eurlibor.cpp

Go to the documentation of this file.

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 Ferdinando Ametrano
 Copyright (C) 2007 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.
*/
 
#include <ql/indexes/ibor/eurlibor.hpp>
#include <ql/time/calendars/jointcalendar.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/calendars/unitedkingdom.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/currencies/europe.hpp>
 
namespace QuantLib {
 
    namespace {
 
        BusinessDayConvention eurliborConvention(const Period& p) {
            switch (p.units()) {
              case Days:
              case Weeks:
                return Following;
              case Months:
              case Years:
                return ModifiedFollowing;
              default:
                QL_FAIL("invalid time units");
            }
        }
 
        bool eurliborEOM(const Period& p) {
            switch (p.units()) {
              case Days:
              case Weeks:
                return false;
              case Months:
              case Years:
                return true;
              default:
                QL_FAIL("invalid time units");
            }
        }
 
    }
 
    EURLibor::EURLibor(const Period& tenor,
                       const Handle<YieldTermStructure>& h)
    : IborIndex("EURLibor", tenor,
                2,
                EURCurrency(),
                // http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
                // JoinHolidays is the fixing calendar for
                // all indexes but o/n
                JointCalendar(UnitedKingdom(UnitedKingdom::Exchange),
                              TARGET(),
                              JoinHolidays),
                eurliborConvention(tenor), eurliborEOM(tenor),
                Actual360(), h),
      target_(TARGET()) {
        QL_REQUIRE(this->tenor().units()!=Days,
                   "for daily tenors (" << this->tenor() <<
                   ") dedicated DailyTenor constructor must be used");
    }
 
    Date EURLibor::fixingDate(const Date& valueDate) const {
        return fixingCalendar().adjust(
            target_.advance(valueDate, -static_cast<Integer>(fixingDays_), Days),
            Preceding);
    }
 
    Date EURLibor::valueDate(const Date& fixingDate) const {
 
        QL_REQUIRE(isValidFixingDate(fixingDate),
                   "Fixing date " << fixingDate << " is not valid");
 
        // http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
        // In the case of EUR the Value Date shall be two TARGET
        // business days after the Fixing Date.
        return target_.advance(fixingDate, fixingDays_, Days);
    }
 
    Date EURLibor::maturityDate(const Date& valueDate) const {
        // http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
        // In the case of EUR only, maturity dates will be based on days in
        // which the Target system is open.
        return target_.advance(valueDate, tenor_, convention_, endOfMonth());
    }
 
    ext::shared_ptr<IborIndex> EURLibor::clone(const Handle<YieldTermStructure>& h) const {
        return ext::make_shared<EURLibor>(tenor(), h);
    }
 
    DailyTenorEURLibor::DailyTenorEURLibor(Natural settlementDays,
                                           const Handle<YieldTermStructure>& h)
    : IborIndex("EURLibor", 1*Days,
                settlementDays,
                EURCurrency(),
                // http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
                // no o/n or s/n fixings (as the case may be) will take place
                // when the principal centre of the currency concerned is
                // closed but London is open on the fixing day.
                TARGET(),
                eurliborConvention(1*Days), eurliborEOM(1*Days),
                Actual360(), h) {}
 
}