jibar.hpp

有很多的函数库

/* -*- 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 StatPro Italia srl

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for financial quantitative analysts and developers - http://quantlib.org/

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*/

/*! \file jibar.hpp
    \brief %JIBAR rate
*/

#ifndef quantlib_jibar_hpp
#define quantlib_jibar_hpp

#include <ql/indexes/iborindex.hpp>
#include <ql/time/calendars/southafrica.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <ql/currencies/africa.hpp>

namespace QuantLib {

    //! %JIBAR rate
    /*! Johannesburg Interbank Agreed Rate

        \todo check settlement days and day-count convention.
    */
    class Jibar : public IborIndex {
      public:
        Jibar(const Period& tenor,
              const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : IborIndex("Jibar", tenor, 0, ZARCurrency(),
                SouthAfrica(), ModifiedFollowing, false,
                Actual365Fixed(), h) {}
    };

}


#endif