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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2007, 2008 Ferdinando Ametrano
Copyright (C) 2006 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/swap/eurliborswap.hpp>
#include <ql/indexes/ibor/eurlibor.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <ql/currencies/europe.hpp>
using boost::shared_ptr;
namespace QuantLib {
EurLiborSwapIsdaFixA::EurLiborSwapIsdaFixA(
const Period& tenor,
const Handle<YieldTermStructure>& h)
: SwapIndex("EurLiborSwapIsdaFixA", // familyName
tenor,
2, // settlementDays
EURCurrency(),
TARGET(),
1*Years, // fixedLegTenor
ModifiedFollowing, // fixedLegConvention
Thirty360(Thirty360::BondBasis), // fixedLegDaycounter
tenor > 1*Years ?
shared_ptr<IborIndex>(new EURLibor(6*Months, h)) :
shared_ptr<IborIndex>(new EURLibor(3*Months, h))) {}
EurLiborSwapIsdaFixA::EurLiborSwapIsdaFixA(
const Period& tenor,
const Handle<YieldTermStructure>& forwarding,
const Handle<YieldTermStructure>& discounting)
: SwapIndex("EurLiborSwapIsdaFixA", // familyName
tenor,
2, // settlementDays
EURCurrency(),
TARGET(),
1*Years, // fixedLegTenor
ModifiedFollowing, // fixedLegConvention
Thirty360(Thirty360::BondBasis), // fixedLegDaycounter
tenor > 1*Years ?
shared_ptr<IborIndex>(new EURLibor(6*Months, forwarding)) :
shared_ptr<IborIndex>(new EURLibor(3*Months, forwarding)),
discounting) {}
EurLiborSwapIsdaFixB::EurLiborSwapIsdaFixB(
const Period& tenor,
const Handle<YieldTermStructure>& h)
: SwapIndex("EurLiborSwapIsdaFixB", // familyName
tenor,
2, // settlementDays
EURCurrency(),
TARGET(),
1*Years, // fixedLegTenor
ModifiedFollowing, // fixedLegConvention
Thirty360(Thirty360::BondBasis), // fixedLegDaycounter
tenor > 1*Years ?
shared_ptr<IborIndex>(new EURLibor(6*Months, h)) :
shared_ptr<IborIndex>(new EURLibor(3*Months, h))) {}
EurLiborSwapIsdaFixB::EurLiborSwapIsdaFixB(
const Period& tenor,
const Handle<YieldTermStructure>& forwarding,
const Handle<YieldTermStructure>& discounting)
: SwapIndex("EurLiborSwapIsdaFixB", // familyName
tenor,
2, // settlementDays
EURCurrency(),
TARGET(),
1*Years, // fixedLegTenor
ModifiedFollowing, // fixedLegConvention
Thirty360(Thirty360::BondBasis), // fixedLegDaycounter
tenor > 1*Years ?
shared_ptr<IborIndex>(new EURLibor(6*Months, forwarding)) :
shared_ptr<IborIndex>(new EURLibor(3*Months, forwarding)),
discounting) {}
EurLiborSwapIfrFix::EurLiborSwapIfrFix(
const Period& tenor,
const Handle<YieldTermStructure>& h)
: SwapIndex("EurLiborSwapIfrFix", // familyName
tenor,
2, // settlementDays
EURCurrency(),
TARGET(),
1*Years, // fixedLegTenor
ModifiedFollowing, // fixedLegConvention
Thirty360(Thirty360::BondBasis), // fixedLegDaycounter
tenor > 1*Years ?
shared_ptr<IborIndex>(new EURLibor(6*Months, h)) :
shared_ptr<IborIndex>(new EURLibor(3*Months, h))) {}
EurLiborSwapIfrFix::EurLiborSwapIfrFix(
const Period& tenor,
const Handle<YieldTermStructure>& forwarding,
const Handle<YieldTermStructure>& discounting)
: SwapIndex("EurLiborSwapIfrFix", // familyName
tenor,
2, // settlementDays
EURCurrency(),
TARGET(),
1*Years, // fixedLegTenor
ModifiedFollowing, // fixedLegConvention
Thirty360(Thirty360::BondBasis), // fixedLegDaycounter
tenor > 1*Years ?
shared_ptr<IborIndex>(new EURLibor(6*Months, forwarding)) :
shared_ptr<IborIndex>(new EURLibor(3*Months, forwarding)),
discounting) {}
}
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