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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
Copyright (C) 2005, 2006, 2008 StatPro Italia srl
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/libor.hpp>
#include <ql/time/calendars/jointcalendar.hpp>
#include <ql/time/calendars/unitedkingdom.hpp>
#include <ql/currencies/europe.hpp>
namespace QuantLib {
namespace {
BusinessDayConvention liborConvention(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 liborEOM(const Period& p) {
switch (p.units()) {
case Days:
case Weeks:
return false;
case Months:
case Years:
return true;
default:
QL_FAIL("invalid time units");
}
}
}
Libor::Libor(const std::string& familyName,
const Period& tenor,
Natural settlementDays,
const Currency& currency,
const Calendar& financialCenterCalendar,
const DayCounter& dayCounter,
const Handle<YieldTermStructure>& h)
: IborIndex(familyName, tenor, settlementDays, currency,
// http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
// UnitedKingdom::Exchange is the fixing calendar for
// a) all currencies but EUR
// b) all indexes but o/n and s/n
UnitedKingdom(UnitedKingdom::Exchange),
liborConvention(tenor), liborEOM(tenor),
dayCounter, h),
financialCenterCalendar_(financialCenterCalendar),
jointCalendar_(JointCalendar(UnitedKingdom(UnitedKingdom::Exchange),
financialCenterCalendar,
JoinHolidays)) {
QL_REQUIRE(this->tenor().units()!=Days,
"for daily tenors (" << this->tenor() <<
") dedicated DailyTenor constructor must be used");
QL_REQUIRE(currency!=EURCurrency(),
"for EUR Libor dedicated EurLibor constructor must be used");
}
Date Libor::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 :
// For all currencies other than EUR and GBP the period between
// Fixing Date and Value Date will be two London business days
// after the Fixing Date, or if that day is not both a London
// business day and a business day in the principal financial centre
// of the currency concerned, the next following day which is a
// business day in both centres shall be the Value Date.
Date d = fixingCalendar().advance(fixingDate, fixingDays_, Days);
return jointCalendar_.adjust(d);
}
Date Libor::maturityDate(const Date& valueDate) const {
// Where a deposit is made on the final business day of a
// particular calendar month, the maturity of the deposit shall
// be on the final business day of the month in which it matures
// (not the corresponding date in the month of maturity). Or in
// other words, in line with market convention, BBA LIBOR rates
// are dealt on an end-end basis. For instance a one month
// deposit for value 28th February would mature on 31st March,
// not the 28th of March.
return jointCalendar_.advance(valueDate, tenor_, convention_,
endOfMonth());
}
DailyTenorLibor::DailyTenorLibor(
const std::string& familyName,
Natural settlementDays,
const Currency& currency,
const Calendar& financialCenterCalendar,
const DayCounter& dayCounter,
const Handle<YieldTermStructure>& h)
: IborIndex(familyName, 1*Days, settlementDays, currency,
// 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.
JointCalendar(UnitedKingdom(UnitedKingdom::Exchange),
financialCenterCalendar,
JoinHolidays),
liborConvention(1*Days), liborEOM(1*Days),
dayCounter, h) {
QL_REQUIRE(currency!=EURCurrency(),
"for EUR Libor dedicated EurLibor constructor must be used");
}
boost::shared_ptr<IborIndex> Libor::clone(
const Handle<YieldTermStructure>& h) const {
return boost::shared_ptr<IborIndex>(new Libor(familyName(),
tenor(),
fixingDays(),
currency(),
financialCenterCalendar_,
dayCounter(),
h));
}
}
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