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_ibor_index.pxd
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_ibor_index.pxd
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"""
Copyright (C) 2011, Enthought Inc
Copyright (C) 2011, Patrick Henaff
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 '../types.pxi'
from libcpp cimport bool
from libcpp.string cimport string
from quantlib.handle cimport shared_ptr, Handle
from quantlib.time._date cimport Date
from quantlib.time._period cimport Period
from quantlib.time._calendar cimport Calendar, BusinessDayConvention
from quantlib.time._daycounter cimport DayCounter
from quantlib.currency._currency cimport Currency
cimport quantlib.termstructures.yields._flat_forward as _ff
from quantlib.indexes._interest_rate_index cimport InterestRateIndex
cdef extern from 'ql/indexes/iborindex.hpp' namespace 'QuantLib':
# base class for Inter-Bank-Offered-Rate indexes (e.g. %Libor, etc.)
cdef cppclass IborIndex(InterestRateIndex):
IborIndex(string& familyName,
Period& tenor,
Natural settlementDays,
Currency& currency,
Calendar& fixingCalendar,
BusinessDayConvention convention,
bool endOfMonth,
DayCounter& dayCounter,
Handle[_ff.YieldTermStructure]& h) except +
# \name Inspectors
BusinessDayConvention businessDayConvention() except +
bool endOfMonth() except +
# the curve used to forecast fixings
Handle[_ff.YieldTermStructure] forwardingTermStructure()
# \name Date calculations
Date maturityDate(Date& valueDate)
# returns a copy of itself linked to a different forwarding curve
shared_ptr[IborIndex] clone(Handle[_ff.YieldTermStructure]& forwarding)
cdef cppclass OvernightIndex(IborIndex):
OvernightIndex(string& familyName,
Natural settlementDays,
Currency& currency,
Calendar& fixingCalendar,
DayCounter& dayCounter,
Handle[_ff.YieldTermStructure]& h) except +