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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.
    */
00052     class Euribor365 : public IborIndex {
      public:
        Euribor365(const Period& tenor,
                   const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>());
    };


    //! Daily tenor %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.
    */
00066     class DailyTenorEuribor : public IborIndex {
      public:
        DailyTenorEuribor(Natural settlementDays,
                          const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>());
    };


    //! Daily tenor 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.
    */
00079     class DailyTenorEuribor365 : public IborIndex {
      public:
        DailyTenorEuribor365(Natural settlementDays,
                             const Handle<YieldTermStructure>& h =
                                       Handle<YieldTermStructure>());
    };


    //! 1-week %Euribor index
00088     class EuriborSW : public Euribor {
      public:
        EuriborSW(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(1, Weeks), h) {}
    };

    //! 2-weeks %Euribor index
00096     class Euribor2W : public Euribor {
      public:
        Euribor2W(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(2, Weeks), h) {}
    };

    //! 3-weeks %Euribor index
00104     class Euribor3W : public Euribor {
      public:
        Euribor3W(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(3, Weeks), h) {}
    };

    //! 1-month %Euribor index
00112     class Euribor1M : public Euribor {
      public:
        Euribor1M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(1, Months), h) {}
    };

    //! 2-months %Euribor index
00120     class Euribor2M : public Euribor {
      public:
        Euribor2M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(2, Months), h) {}
    };

    //! 3-months %Euribor index
00128     class Euribor3M : public Euribor {
      public:
        Euribor3M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(3, Months), h) {}
    };

    //! 4-months %Euribor index
00136     class Euribor4M : public Euribor {
      public:
        Euribor4M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(4, Months), h) {}
    };

    //! 5-months %Euribor index
00144     class Euribor5M : public Euribor {
      public:
        Euribor5M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(5, Months), h) {}
    };

    //! 6-months %Euribor index
00152     class Euribor6M : public Euribor {
      public:
        Euribor6M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(6, Months), h) {}
    };

    //! 7-months %Euribor index
00160     class Euribor7M : public Euribor {
      public:
        Euribor7M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(7, Months), h) {}
    };

    //! 8-months %Euribor index
00168     class Euribor8M : public Euribor {
      public:
        Euribor8M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(8, Months), h) {}
    };

    //! 9-months %Euribor index
00176     class Euribor9M : public Euribor {
      public:
        Euribor9M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(9, Months), h) {}
    };

    //! 10-months %Euribor index
00184     class Euribor10M : public Euribor {
      public:
        Euribor10M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(10, Months), h) {}
    };

    //! 11-months %Euribor index
00192     class Euribor11M : public Euribor {
      public:
        Euribor11M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(11, Months), h) {}
    };

    //! 1-year %Euribor index
00200     class Euribor1Y : public Euribor {
      public:
        Euribor1Y(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor(Period(1, Years), h) {}
    };


    //! 1-week %Euribor365 index
00209     class Euribor365_SW : public Euribor365 {
      public:
        Euribor365_SW(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(1, Weeks), h) {}
    };

    //! 2-weeks %Euribor365 index
00217     class Euribor365_2W : public Euribor365 {
      public:
        Euribor365_2W(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(2, Weeks), h) {}
    };

    //! 3-weeks %Euribor365 index
00225     class Euribor365_3W : public Euribor365 {
      public:
        Euribor365_3W(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(3, Weeks), h) {}
    };

    //! 1-month %Euribor365 index
00233     class Euribor365_1M : public Euribor365 {
      public:
        Euribor365_1M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(1, Months), h) {}
    };

    //! 2-months %Euribor365 index
00241     class Euribor365_2M : public Euribor365 {
      public:
        Euribor365_2M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(2, Months), h) {}
    };

    //! 3-months %Euribor365 index
00249     class Euribor365_3M : public Euribor365 {
      public:
        Euribor365_3M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(3, Months), h) {}
    };

    //! 4-months %Euribor365 index
00257     class Euribor365_4M : public Euribor365 {
      public:
        Euribor365_4M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(4, Months), h) {}
    };

    //! 5-months %Euribor365 index
00265     class Euribor365_5M : public Euribor365 {
      public:
        Euribor365_5M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(5, Months), h) {}
    };

    //! 6-months %Euribor365 index
00273     class Euribor365_6M : public Euribor365 {
      public:
        Euribor365_6M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(6, Months), h) {}
    };

    //! 7-months %Euribor365 index
00281     class Euribor365_7M : public Euribor365 {
      public:
        Euribor365_7M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(7, Months), h) {}
    };

    //! 8-months %Euribor365 index
00289     class Euribor365_8M : public Euribor365 {
      public:
        Euribor365_8M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(8, Months), h) {}
    };

    //! 9-months %Euribor365 index
00297     class Euribor365_9M : public Euribor365 {
      public:
        Euribor365_9M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(9, Months), h) {}
    };

    //! 10-months %Euribor365 index
00305     class Euribor365_10M : public Euribor365 {
      public:
        Euribor365_10M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(10, Months), h) {}
    };

    //! 11-months %Euribor365 index
00313     class Euribor365_11M : public Euribor365 {
      public:
        Euribor365_11M(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(11, Months), h) {}
    };

    //! 1-year %Euribor365 index
00321     class Euribor365_1Y : public Euribor365 {
      public:
        Euribor365_1Y(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : Euribor365(Period(1, Years), h) {}
    };

}

#endif

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