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euriborswapfixifr.hpp

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

/*
 Copyright (C) 2006, 2007 Ferdinando Ametrano
 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 euriborswapfixifr.hpp
    \brief %EuriborSwapFixIFR indexes
*/

#ifndef quantlib_euriborswapfixifr_hpp
#define quantlib_euriborswapfixifr_hpp

#include <ql/indexes/swapindex.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>

namespace QuantLib {

    //! %EuriborSwapFixIFR index base class
    /*! EuriborSwapFixIFR indexes published by IFR Markets and
        distributed by Reuters page TGM42281 and by Telerate.
        For more info see <http://www.ifrmarkets.com>.

        \warning The 1Y swap's floating leg is based on Eurlibor3M; the
                 floating legs of longer swaps are based on Eurlibor6M
    */
00041     class EuriborSwapFixIFR : public SwapIndex {
      public:
        EuriborSwapFixIFR(const Period& tenor,
                          const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>());
    };

    //! 1-year %EuriborSwapFixIFR3M index
00049     class EuriborSwapFixIFR1Y : public EuriborSwapFixIFR {
      public:
        EuriborSwapFixIFR1Y(const Handle<YieldTermStructure>& h)
        : EuriborSwapFixIFR(1*Years, h) {}
    };

    //! 2-year %EuriborSwapFixIFR index
00056     class EuriborSwapFixIFR2Y : public EuriborSwapFixIFR {
      public:
        EuriborSwapFixIFR2Y(const Handle<YieldTermStructure>& h)
        : EuriborSwapFixIFR(2*Years, h) {}
    };

    //! 3-year %EuriborSwapFixIFR index
00063     class EuriborSwapFixIFR3Y : public EuriborSwapFixIFR {
      public:
        EuriborSwapFixIFR3Y(const Handle<YieldTermStructure>& h)
        : EuriborSwapFixIFR(3*Years, h) {}
    };

    //! 4-year %EuriborSwapFixIFR index
00070     class EuriborSwapFixIFR4Y : public EuriborSwapFixIFR {
      public:
        EuriborSwapFixIFR4Y(const Handle<YieldTermStructure>& h)
        : EuriborSwapFixIFR(4*Years, h) {}
    };

    //! 5-year %EuriborSwapFixIFR index
00077     class EuriborSwapFixIFR5Y : public EuriborSwapFixIFR {
      public:
        EuriborSwapFixIFR5Y(const Handle<YieldTermStructure>& h)
        : EuriborSwapFixIFR(5*Years, h) {}
    };

    //! 6-year %EuriborSwapFixIFR index
00084     class EuriborSwapFixIFR6Y : public EuriborSwapFixIFR {
      public:
        EuriborSwapFixIFR6Y(const Handle<YieldTermStructure>& h)
        : EuriborSwapFixIFR(6*Years, h) {}
    };

    //! 7-year %EuriborSwapFixIFR index
00091     class EuriborSwapFixIFR7Y : public EuriborSwapFixIFR {
      public:
        EuriborSwapFixIFR7Y(const Handle<YieldTermStructure>& h)
        : EuriborSwapFixIFR(7*Years, h) {}
    };

    //! 8-year %EuriborSwapFixIFR index
00098     class EuriborSwapFixIFR8Y : public EuriborSwapFixIFR {
      public:
        EuriborSwapFixIFR8Y(const Handle<YieldTermStructure>& h)
        : EuriborSwapFixIFR(8*Years, h) {}
    };

    //! 9-year %EuriborSwapFixIFR index
00105     class EuriborSwapFixIFR9Y : public EuriborSwapFixIFR {
      public:
        EuriborSwapFixIFR9Y(const Handle<YieldTermStructure>& h)
        : EuriborSwapFixIFR(9*Years, h) {}
    };

    //! 10-year %EuriborSwapFixIFR index
00112     class EuriborSwapFixIFR10Y : public EuriborSwapFixIFR {
      public:
        EuriborSwapFixIFR10Y(const Handle<YieldTermStructure>& h)
        : EuriborSwapFixIFR(10*Years, h) {}
    };

    //! 12-year %EuriborSwapFixIFR index
00119     class EuriborSwapFixIFR12Y : public EuriborSwapFixIFR {
      public:
        EuriborSwapFixIFR12Y(const Handle<YieldTermStructure>& h)
        : EuriborSwapFixIFR(12*Years, h) {}
    };

    //! 15-year %EuriborSwapFixIFR index
00126     class EuriborSwapFixIFR15Y : public EuriborSwapFixIFR {
      public:
        EuriborSwapFixIFR15Y(const Handle<YieldTermStructure>& h)
        : EuriborSwapFixIFR(15*Years, h) {}
    };

    //! 20-year %EuriborSwapFixIFR index
00133     class EuriborSwapFixIFR20Y : public EuriborSwapFixIFR {
      public:
        EuriborSwapFixIFR20Y(const Handle<YieldTermStructure>& h)
        : EuriborSwapFixIFR(20*Years, h) {}
    };

    //! 25-year %EuriborSwapFixIFR index
00140     class EuriborSwapFixIFR25Y : public EuriborSwapFixIFR {
      public:
        EuriborSwapFixIFR25Y(const Handle<YieldTermStructure>& h)
        : EuriborSwapFixIFR(25*Years, h) {}
    };

    //! 30-year %EuriborSwapFixIFR index
00147     class EuriborSwapFixIFR30Y : public EuriborSwapFixIFR {
      public:
        EuriborSwapFixIFR30Y(const Handle<YieldTermStructure>& h)
        : EuriborSwapFixIFR(30*Years, h) {}
    };

}

#endif

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