Coverage Report

Created: 2025-08-28 06:30

/src/quantlib/ql/indexes/ibor/eurlibor.cpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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 Copyright (C) 2007 Ferdinando Ametrano
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 Copyright (C) 2007 Chiara Fornarola
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 This file is part of QuantLib, a free-software/open-source library
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 for financial quantitative analysts and developers - http://quantlib.org/
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 QuantLib is free software: you can redistribute it and/or modify it
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 under the terms of the QuantLib license.  You should have received a
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 copy of the license along with this program; if not, please email
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 <quantlib-dev@lists.sf.net>. The license is also available online at
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 <http://quantlib.org/license.shtml>.
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 This program is distributed in the hope that it will be useful, but WITHOUT
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 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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 FOR A PARTICULAR PURPOSE.  See the license for more details.
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*/
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#include <ql/indexes/ibor/eurlibor.hpp>
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#include <ql/time/calendars/jointcalendar.hpp>
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#include <ql/time/calendars/target.hpp>
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#include <ql/time/calendars/unitedkingdom.hpp>
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#include <ql/time/daycounters/actual360.hpp>
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#include <ql/currencies/europe.hpp>
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namespace QuantLib {
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    namespace {
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        BusinessDayConvention eurliborConvention(const Period& p) {
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            switch (p.units()) {
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              case Days:
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              case Weeks:
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                return Following;
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              case Months:
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              case Years:
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                return ModifiedFollowing;
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              default:
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                QL_FAIL("invalid time units");
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            }
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        }
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        bool eurliborEOM(const Period& p) {
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            switch (p.units()) {
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              case Days:
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              case Weeks:
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                return false;
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              case Months:
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              case Years:
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                return true;
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              default:
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                QL_FAIL("invalid time units");
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            }
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        }
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    }
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    EURLibor::EURLibor(const Period& tenor,
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                       const Handle<YieldTermStructure>& h)
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    : IborIndex("EURLibor", tenor,
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                2,
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                EURCurrency(),
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                // http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
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                // JoinHolidays is the fixing calendar for
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                // all indexes but o/n
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                JointCalendar(UnitedKingdom(UnitedKingdom::Exchange),
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                              TARGET(),
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                              JoinHolidays),
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                eurliborConvention(tenor), eurliborEOM(tenor),
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                Actual360(), h),
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      target_(TARGET()) {
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        QL_REQUIRE(this->tenor().units()!=Days,
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                   "for daily tenors (" << this->tenor() <<
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                   ") dedicated DailyTenor constructor must be used");
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    }
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    Date EURLibor::fixingDate(const Date& valueDate) const {
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        return fixingCalendar().adjust(
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            target_.advance(valueDate, -static_cast<Integer>(fixingDays_), Days),
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            Preceding);
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    }
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    Date EURLibor::valueDate(const Date& fixingDate) const {
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        QL_REQUIRE(isValidFixingDate(fixingDate),
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                   "Fixing date " << fixingDate << " is not valid");
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        // http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
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        // In the case of EUR the Value Date shall be two TARGET
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        // business days after the Fixing Date.
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        return target_.advance(fixingDate, fixingDays_, Days);
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    }
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    Date EURLibor::maturityDate(const Date& valueDate) const {
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        // http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
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        // In the case of EUR only, maturity dates will be based on days in
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        // which the Target system is open.
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        return target_.advance(valueDate, tenor_, convention_, endOfMonth());
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    }
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    ext::shared_ptr<IborIndex> EURLibor::clone(const Handle<YieldTermStructure>& h) const {
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        return ext::make_shared<EURLibor>(tenor(), h);
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    }
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    DailyTenorEURLibor::DailyTenorEURLibor(Natural settlementDays,
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                                           const Handle<YieldTermStructure>& h)
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    : IborIndex("EURLibor", 1*Days,
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                settlementDays,
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                EURCurrency(),
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                // http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
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                // no o/n or s/n fixings (as the case may be) will take place
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                // when the principal centre of the currency concerned is
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                // closed but London is open on the fixing day.
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                TARGET(),
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                eurliborConvention(1*Days), eurliborEOM(1*Days),
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                Actual360(), h) {}
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}