euribor.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, 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
 <[e-mail]>. 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.
    */
    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.
    */
    class Euribor365 : public IborIndex {
      public:
        Euribor365(const Period& tenor,
                   const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>());
    };


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

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

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

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

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

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

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

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

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

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

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

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

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

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

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


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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

}


#endif