1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006, 2008, 2009 StatPro Italia srl
Copyright (C) 2009 Ferdinando Ametrano
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/iborindex.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
IborIndex::IborIndex(const std::string& familyName,
const Period& tenor,
Natural settlementDays,
const Currency& currency,
const Calendar& fixingCalendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter,
const Handle<YieldTermStructure>& h)
: InterestRateIndex(familyName, tenor, settlementDays, currency,
fixingCalendar, dayCounter),
convention_(convention), termStructure_(h), endOfMonth_(endOfMonth) {
registerWith(termStructure_);
}
Rate IborIndex::forecastFixing(const Date& fixingDate) const {
Date d1 = valueDate(fixingDate);
Date d2 = maturityDate(d1);
Time t = dayCounter_.yearFraction(d1, d2);
QL_REQUIRE(t>0.0,
"\n cannot calculate forward rate between " <<
d1 << " and " << d2 <<
":\n non positive time (" << t <<
") using " << dayCounter_.name() << " daycounter");
return forecastFixing(d1, d2, t);
}
Date IborIndex::maturityDate(const Date& valueDate) const {
return fixingCalendar().advance(valueDate,
tenor_,
convention_,
endOfMonth_);
}
BusinessDayConvention IborIndex::businessDayConvention() const {
return convention_;
}
Handle<YieldTermStructure> IborIndex::forwardingTermStructure() const {
return termStructure_;
}
boost::shared_ptr<IborIndex> IborIndex::clone(
const Handle<YieldTermStructure>& h) const {
return boost::shared_ptr<IborIndex>(
new IborIndex(familyName(),
tenor(),
fixingDays(),
currency(),
fixingCalendar(),
businessDayConvention(),
endOfMonth(),
dayCounter(),
h));
}
OvernightIndex::OvernightIndex(const std::string& familyName,
Natural settlementDays,
const Currency& curr,
const Calendar& fixCal,
const DayCounter& dc,
const Handle<YieldTermStructure>& h)
: IborIndex(familyName, 1*Days, settlementDays, curr,
fixCal, Following, false, dc, h) {}
boost::shared_ptr<IborIndex> OvernightIndex::clone(
const Handle<YieldTermStructure>& h) const {
return boost::shared_ptr<IborIndex>(
new OvernightIndex(familyName(),
fixingDays(),
currency(),
fixingCalendar(),
dayCounter(),
h));
}
}
|
