QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
indexes
swap
chfliborswap.cpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2006, 2007, 2008, 2011 Ferdinando Ametrano
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Copyright (C) 2006 Chiara Fornarola
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#include <
ql/indexes/swap/chfliborswap.hpp
>
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#include <
ql/indexes/ibor/chflibor.hpp
>
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#include <
ql/time/calendars/target.hpp
>
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#include <
ql/time/daycounters/thirty360.hpp
>
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#include <
ql/currencies/europe.hpp
>
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namespace
QuantLib
{
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ChfLiborSwapIsdaFix::ChfLiborSwapIsdaFix
(
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const
Period
& tenor,
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const
Handle<YieldTermStructure>
& h)
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:
SwapIndex
(
"ChfLiborSwapIsdaFix"
,
// familyName
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tenor,
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2,
// settlementDays
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CHFCurrency
(),
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TARGET
(),
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1*
Years
,
// fixedLegTenor
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ModifiedFollowing
,
// fixedLegConvention
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Thirty360
(
Thirty360
::BondBasis),
// fixedLegDaycounter
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tenor > 1*
Years
?
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ext::shared_ptr<
IborIndex
>(new
CHFLibor
(6*
Months
, h)) :
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ext::shared_ptr<
IborIndex
>(new
CHFLibor
(3*
Months
, h))) {}
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ChfLiborSwapIsdaFix::ChfLiborSwapIsdaFix
(
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const
Period
& tenor,
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const
Handle<YieldTermStructure>
& forwarding,
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const
Handle<YieldTermStructure>
& discounting)
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:
SwapIndex
(
"ChfLiborSwapIsdaFix"
,
// familyName
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tenor,
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2,
// settlementDays
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CHFCurrency
(),
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TARGET
(),
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1*
Years
,
// fixedLegTenor
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ModifiedFollowing
,
// fixedLegConvention
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Thirty360
(
Thirty360
::BondBasis),
// fixedLegDaycounter
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tenor > 1*
Years
?
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ext::shared_ptr<
IborIndex
>(new
CHFLibor
(6*
Months
, forwarding)) :
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ext::shared_ptr<
IborIndex
>(new
CHFLibor
(3*
Months
, forwarding)),
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discounting) {}
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}
chflibor.hpp
CHF LIBOR rate
chfliborswap.hpp
CHF Libor Swap indexes
QuantLib::CHFCurrency
Swiss franc.
Definition:
europe.hpp:79
QuantLib::CHFLibor
CHF LIBOR rate
Definition:
chflibor.hpp:43
QuantLib::ChfLiborSwapIsdaFix::ChfLiborSwapIsdaFix
ChfLiborSwapIsdaFix(const Period &tenor, const Handle< YieldTermStructure > &h={})
Definition:
chfliborswap.cpp:29
QuantLib::Handle
Shared handle to an observable.
Definition:
handle.hpp:41
QuantLib::IborIndex
base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)
Definition:
iborindex.hpp:35
QuantLib::Period
Definition:
period.hpp:44
QuantLib::SwapIndex
base class for swap-rate indexes
Definition:
swapindex.hpp:41
QuantLib::TARGET
TARGET calendar
Definition:
target.hpp:50
QuantLib::Thirty360
30/360 day count convention
Definition:
thirty360.hpp:76
europe.hpp
European currencies.
QuantLib::Months
@ Months
Definition:
timeunit.hpp:39
QuantLib::Years
@ Years
Definition:
timeunit.hpp:40
QuantLib::ModifiedFollowing
@ ModifiedFollowing
Definition:
businessdayconvention.hpp:45
QuantLib
Definition:
any.hpp:35
target.hpp
TARGET calendar.
thirty360.hpp
30/360 day counters
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