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

/*

 Copyright (C) 2006, 2007, 2008 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.

*/

#include <ql/indexes/swap/eurliborswap.hpp>

#include <ql/indexes/ibor/eurlibor.hpp>

#include <ql/time/calendars/target.hpp>

#include <ql/time/daycounters/thirty360.hpp>

#include <ql/currencies/europe.hpp>

namespace QuantLib {

    EurLiborSwapIsdaFixA::EurLiborSwapIsdaFixA(

                                        const Period& tenor,

                                        const Handle<YieldTermStructure>& h)

    : SwapIndex("EurLiborSwapIsdaFixA", // familyName

                tenor,

                2, // settlementDays

                EURCurrency(),

                TARGET(),

                1*Years, // fixedLegTenor

                ModifiedFollowing, // fixedLegConvention

                Thirty360(Thirty360::BondBasis), // fixedLegDaycounter

                tenor > 1*Years ?

                    ext::shared_ptr<IborIndex>(new EURLibor(6*Months, h)) :

                    ext::shared_ptr<IborIndex>(new EURLibor(3*Months, h))) {}

    EurLiborSwapIsdaFixA::EurLiborSwapIsdaFixA(

                                const Period& tenor,

                                const Handle<YieldTermStructure>& forwarding,

                                const Handle<YieldTermStructure>& discounting)

    : SwapIndex("EurLiborSwapIsdaFixA", // familyName

                tenor,

                2, // settlementDays

                EURCurrency(),

                TARGET(),

                1*Years, // fixedLegTenor

                ModifiedFollowing, // fixedLegConvention

                Thirty360(Thirty360::BondBasis), // fixedLegDaycounter

                tenor > 1*Years ?

                    ext::shared_ptr<IborIndex>(new EURLibor(6*Months, forwarding)) :

                    ext::shared_ptr<IborIndex>(new EURLibor(3*Months, forwarding)),

                discounting) {}

    EurLiborSwapIsdaFixB::EurLiborSwapIsdaFixB(

                                        const Period& tenor,

                                        const Handle<YieldTermStructure>& h)

    : SwapIndex("EurLiborSwapIsdaFixB", // familyName

                tenor,

                2, // settlementDays

                EURCurrency(),

                TARGET(),

                1*Years, // fixedLegTenor

                ModifiedFollowing, // fixedLegConvention

                Thirty360(Thirty360::BondBasis), // fixedLegDaycounter

                tenor > 1*Years ?

                    ext::shared_ptr<IborIndex>(new EURLibor(6*Months, h)) :

                    ext::shared_ptr<IborIndex>(new EURLibor(3*Months, h))) {}

    EurLiborSwapIsdaFixB::EurLiborSwapIsdaFixB(

                                const Period& tenor,

                                const Handle<YieldTermStructure>& forwarding,

                                const Handle<YieldTermStructure>& discounting)

    : SwapIndex("EurLiborSwapIsdaFixB", // familyName

                tenor,

                2, // settlementDays

                EURCurrency(),

                TARGET(),

                1*Years, // fixedLegTenor

                ModifiedFollowing, // fixedLegConvention

                Thirty360(Thirty360::BondBasis), // fixedLegDaycounter

                tenor > 1*Years ?

                    ext::shared_ptr<IborIndex>(new EURLibor(6*Months, forwarding)) :

                    ext::shared_ptr<IborIndex>(new EURLibor(3*Months, forwarding)),

                discounting) {}

    EurLiborSwapIfrFix::EurLiborSwapIfrFix(

                                        const Period& tenor,

                                        const Handle<YieldTermStructure>& h)

    : SwapIndex("EurLiborSwapIfrFix", // familyName

                tenor,

                2, // settlementDays

                EURCurrency(),

                TARGET(),

                1*Years, // fixedLegTenor

                ModifiedFollowing, // fixedLegConvention

                Thirty360(Thirty360::BondBasis), // fixedLegDaycounter

                tenor > 1*Years ?

                    ext::shared_ptr<IborIndex>(new EURLibor(6*Months, h)) :

                    ext::shared_ptr<IborIndex>(new EURLibor(3*Months, h))) {}

    EurLiborSwapIfrFix::EurLiborSwapIfrFix(

                                const Period& tenor,

                                const Handle<YieldTermStructure>& forwarding,

                                const Handle<YieldTermStructure>& discounting)

    : SwapIndex("EurLiborSwapIfrFix", // familyName

                tenor,

                2, // settlementDays

                EURCurrency(),

                TARGET(),

                1*Years, // fixedLegTenor

                ModifiedFollowing, // fixedLegConvention

                Thirty360(Thirty360::BondBasis), // fixedLegDaycounter

                tenor > 1*Years ?

                    ext::shared_ptr<IborIndex>(new EURLibor(6*Months, forwarding)) :

                    ext::shared_ptr<IborIndex>(new EURLibor(3*Months, forwarding)),

                discounting) {}

}