Logo Search packages:      
Sourcecode: quantlib version File versions  Download package

tibor.hpp

Go to the documentation of this file.
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2005 StatPro Italia srl

 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/reference/license.html>.

 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.
*/

/*! \file tibor.hpp
    \brief %JPY %TIBOR rate
*/

#ifndef quantlib_tibor_hpp
#define quantlib_tibor_hpp

#include <ql/Indexes/xibor.hpp>
#include <ql/Calendars/japan.hpp>
#include <ql/DayCounters/actual365fixed.hpp>
#include <ql/Currencies/asia.hpp>

namespace QuantLib {

    //! %JPY %TIBOR index
    /*! Tokyo Interbank Offered Rate.

        \warning This is the rate fixed in Tokio by JBA. Use JPYLibor
                 if you're interested in the London fixing by BBA.

        \todo check settlement days.
    */
00042     class Tibor : public Xibor {
      public:
        #ifndef QL_DISABLE_DEPRECATED
        /*! \deprecated use the Period-based constructor */
00046         Tibor(Integer n, TimeUnit units,
              const Handle<YieldTermStructure>& h,
              const DayCounter& dc = Actual365Fixed())
        : Xibor("Tibor", n, units, 2, JPYCurrency(),
                Japan(), ModifiedFollowing, dc, h) {}
        #endif
        Tibor(const Period& tenor,
              const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Xibor("Tibor", tenor, 2, JPYCurrency(),
                Japan(), ModifiedFollowing, Actual365Fixed(), h) {}
    };

}


#endif

Generated by  Doxygen 1.6.0   Back to index