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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2007 Chiara Fornarola
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.
*/
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <ql/currencies/europe.hpp>
namespace QuantLib {
namespace {
BusinessDayConvention euriborConvention(const Period& p) {
switch (p.units()) {
case Days:
case Weeks:
return Following;
case Months:
case Years:
return ModifiedFollowing;
default:
QL_FAIL("invalid time units");
}
}
bool euriborEOM(const Period& p) {
switch (p.units()) {
case Days:
case Weeks:
return false;
case Months:
case Years:
return true;
default:
QL_FAIL("invalid time units");
}
}
}
Euribor::Euribor(const Period& tenor,
const Handle<YieldTermStructure>& h)
: IborIndex("Euribor", tenor,
2, // settlement days
EURCurrency(), TARGET(),
euriborConvention(tenor), euriborEOM(tenor),
Actual360(), h) {
QL_REQUIRE(this->tenor().units()!=Days,
"for daily tenors (" << this->tenor() <<
") dedicated DailyTenor constructor must be used");
}
Euribor365::Euribor365(const Period& tenor,
const Handle<YieldTermStructure>& h)
: IborIndex("Euribor365", tenor,
2, // settlement days
EURCurrency(), TARGET(),
euriborConvention(tenor), euriborEOM(tenor),
Actual365Fixed(), h) {
QL_REQUIRE(this->tenor().units()!=Days,
"for daily tenors (" << this->tenor() <<
") dedicated DailyTenor constructor must be used");
}
}
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