/src/quantlib/ql/indexes/ibor/bibor.cpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2018 Matthias Groncki |
5 | | |
6 | | This file is part of QuantLib, a free-software/open-source library |
7 | | for financial quantitative analysts and developers - http://quantlib.org/ |
8 | | |
9 | | QuantLib is free software: you can redistribute it and/or modify it |
10 | | under the terms of the QuantLib license. You should have received a |
11 | | copy of the license along with this program; if not, please email |
12 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
13 | | <https://www.quantlib.org/license.shtml>. |
14 | | |
15 | | This program is distributed in the hope that it will be useful, but WITHOUT |
16 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
17 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
18 | | */ |
19 | | |
20 | | #include <ql/indexes/ibor/bibor.hpp> |
21 | | #include <ql/time/calendars/thailand.hpp> |
22 | | #include <ql/time/daycounters/actual360.hpp> |
23 | | #include <ql/time/daycounters/actual365fixed.hpp> |
24 | | #include <ql/currencies/asia.hpp> |
25 | | |
26 | | namespace QuantLib { |
27 | | |
28 | | namespace { |
29 | | |
30 | 0 | BusinessDayConvention BiborConvention(const Period& p) { |
31 | 0 | switch (p.units()) { |
32 | 0 | case Days: |
33 | 0 | case Weeks: |
34 | 0 | return Following; |
35 | 0 | case Months: |
36 | 0 | case Years: |
37 | 0 | return ModifiedFollowing; |
38 | 0 | default: |
39 | 0 | QL_FAIL("invalid time units"); |
40 | 0 | } |
41 | 0 | } |
42 | | |
43 | 0 | bool BiborEOM(const Period& p) { |
44 | 0 | switch (p.units()) { |
45 | 0 | case Days: |
46 | 0 | case Weeks: |
47 | 0 | return false; |
48 | 0 | case Months: |
49 | 0 | case Years: |
50 | 0 | return true; |
51 | 0 | default: |
52 | 0 | QL_FAIL("invalid time units"); |
53 | 0 | } |
54 | 0 | } |
55 | | |
56 | | } |
57 | | |
58 | | Bibor::Bibor(const Period& tenor, |
59 | | const Handle<YieldTermStructure>& h) |
60 | 0 | : IborIndex("Bibor", tenor, |
61 | 0 | 2, // settlement days |
62 | 0 | THBCurrency(), Thailand(), |
63 | 0 | BiborConvention(tenor), BiborEOM(tenor), |
64 | 0 | Actual365Fixed(), h) { |
65 | | QL_REQUIRE(this->tenor().units()!=Days, |
66 | 0 | "for daily tenors (" << this->tenor() << |
67 | 0 | ") dedicated DailyTenor constructor must be used"); |
68 | 0 | } |
69 | | |
70 | | } |