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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2007, 2008, 2011 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/gbpliborswap.hpp>
#include <ql/indexes/ibor/gbplibor.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <ql/currencies/europe.hpp>
using boost::shared_ptr;
namespace QuantLib {
GbpLiborSwapIsdaFix::GbpLiborSwapIsdaFix(
const Period& tenor,
const Handle<YieldTermStructure>& h)
: SwapIndex("GbpLiborSwapIsdaFix", // familyName
tenor,
0, // settlementDays
GBPCurrency(),
TARGET(),
tenor > 1*Years ? // fixedLegTenor
6*Months : 1*Years,
ModifiedFollowing, // fixedLegConvention
Actual365Fixed(), // fixedLegDaycounter
tenor > 1*Years ?
shared_ptr<IborIndex>(new GBPLibor(6*Months, h)) :
shared_ptr<IborIndex>(new GBPLibor(3*Months, h))) {}
GbpLiborSwapIsdaFix::GbpLiborSwapIsdaFix(
const Period& tenor,
const Handle<YieldTermStructure>& forwarding,
const Handle<YieldTermStructure>& discounting)
: SwapIndex("GbpLiborSwapIsdaFix", // familyName
tenor,
0, // settlementDays
GBPCurrency(),
TARGET(),
tenor > 1*Years ? // fixedLegTenor
6*Months : 1*Years,
ModifiedFollowing, // fixedLegConvention
Actual365Fixed(), // fixedLegDaycounter
tenor > 1*Years ?
shared_ptr<IborIndex>(new GBPLibor(6*Months, forwarding)) :
shared_ptr<IborIndex>(new GBPLibor(3*Months, forwarding)),
discounting) {}
}
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