robor.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
Copyright (C) 2018 Matthias Lungwitz
 
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
 
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license.  You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
 
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file robor.hpp
\brief %ROBOR rate
*/
 
#ifndef quantlib_robor_hpp
#define quantlib_robor_hpp
 
#include <ql/indexes/iborindex.hpp>
#include <ql/time/calendars/romania.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/currencies/europe.hpp>
 
namespace QuantLib {
 
    //! %ROBOR rate
    /*! Romanian Interbank Offered Rate fixed by BNR.
 
    Conventions are taken from
    http://www.bnr.ro/files/d/Legislatie/En/RRR.pdf
 
    \warning Roll convention and EoM not yet checked.
    */
    class Robor : public IborIndex {
    public:
        Robor(const Period& tenor,
              const Handle<YieldTermStructure>& h = {})
            : IborIndex("ROBOR", tenor, (tenor == 1 * Days ? 0 : 2), RONCurrency(),
                Romania(), ModifiedFollowing, false,
                Actual360(), h) {}
    };
 
}
 
 
#endif