std::string periodStr(QuantLib::Period period)
{
std::string str;
if ( period.units() == Days )
{
str = "D";
}
else if( period.units() == Weeks )
{
str = "W";
}
else if( period.units() == Months )
{
str = "M";
}
else if( period.units() == Years )
{
str = "Y";
}
else
{
//Error
}
return str;
}
Euribor365::Euribor365(const shared_ptr<ValueObject>& properties,
const std::string& p_inp,
const QuantLib::Handle<QuantLib::YieldTermStructure>& h,
bool permanent)
: IborIndex(properties, permanent)
{
std::string p = boost::algorithm::to_upper_copy(p_inp);
if (p=="SW")
libraryObject_ = boost::shared_ptr<QuantLib::IborIndex>(new
QuantLib::Euribor365(1*QuantLib::Weeks, h));
else {
QuantLib::Period pp = QuantLib::PeriodParser::parse(p);
pp.normalize();
libraryObject_ = boost::shared_ptr<QuantLib::IborIndex>(new
QuantLib::Euribor365(pp, h));
}
}
void cppToLibrary(const std::string &in, QuantLib::Period &ret) {
ret = QuantLib::PeriodParser::parse(in);
ret.normalize();
}
Libor::Libor(const shared_ptr<ValueObject>& properties,
const QuantLib::Currency& currency,
const std::string& p,
const QuantLib::Handle<QuantLib::YieldTermStructure>& h,
bool permanent) : IborIndex(properties, permanent)
{
switch (currency.numericCode()) {
case 978: // EUR
if (to_upper_copy(p)=="ON")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorEURLibor(0, h));
else if (to_upper_copy(p)=="1D")
QL_FAIL("1D is ambigous: please specify ON, TN, or SN");
else if (to_upper_copy(p)=="TN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorEURLibor(1, h));
else if (to_upper_copy(p)=="SN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorEURLibor(2, h));
else if (to_upper_copy(p)=="SW")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::EURLibor(1*QuantLib::Weeks, h));
else {
QuantLib::Period pp = QuantLib::PeriodParser::parse(p);
pp.normalize();
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::EURLibor(pp, h));
}
break;
case 840: // USD
if (to_upper_copy(p)=="ON")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorUSDLibor(0, h));
else if (to_upper_copy(p)=="1D")
QL_FAIL("1D is ambigous: please specify ON, TN, or SN");
else if (to_upper_copy(p)=="TN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorUSDLibor(1, h));
else if (to_upper_copy(p)=="SN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorUSDLibor(2, h));
else if (to_upper_copy(p)=="SW")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::USDLibor(1*QuantLib::Weeks, h));
else {
QuantLib::Period pp = QuantLib::PeriodParser::parse(p);
pp.normalize();
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::USDLibor(pp, h));
}
break;
case 826: // GBP
if (to_upper_copy(p)=="ON")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorGBPLibor(0, h));
else if (to_upper_copy(p)=="1D")
QL_FAIL("1D is ambigous: please specify ON, TN, or SN");
else if (to_upper_copy(p)=="TN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorGBPLibor(1, h));
else if (to_upper_copy(p)=="SN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorGBPLibor(2, h));
else if (to_upper_copy(p)=="SW")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::GBPLibor(1*QuantLib::Weeks, h));
else {
QuantLib::Period pp = QuantLib::PeriodParser::parse(p);
pp.normalize();
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::GBPLibor(pp, h));
}
break;
case 756: // CHF
if (to_upper_copy(p)=="ON")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorCHFLibor(0, h));
else if (to_upper_copy(p)=="1D")
QL_FAIL("1D is ambigous: please specify ON, TN, or SN");
else if (to_upper_copy(p)=="TN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorCHFLibor(1, h));
else if (to_upper_copy(p)=="SN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorCHFLibor(2, h));
else if (to_upper_copy(p)=="SW")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::CHFLibor(1*QuantLib::Weeks, h));
else {
QuantLib::Period pp = QuantLib::PeriodParser::parse(p);
pp.normalize();
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::CHFLibor(pp, h));
}
break;
case 392: // JPY
if (to_upper_copy(p)=="ON")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorJPYLibor(0, h));
else if (to_upper_copy(p)=="1D")
QL_FAIL("1D is ambigous: please specify ON, TN, or SN");
else if (to_upper_copy(p)=="TN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorJPYLibor(1, h));
else if (to_upper_copy(p)=="SN")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::DailyTenorJPYLibor(2, h));
else if (to_upper_copy(p)=="SW")
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::JPYLibor(1*QuantLib::Weeks, h));
else {
QuantLib::Period pp = QuantLib::PeriodParser::parse(p);
pp.normalize();
libraryObject_ = shared_ptr<QuantLib::IborIndex>(new
QuantLib::JPYLibor(pp, h));
}
break;
default:
QL_FAIL("Unhandled currency " << currency);
}
}