool endOfMonth,
32 const DayCounter& dayCounter,
33 Handle<Quote> gearing,
34 ext::shared_ptr<IborIndex> iborIndex,
35 Handle<Quote> spread)
36 : IborIndex(familyName,
37 tenor,
38 settlementDays,
39 currency,
40 fixingCalendar,
41 convention,
42 endOfMonth,
43 dayCounter),
44 gearing_(std::move(gearing)), iborIndex_(std::move(iborIndex)), spread_(std::move(spread)) {
46 }
47}
calendar class
Definition: calendar.hpp:61
Currency specification
Definition: currency.hpp:36
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
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
Definition: observable.hpp:228
ProxyIbor(const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Handle< Quote > gearing, ext::shared_ptr< IborIndex > iborIndex, Handle< Quote > spread)
Definition: proxyibor.cpp:25
ext::shared_ptr< IborIndex > iborIndex_
Definition: proxyibor.hpp:51
BusinessDayConvention
Business Day conventions.
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
Definition: any.hpp:35
STL namespace.
IborIndex calculated as proxy of some other IborIndex.