QuantLib: a free/open-source library for quantitative finance
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cadlibor.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5 Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
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
21/*! \file cadlibor.hpp
22 \brief %CAD %LIBOR rate
23*/
24
25#ifndef quantlib_cad_libor_hpp
26#define quantlib_cad_libor_hpp
27
32
33namespace QuantLib {
34
35 //! %CAD LIBOR rate
36 /*! Canadian Dollar LIBOR discontinued as of 2013.
37
38 Conventions are taken from a number of sources including
39 OpenGamma "Interest Rate Instruments and Market Conventions
40 Guide", BBG, IKON.
41
42 \warning This is the rate fixed in London by BBA. Use CDOR if
43 you're interested in the Canadian fixing by IDA.
44 */
45 class CADLibor : public Libor {
46 public:
48 const Handle<YieldTermStructure>& h = {})
49 : Libor("CADLibor", tenor,
50 0,
52 Canada(),
53 Actual365Fixed(), h) {}
54 };
55
56 //! Overnight %CAD %Libor index
57 class CADLiborON : public DailyTenorLibor {
58 public:
59 explicit CADLiborON(const Handle<YieldTermStructure>& h = {})
60 : DailyTenorLibor("CADLibor",
61 0,
63 Canada(),
64 Actual365Fixed(), h) {}
65 };
66
67}
68
69#endif
Actual/365 (Fixed) day counter.
American currencies.
Canadian calendar.
Actual/365 (Fixed) day count convention.
Canadian dollar.
Definition: america.hpp:68
CAD LIBOR rate
Definition: cadlibor.hpp:45
CADLibor(const Period &tenor, const Handle< YieldTermStructure > &h={})
Definition: cadlibor.hpp:47
Overnight CAD Libor index.
Definition: cadlibor.hpp:57
CADLiborON(const Handle< YieldTermStructure > &h={})
Definition: cadlibor.hpp:59
Canadian calendar.
Definition: canada.hpp:73
base class for all O/N-S/N BBA LIBOR indexes but the EUR ones
Definition: libor.hpp:73
Shared handle to an observable.
Definition: handle.hpp:41
base class for all ICE LIBOR indexes but the EUR, O/N, and S/N ones
Definition: libor.hpp:38
base class for BBA LIBOR indexes
Definition: any.hpp:35