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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 Cheng Li
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
<https://www.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/shibor.hpp>
#include <ql/currencies/asia.hpp>
#include <ql/time/calendars/china.hpp>
#include <ql/time/daycounters/actual360.hpp>
namespace QuantLib {
namespace {
BusinessDayConvention shiborConvention(const Period& p) {
switch (p.units()) {
case Days:
case Weeks:
return Following;
case Months:
case Years:
return ModifiedFollowing;
default:
QL_FAIL("invalid time units");
}
}
}
Shibor::Shibor(const Period& tenor,
const Handle<YieldTermStructure>& h)
: IborIndex("Shibor", tenor, (tenor == 1*Days? 0 : 1), CNYCurrency(),
China(China::IB), shiborConvention(tenor), false,
Actual360(), h) {}
ext::shared_ptr<IborIndex> Shibor::clone(
const Handle<YieldTermStructure>& h) const {
return ext::shared_ptr<IborIndex>(new Shibor(tenor(), h));
}
}
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