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");
}
DailyTenorGBPLibor(Natural settlementDays,
const Handle<YieldTermStructure>& h =
Handle<YieldTermStructure>())
: DailyTenorLibor("GBPLibor", settlementDays,
GBPCurrency(),
UnitedKingdom(UnitedKingdom::Exchange),
Actual365Fixed(), h) {}
GBPLibor(const Period& tenor,
const Handle<YieldTermStructure>& h =
Handle<YieldTermStructure>())
: Libor("GBPLibor", tenor,
0,
GBPCurrency(),
UnitedKingdom(UnitedKingdom::Exchange),
Actual365Fixed(), h) {}
THBFIX(const Period& tenor,
const Handle<YieldTermStructure>& h =
Handle<YieldTermStructure>())
: IborIndex("THBFIX", tenor,
2,
THBCurrency(),
JointCalendar(UnitedKingdom(UnitedKingdom::Exchange),
JointCalendar(UnitedStates(UnitedStates::LiborImpact),
Thailand())),
ModifiedFollowing, true,
Actual365Fixed(), h) {}
GbpLiborSwapIsdaFix::GbpLiborSwapIsdaFix(
const Period& tenor,
const Handle<YieldTermStructure>& h)
: SwapIndex("GbpLiborSwapIsdaFix", // familyName
tenor,
0, // settlementDays
GBPCurrency(),
UnitedKingdom(UnitedKingdom::Exchange),
tenor > 1*Years ? // fixedLegTenor
6*Months : 1*Years,
ModifiedFollowing, // fixedLegConvention
Actual365Fixed(), // fixedLegDaycounter
tenor > 1*Years ?
shared_ptr<IborIndex>(new GBPLibor(6*Months, h)) :
shared_ptr<IborIndex>(new GBPLibor(3*Months, 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");
}
Sonia::Sonia(const Handle<YieldTermStructure>& h)
: OvernightIndex("Sonia", 0, GBPCurrency(),
UnitedKingdom(UnitedKingdom::Exchange),
Actual365Fixed(), h) {}
DLLEXPORT char *createContractForwardAsian(char *objectID,
OPER *startOfAveraging,
OPER *endOfAveraging,
OPER *settlement,
double strike,
double volume,
char* buySell,
bool *permanent)
{
boost::shared_ptr<ObjectHandler::FunctionCall> functionCall;
static char ret[XL_MAX_STR_LEN];
try
{
functionCall = boost::shared_ptr<ObjectHandler::FunctionCall>
(new ObjectHandler::FunctionCall("createContractForwardAsian"));
sjd::BuySell bs;
if (!sjdObjects::convertBuySellInput(buySell, bs))
{
ObjectHandler::stringToChar("(B)uy or (S)ell not set correctly", ret);
return ret;
}
// convert input datatypes to QuantLib datatypes
QuantLib::Date StartDateLib = ObjectHandler::convert2<QuantLib::Date>(
ObjectHandler::ConvertOper(*startOfAveraging), "StartDate");
QuantLib::Date EndDateLib = ObjectHandler::convert2<QuantLib::Date>(
ObjectHandler::ConvertOper(*endOfAveraging), "EndDate");
if (EndDateLib <= StartDateLib)
{
ObjectHandler::stringToChar("Start of averaging > end of the averaging!", ret);
return ret;
}
QuantLib::Date SellementDateLib = ObjectHandler::convert2<QuantLib::Date>(
ObjectHandler::ConvertOper(*settlement), "SettlementDate");
if (SellementDateLib < EndDateLib)
{
ObjectHandler::stringToChar("Settlement < end of averaging!", ret);
return ret;
}
// Strip the Excel cell update counter suffix from Object IDs
std::string ObjectIdStrip = ObjectHandler::CallingRange::getStub(objectID);
// Construct the Value Object
boost::shared_ptr<ObjectHandler::ValueObject> valueObject(
new sjdObjects::ValueObjects::GenericUnimplementedValueObject(ObjectIdStrip, *permanent));
Calendar calendar = UnitedKingdom();
boost::shared_ptr<ObjectHandler::Object> object(
new sjdObjects::AsianForwardContract(valueObject,
calendar,
StartDateLib,
EndDateLib,
SellementDateLib,
strike,
volume,
bs,
*permanent));
// Store the Object in the Repository
std::string returnValue =
ObjectHandler::RepositoryXL::instance().storeObject(ObjectIdStrip, object, true);
ObjectHandler::stringToChar(returnValue, ret);
return ret;
}
SJD_XLL_CATCH_STRING()
}
