QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
indexes
swap
eurliborswap.hpp
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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) 2008, 2009 Ferdinando Ametrano
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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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/*! \file eurliborswap.hpp
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\brief %EUR %Libor %Swap indexes
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*/
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#ifndef quantlib_eurliborswap_hpp
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#define quantlib_eurliborswap_hpp
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#include <
ql/indexes/swapindex.hpp
>
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namespace
QuantLib
{
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//! %EurLiborSwapIsdaFixA index base class
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/*! %EUR %Libor %Swap indexes fixed by ISDA in cooperation with
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Reuters and Intercapital Brokers at 10am London.
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Annual 30/360 vs 6M Libor, 1Y vs 3M Libor.
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Reuters page ISDAFIX2 or EURSFIXLA=.
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Further info can be found at <http://www.isda.org/fix/isdafix.html> or
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Reuters page ISDAFIX.
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*/
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class
EurLiborSwapIsdaFixA
:
public
SwapIndex
{
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public
:
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EurLiborSwapIsdaFixA
(
const
Period
&
tenor
,
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const
Handle<YieldTermStructure>
& h = {});
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EurLiborSwapIsdaFixA
(
const
Period
&
tenor
,
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const
Handle<YieldTermStructure>
& forwarding,
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const
Handle<YieldTermStructure>
& discounting);
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};
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//! %EurLiborSwapIsdaFixB index base class
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/*! %EUR %Libor %Swap indexes fixed by ISDA in cooperation with
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Reuters and Intercapital Brokers at 11am London.
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Annual 30/360 vs 6M Libor, 1Y vs 3M Libor.
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Reuters page ISDAFIX2 or EURSFIXLB=.
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Further info can be found at <http://www.isda.org/fix/isdafix.html> or
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Reuters page ISDAFIX.
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*/
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class
EurLiborSwapIsdaFixB
:
public
SwapIndex
{
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public
:
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EurLiborSwapIsdaFixB
(
const
Period
&
tenor
,
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const
Handle<YieldTermStructure>
& h = {});
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EurLiborSwapIsdaFixB
(
const
Period
&
tenor
,
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const
Handle<YieldTermStructure>
& forwarding,
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const
Handle<YieldTermStructure>
& discounting);
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};
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//! %EurLiborSwapIfrFix index base class
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/*! %EUR %Libor %Swap indexes published by IFR Markets and
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distributed by Reuters page TGM42281 and by Telerate.
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Annual 30/360 vs 6M Libor, 1Y vs 3M Libor.
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For more info see <http://www.ifrmarkets.com>.
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*/
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class
EurLiborSwapIfrFix
:
public
SwapIndex
{
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public
:
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EurLiborSwapIfrFix
(
const
Period
&
tenor
,
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const
Handle<YieldTermStructure>
& h = {});
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EurLiborSwapIfrFix
(
const
Period
&
tenor
,
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const
Handle<YieldTermStructure>
& forwarding,
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const
Handle<YieldTermStructure>
& discounting);
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};
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}
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#endif
QuantLib::EurLiborSwapIfrFix
EurLiborSwapIfrFix index base class
Definition:
eurliborswap.hpp:77
QuantLib::EurLiborSwapIsdaFixA
EurLiborSwapIsdaFixA index base class
Definition:
eurliborswap.hpp:41
QuantLib::EurLiborSwapIsdaFixB
EurLiborSwapIsdaFixB index base class
Definition:
eurliborswap.hpp:60
QuantLib::Handle
Shared handle to an observable.
Definition:
handle.hpp:41
QuantLib::InterestRateIndex::tenor
Period tenor() const
Definition:
interestrateindex.hpp:62
QuantLib::Period
Definition:
period.hpp:44
QuantLib::SwapIndex
base class for swap-rate indexes
Definition:
swapindex.hpp:41
QuantLib
Definition:
any.hpp:35
swapindex.hpp
swap-rate indexes
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