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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
#include <ql/indexes/ibor/custom.hpp>
#include <utility>
namespace QuantLib {
CustomIborIndex::CustomIborIndex(const std::string& familyName,
const Period& tenor,
Natural settlementDays,
const Currency& currency,
const Calendar& fixingCalendar,
Calendar valueCalendar,
Calendar maturityCalendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter,
const Handle<YieldTermStructure>& h)
: IborIndex(familyName, tenor, settlementDays, currency, fixingCalendar,
convention, endOfMonth, dayCounter, h),
valueCalendar_(std::move(valueCalendar)), maturityCalendar_(std::move(maturityCalendar)) {}
Date CustomIborIndex::fixingDate(const Date& valueDate) const {
Date fixingDate = valueCalendar_.advance(valueDate,
-static_cast<Integer>(fixingDays_), Days);
return fixingCalendar().adjust(fixingDate, Preceding);
}
Date CustomIborIndex::valueDate(const Date& fixingDate) const {
QL_REQUIRE(isValidFixingDate(fixingDate),
"Fixing date " << fixingDate << " is not valid");
Date d = valueCalendar_.advance(fixingDate, fixingDays_, Days);
return maturityCalendar_.adjust(d);
}
Date CustomIborIndex::maturityDate(const Date& valueDate) const {
return maturityCalendar_.advance(valueDate, tenor_, convention_,
endOfMonth_);
}
ext::shared_ptr<IborIndex> CustomIborIndex::clone(
const Handle<YieldTermStructure>& h) const {
return ext::make_shared<CustomIborIndex>(
familyName_, tenor_, fixingDays_, currency_, fixingCalendar(),
valueCalendar_, maturityCalendar_, convention_, endOfMonth_,
dayCounter_, h);
}
}
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