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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/eurlibor.hpp>
#include <ql/time/calendars/jointcalendar.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/calendars/unitedkingdom.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/currencies/europe.hpp>
namespace QuantLib {
namespace {
BusinessDayConvention eurliborConvention(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 eurliborEOM(const Period& p) {
switch (p.units()) {
case Days:
case Weeks:
return false;
case Months:
case Years:
return true;
default:
QL_FAIL("invalid time units");
}
}
}
EURLibor::EURLibor(const Period& tenor,
const Handle<YieldTermStructure>& h)
: IborIndex("EURLibor", tenor,
2,
EURCurrency(),
// http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
// JoinBusinessDays is the fixing calendar for
// all indexes but o/n
JointCalendar(UnitedKingdom(UnitedKingdom::Exchange),
TARGET(),
JoinBusinessDays),
eurliborConvention(tenor), eurliborEOM(tenor),
Actual360(), h),
target_(TARGET()) {
QL_REQUIRE(this->tenor().units()!=Days,
"for daily tenors (" << this->tenor() <<
") dedicated DailyTenor constructor must be used");
}
Date EURLibor::valueDate(const Date& fixingDate) const {
QL_REQUIRE(isValidFixingDate(fixingDate),
"Fixing date " << fixingDate << " is not valid");
// http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
// In the case of EUR the Value Date shall be two TARGET
// business days after the Fixing Date.
return target_.advance(fixingDate, fixingDays_, Days);
}
Date EURLibor::maturityDate(const Date& valueDate) const {
// http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
// In the case of EUR only, maturity dates will be based on days in
// which the Target system is open.
return target_.advance(valueDate, tenor_, convention_, endOfMonth());
}
DailyTenorEURLibor::DailyTenorEURLibor(Natural settlementDays,
const Handle<YieldTermStructure>& h)
: IborIndex("EURLibor", 1*Days,
settlementDays,
EURCurrency(),
// http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
// no o/n or s/n fixings (as the case may be) will take place
// when the principal centre of the currency concerned is
// closed but London is open on the fixing day.
TARGET(),
eurliborConvention(1*Days), eurliborEOM(1*Days),
Actual360(), h) {}
}
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