/src/quantlib/ql/indexes/ibor/libor.cpp

Source (jump to first uncovered line)
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2007 Ferdinando Ametrano
 Copyright (C) 2007 Chiara Fornarola
 Copyright (C) 2005, 2006, 2008 StatPro Italia srl

 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
 <https://www.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/libor.hpp>
#include <ql/time/calendars/jointcalendar.hpp>
#include <ql/time/calendars/unitedkingdom.hpp>
#include <ql/currencies/europe.hpp>

namespace QuantLib {

    namespace {

        BusinessDayConvention liborConvention(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 liborEOM(const Period& p) {
            switch (p.units()) {
              case Days:
              case Weeks:
                return false;
              case Months:
              case Years:
                return true;
              default:
                QL_FAIL("invalid time units");
            }
        }

    }


    Libor::Libor(const std::string& familyName,
                 const Period& tenor,
                 Natural settlementDays,
                 const Currency& currency,
                 const Calendar& financialCenterCalendar,
                 const DayCounter& dayCounter,
                 const Handle<YieldTermStructure>& h)
    : IborIndex(familyName, tenor, settlementDays, currency,
                // http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
                // UnitedKingdom::Exchange is the fixing calendar for
                // a) all currencies but EUR
                // b) all indexes but o/n and s/n
                UnitedKingdom(UnitedKingdom::Exchange),
                liborConvention(tenor), liborEOM(tenor),
                dayCounter, h),
      financialCenterCalendar_(financialCenterCalendar),
      jointCalendar_(JointCalendar(UnitedKingdom(UnitedKingdom::Exchange),
                                   financialCenterCalendar,
                                   JoinHolidays)) {
        QL_REQUIRE(this->tenor().units()!=Days,
                   "for daily tenors (" << this->tenor() <<
                   ") dedicated DailyTenor constructor must be used");
        QL_REQUIRE(currency!=EURCurrency(),
                   "for EUR Libor dedicated EurLibor constructor must be used");
    }

    Date Libor::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 :
        // For all currencies other than EUR and GBP the period between
        // Fixing Date and Value Date will be two London business days
        // after the Fixing Date, or if that day is not both a London
        // business day and a business day in the principal financial centre
        // of the currency concerned, the next following day which is a
        // business day in both centres shall be the Value Date.
        Date d = fixingCalendar().advance(fixingDate, fixingDays_, Days);
        return jointCalendar_.adjust(d);
    }

    Date Libor::maturityDate(const Date& valueDate) const {
        // Where a deposit is made on the final business day of a
        // particular calendar month, the maturity of the deposit shall
        // be on the final business day of the month in which it matures
        // (not the corresponding date in the month of maturity). Or in
        // other words, in line with market convention, BBA LIBOR rates
        // are dealt on an end-end basis. For instance a one month
        // deposit for value 28th February would mature on 31st March,
        // not the 28th of March.
        return jointCalendar_.advance(valueDate, tenor_, convention_,
                                                         endOfMonth());
    }

    Calendar Libor::jointCalendar() const {
        return jointCalendar_;
    }

    ext::shared_ptr<IborIndex> Libor::clone(
                                  const Handle<YieldTermStructure>& h) const {
        return ext::make_shared<Libor>(familyName(),
                                       tenor(),
                                       fixingDays(),
                                       currency(),
                                       financialCenterCalendar_,
                                       dayCounter(),
                                       h);
    }


    DailyTenorLibor::DailyTenorLibor(
                 const std::string& familyName,
                 Natural settlementDays,
                 const Currency& currency,
                 const Calendar& financialCenterCalendar,
                 const DayCounter& dayCounter,
                 const Handle<YieldTermStructure>& h)
    : IborIndex(familyName, 1*Days, settlementDays, currency,
                // 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.
                JointCalendar(UnitedKingdom(UnitedKingdom::Exchange),
                              financialCenterCalendar,
                              JoinHolidays),
                liborConvention(1*Days), liborEOM(1*Days),
                dayCounter, h) {
        QL_REQUIRE(currency!=EURCurrency(),
                   "for EUR Libor dedicated EurLibor constructor must be used");
    }

}

Line	Count	Source (jump to first uncovered line)
1		/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3		/*
4		Copyright (C) 2007 Ferdinando Ametrano
5		Copyright (C) 2007 Chiara Fornarola
6		Copyright (C) 2005, 2006, 2008 StatPro Italia srl
7
8		This file is part of QuantLib, a free-software/open-source library
9		for financial quantitative analysts and developers - http://quantlib.org/
10
11		QuantLib is free software: you can redistribute it and/or modify it
12		under the terms of the QuantLib license. You should have received a
13		copy of the license along with this program; if not, please email
14		<quantlib-dev@lists.sf.net>. The license is also available online at
15		<https://www.quantlib.org/license.shtml>.
16
17		This program is distributed in the hope that it will be useful, but WITHOUT
18		ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19		FOR A PARTICULAR PURPOSE. See the license for more details.
20		*/
21
22		#include <ql/indexes/ibor/libor.hpp>
23		#include <ql/time/calendars/jointcalendar.hpp>
24		#include <ql/time/calendars/unitedkingdom.hpp>
25		#include <ql/currencies/europe.hpp>
26
27		namespace QuantLib {
28
29		namespace {
30
31	0	BusinessDayConvention liborConvention(const Period& p) {
32	0	switch (p.units()) {
33	0	case Days:
34	0	case Weeks:
35	0	return Following;
36	0	case Months:
37	0	case Years:
38	0	return ModifiedFollowing;
39	0	default:
40	0	QL_FAIL("invalid time units");
41	0	}
42	0	}
43
44	0	bool liborEOM(const Period& p) {
45	0	switch (p.units()) {
46	0	case Days:
47	0	case Weeks:
48	0	return false;
49	0	case Months:
50	0	case Years:
51	0	return true;
52	0	default:
53	0	QL_FAIL("invalid time units");
54	0	}
55	0	}
56
57		}
58
59
60		Libor::Libor(const std::string& familyName,
61		const Period& tenor,
62		Natural settlementDays,
63		const Currency& currency,
64		const Calendar& financialCenterCalendar,
65		const DayCounter& dayCounter,
66		const Handle<YieldTermStructure>& h)
67	0	: IborIndex(familyName, tenor, settlementDays, currency,
68		// http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
69		// UnitedKingdom::Exchange is the fixing calendar for
70		// a) all currencies but EUR
71		// b) all indexes but o/n and s/n
72	0	UnitedKingdom(UnitedKingdom::Exchange),
73	0	liborConvention(tenor), liborEOM(tenor),
74	0	dayCounter, h),
75	0	financialCenterCalendar_(financialCenterCalendar),
76	0	jointCalendar_(JointCalendar(UnitedKingdom(UnitedKingdom::Exchange),
77	0	financialCenterCalendar,
78	0	JoinHolidays)) {
79	0	QL_REQUIRE(this->tenor().units()!=Days,
80	0	"for daily tenors (" << this->tenor() <<
81	0	") dedicated DailyTenor constructor must be used");
82	0	QL_REQUIRE(currency!=EURCurrency(),
83	0	"for EUR Libor dedicated EurLibor constructor must be used");
84	0	}
85
86	0	Date Libor::valueDate(const Date& fixingDate) const {
87
88	0	QL_REQUIRE(isValidFixingDate(fixingDate),
89	0	"Fixing date " << fixingDate << " is not valid");
90
91		// http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
92		// For all currencies other than EUR and GBP the period between
93		// Fixing Date and Value Date will be two London business days
94		// after the Fixing Date, or if that day is not both a London
95		// business day and a business day in the principal financial centre
96		// of the currency concerned, the next following day which is a
97		// business day in both centres shall be the Value Date.
98	0	Date d = fixingCalendar().advance(fixingDate, fixingDays_, Days);
99	0	return jointCalendar_.adjust(d);
100	0	}
101
102	0	Date Libor::maturityDate(const Date& valueDate) const {
103		// Where a deposit is made on the final business day of a
104		// particular calendar month, the maturity of the deposit shall
105		// be on the final business day of the month in which it matures
106		// (not the corresponding date in the month of maturity). Or in
107		// other words, in line with market convention, BBA LIBOR rates
108		// are dealt on an end-end basis. For instance a one month
109		// deposit for value 28th February would mature on 31st March,
110		// not the 28th of March.
111	0	return jointCalendar_.advance(valueDate, tenor_, convention_,
112	0	endOfMonth());
113	0	}
114
115	0	Calendar Libor::jointCalendar() const {
116	0	return jointCalendar_;
117	0	}
118
119		ext::shared_ptr<IborIndex> Libor::clone(
120	0	const Handle<YieldTermStructure>& h) const {
121	0	return ext::make_shared<Libor>(familyName(),
122	0	tenor(),
123	0	fixingDays(),
124	0	currency(),
125	0	financialCenterCalendar_,
126	0	dayCounter(),
127	0	h);
128	0	}
129
130
131		DailyTenorLibor::DailyTenorLibor(
132		const std::string& familyName,
133		Natural settlementDays,
134		const Currency& currency,
135		const Calendar& financialCenterCalendar,
136		const DayCounter& dayCounter,
137		const Handle<YieldTermStructure>& h)
138	0	: IborIndex(familyName, 1*Days, settlementDays, currency,
139		// http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
140		// no o/n or s/n fixings (as the case may be) will take place
141		// when the principal centre of the currency concerned is
142		// closed but London is open on the fixing day.
143	0	JointCalendar(UnitedKingdom(UnitedKingdom::Exchange),
144	0	financialCenterCalendar,
145	0	JoinHolidays),
146	0	liborConvention(1Days), liborEOM(1Days),
147	0	dayCounter, h) {
148	0	QL_REQUIRE(currency!=EURCurrency(),
149	0	"for EUR Libor dedicated EurLibor constructor must be used");
150	0	}
151
152		}

Coverage Report

Created: 2025-09-04 07:11