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eurliborswapfixb.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 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/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 eurliborswapfixb.hpp
    \brief %eurliborswapfixb index
*/

#ifndef quantlib_eurliborswapfixb_hpp
#define quantlib_eurliborswapfixb_hpp

#include <ql/Indexes/swapindex.hpp>
#include <ql/Indexes/eurlibor.hpp>
#include <ql/Indexes/libor.hpp>
#include <ql/Calendars/target.hpp>
#include <ql/DayCounters/thirty360.hpp>
#include <ql/Currencies/europe.hpp>

namespace QuantLib {

    //! %EurliborSwapFixB index
    /*! EurliborSwapFixB rate fixed by ISDA in cooperation with
        Reuters and Intercapital Brokers.  The swap index is based on
        the EuroLibor 6M and is fixed at 11:00AM London.  Reuters page
        ISDAFIX2 or EURSFIXLB= Further info can be found at:
        <http://www.isda.org/fix/isdafix.html>.
    */
00043     class EurliborSwapFixB : public SwapIndex {
      public:
        EurliborSwapFixB(Integer years,
                         const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : SwapIndex("EurliborSwapFixB", // familyName
                    years,
                    2, // settlementDays
                    EURCurrency(),
                    TARGET(),
                    Annual, // fixedLegFrequency
                    Unadjusted, // fixedLegConvention
                    Thirty360(Thirty360::BondBasis), // fixedLegDaycounter
                    boost::shared_ptr<Xibor>(new EURLibor6M(h))) {}
    };



    //! 1-year %EurliborSwapFixB index
00062     class EurliborSwapFixB1Y : public EurliborSwapFixB {
      public:
        EurliborSwapFixB1Y(const Handle<YieldTermStructure>& h)
        : EurliborSwapFixB(1,h) {}
    };

    //! 2-year %EurliborSwapFixB index
00069     class EurliborSwapFixB2Y : public EurliborSwapFixB {
      public:
        EurliborSwapFixB2Y(const Handle<YieldTermStructure>& h)
        : EurliborSwapFixB(2,h) {}
    };

    //! 3-year %EurliborSwapFixB index
00076     class EurliborSwapFixB3Y : public EurliborSwapFixB {
      public:
        EurliborSwapFixB3Y(const Handle<YieldTermStructure>& h)
        : EurliborSwapFixB(3,h) {}
    };

    //! 4-year %EurliborSwapFixB index
00083     class EurliborSwapFixB4Y : public EurliborSwapFixB {
      public:
        EurliborSwapFixB4Y(const Handle<YieldTermStructure>& h)
        : EurliborSwapFixB(4,h) {}
    };

    //! 5-year %EurliborSwapFixB index
00090     class EurliborSwapFixB5Y : public EurliborSwapFixB {
      public:
        EurliborSwapFixB5Y(const Handle<YieldTermStructure>& h)
        : EurliborSwapFixB(5,h) {}
    };

    //! 6-year %EurliborSwapFixB index
00097     class EurliborSwapFixB6Y : public EurliborSwapFixB {
      public:
        EurliborSwapFixB6Y(const Handle<YieldTermStructure>& h)
        : EurliborSwapFixB(6,h) {}
    };

    //! 7-year %EurliborSwapFixB index
00104     class EurliborSwapFixB7Y : public EurliborSwapFixB {
      public:
        EurliborSwapFixB7Y(const Handle<YieldTermStructure>& h)
        : EurliborSwapFixB(7,h) {}
    };

    //! 8-year %EurliborSwapFixB index
00111     class EurliborSwapFixB8Y : public EurliborSwapFixB {
      public:
        EurliborSwapFixB8Y(const Handle<YieldTermStructure>& h)
        : EurliborSwapFixB(8,h) {}
    };

    //! 9-year %EurliborSwapFixB index
00118     class EurliborSwapFixB9Y : public EurliborSwapFixB {
      public:
        EurliborSwapFixB9Y(const Handle<YieldTermStructure>& h)
        : EurliborSwapFixB(9,h) {}
    };

    //! 10-year %EurliborSwapFixB index
00125     class EurliborSwapFixB10Y : public EurliborSwapFixB {
      public:
        EurliborSwapFixB10Y(const Handle<YieldTermStructure>& h)
        : EurliborSwapFixB(10,h) {}
    };

    //! 12-year %EurliborSwapFixB index
00132     class EurliborSwapFixB12Y : public EurliborSwapFixB {
      public:
        EurliborSwapFixB12Y(const Handle<YieldTermStructure>& h)
        : EurliborSwapFixB(12,h) {}
    };

    //! 15-year %EurliborSwapFixB index
00139     class EurliborSwapFixB15Y : public EurliborSwapFixB {
      public:
        EurliborSwapFixB15Y(const Handle<YieldTermStructure>& h)
        : EurliborSwapFixB(15,h) {}
    };

    //! 20-year %EurliborSwapFixB index
00146     class EurliborSwapFixB20Y : public EurliborSwapFixB {
      public:
        EurliborSwapFixB20Y(const Handle<YieldTermStructure>& h)
        : EurliborSwapFixB(20,h) {}
    };

    //! 25-year %EurliborSwapFixB index
00153     class EurliborSwapFixB25Y : public EurliborSwapFixB {
      public:
        EurliborSwapFixB25Y(const Handle<YieldTermStructure>& h)
        : EurliborSwapFixB(25,h) {}
    };

    //! 30-year %EurliborSwapFixB index
00160     class EurliborSwapFixB30Y : public EurliborSwapFixB {
      public:
        EurliborSwapFixB30Y(const Handle<YieldTermStructure>& h)
        : EurliborSwapFixB(30,h) {}
    };

}


#endif

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