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euribor.hpp

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/* -*- 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 StatPro Italia srl
 Copyright (C) 2006 Katiuscia Manzoni
 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/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.
*/

/*! \file euribor.hpp
    \brief %Euribor index
*/

#ifndef quantlib_euribor_hpp
#define quantlib_euribor_hpp

#include <ql/indexes/iborindex.hpp>

namespace QuantLib {

    //! %Euribor index
    /*! Euribor rate fixed by the ECB.

        \warning This is the rate fixed by the ECB. Use EurLibor
                 if you're interested in the London fixing by BBA.
    */
00040     class Euribor : public IborIndex {
      public:
        Euribor(const Period& tenor,
                const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>());
    };


    //! Actual/365 %Euribor index
    /*! Euribor rate adjusted for the mismatch between the actual/360
        convention used for Euribor and the actual/365 convention
        previously used by a few pre-EUR currencies.
    */
00053     class Euribor365 : public IborIndex {
      public:
        Euribor365(const Period& tenor,
                   const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>());
    };


    //! 1-week %Euribor index
00062     class EuriborSW : public Euribor {
      public:
        EuriborSW(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(1, Weeks), h) {}
    };

    //! 2-weeks %Euribor index
00070     class Euribor2W : public Euribor {
      public:
        Euribor2W(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(2, Weeks), h) {}
    };

    //! 3-weeks %Euribor index
00078     class Euribor3W : public Euribor {
      public:
        Euribor3W(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(3, Weeks), h) {}
    };

    //! 1-month %Euribor index
00086     class Euribor1M : public Euribor {
      public:
        Euribor1M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(1, Months), h) {}
    };

    //! 2-months %Euribor index
00094     class Euribor2M : public Euribor {
      public:
        Euribor2M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(2, Months), h) {}
    };

    //! 3-months %Euribor index
00102     class Euribor3M : public Euribor {
      public:
        Euribor3M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(3, Months), h) {}
    };

    //! 4-months %Euribor index
00110     class Euribor4M : public Euribor {
      public:
        Euribor4M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(4, Months), h) {}
    };

    //! 5-months %Euribor index
00118     class Euribor5M : public Euribor {
      public:
        Euribor5M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(5, Months), h) {}
    };

    //! 6-months %Euribor index
00126     class Euribor6M : public Euribor {
      public:
        Euribor6M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(6, Months), h) {}
    };

    //! 7-months %Euribor index
00134     class Euribor7M : public Euribor {
      public:
        Euribor7M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(7, Months), h) {}
    };

    //! 8-months %Euribor index
00142     class Euribor8M : public Euribor {
      public:
        Euribor8M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(8, Months), h) {}
    };

    //! 9-months %Euribor index
00150     class Euribor9M : public Euribor {
      public:
        Euribor9M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(9, Months), h) {}
    };

    //! 10-months %Euribor index
00158     class Euribor10M : public Euribor {
      public:
        Euribor10M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(10, Months), h) {}
    };

    //! 11-months %Euribor index
00166     class Euribor11M : public Euribor {
      public:
        Euribor11M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(11, Months), h) {}
    };

    //! 1-year %Euribor index
00174     class Euribor1Y : public Euribor {
      public:
        Euribor1Y(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(1, Years), h) {}
    };


    //! 1-week %Euribor365 index
00183     class Euribor365_SW : public Euribor365 {
      public:
        Euribor365_SW(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(1, Weeks), h) {}
    };

    //! 2-weeks %Euribor365 index
00191     class Euribor365_2W : public Euribor365 {
      public:
        Euribor365_2W(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(2, Weeks), h) {}
    };

    //! 3-weeks %Euribor365 index
00199     class Euribor365_3W : public Euribor365 {
      public:
        Euribor365_3W(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(3, Weeks), h) {}
    };

    //! 1-month %Euribor365 index
00207     class Euribor365_1M : public Euribor365 {
      public:
        Euribor365_1M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(1, Months), h) {}
    };

    //! 2-months %Euribor365 index
00215     class Euribor365_2M : public Euribor365 {
      public:
        Euribor365_2M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(2, Months), h) {}
    };

    //! 3-months %Euribor365 index
00223     class Euribor365_3M : public Euribor365 {
      public:
        Euribor365_3M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(3, Months), h) {}
    };

    //! 4-months %Euribor365 index
00231     class Euribor365_4M : public Euribor365 {
      public:
        Euribor365_4M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(4, Months), h) {}
    };

    //! 5-months %Euribor365 index
00239     class Euribor365_5M : public Euribor365 {
      public:
        Euribor365_5M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(5, Months), h) {}
    };

    //! 6-months %Euribor365 index
00247     class Euribor365_6M : public Euribor365 {
      public:
        Euribor365_6M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(6, Months), h) {}
    };

    //! 7-months %Euribor365 index
00255     class Euribor365_7M : public Euribor365 {
      public:
        Euribor365_7M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(7, Months), h) {}
    };

    //! 8-months %Euribor365 index
00263     class Euribor365_8M : public Euribor365 {
      public:
        Euribor365_8M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(8, Months), h) {}
    };

    //! 9-months %Euribor365 index
00271     class Euribor365_9M : public Euribor365 {
      public:
        Euribor365_9M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(9, Months), h) {}
    };

    //! 10-months %Euribor365 index
00279     class Euribor365_10M : public Euribor365 {
      public:
        Euribor365_10M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(10, Months), h) {}
    };

    //! 11-months %Euribor365 index
00287     class Euribor365_11M : public Euribor365 {
      public:
        Euribor365_11M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(11, Months), h) {}
    };

    //! 1-year %Euribor365 index
00295     class Euribor365_1Y : public Euribor365 {
      public:
        Euribor365_1Y(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(1, Years), h) {}
    };

}


#endif

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