/*
Copyright (C) 2007 Srinivas Hasti
This source code is release under the BSD License.
This file is part of JQuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://jquantlib.org/
JQuantLib is free software: you can redistribute it and/or modify it
under the terms of the JQuantLib license. You should have received a
copy of the license along with this program; if not, please email
<jquant-devel@lists.sourceforge.net>. The license is also available online at
<http://www.jquantlib.org/index.php/LICENSE.TXT>.
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.
JQuantLib is based on QuantLib. http://quantlib.org/
When applicable, the original copyright notice follows this notice.
*/
package org.jquantlib.indexes;
import org.jquantlib.QL;
import org.jquantlib.currencies.Europe.EURCurrency;
import org.jquantlib.daycounters.Actual360;
import org.jquantlib.quotes.Handle;
import org.jquantlib.termstructures.YieldTermStructure;
import org.jquantlib.time.Period;
import org.jquantlib.time.TimeUnit;
import org.jquantlib.time.calendars.Target;
/**
* Euribor index
* <p>
* Euribor rate fixed by the ECB.
*
* @note This is the rate fixed by the ECB. Use EurLibor if you're interested in the London fixing by BBA.
*
* @author Srinivas Hasti
*/
// TODO: code review :: license, class comments, comments for access modifiers, comments for @Override
// TODO: code review :: Please review this class! :S
public class Euribor extends IborIndex {
public Euribor(final Period tenor, final Handle<YieldTermStructure> h) {
super("Euribor",
tenor,
2, // settlement days
new EURCurrency(),
new Target(),
euriborConvention(tenor),
euriborEOM(tenor),
new Actual360(),
h);
QL.require(tenor().units() != TimeUnit.Days , "for daily tenors dedicated DailyTenor constructor must be used"); // QA:[RG]::verified // TODO: message
}
public static Euribor getEuribor1W(final Handle<YieldTermStructure> h) {
return new Euribor(new Period(1, TimeUnit.Weeks), h);
}
public static Euribor getEuribor2W(final Handle<YieldTermStructure> h) {
return new Euribor(new Period(2, TimeUnit.Weeks), h);
}
public static Euribor getEuribor3W(final Handle<YieldTermStructure> h) {
return new Euribor(new Period(3, TimeUnit.Weeks), h);
}
public static Euribor getEuribor1M(final Handle<YieldTermStructure> h) {
return new Euribor(new Period(1, TimeUnit.Months), h);
}
public static Euribor getEuribor2M(final Handle<YieldTermStructure> h) {
return new Euribor(new Period(1, TimeUnit.Months), h);
}
public static Euribor getEuribor3M(final Handle<YieldTermStructure> h) {
return new Euribor(new Period(3, TimeUnit.Months), h);
}
public static Euribor getEuribor4M(final Handle<YieldTermStructure> h) {
return new Euribor(new Period(4, TimeUnit.Months), h);
}
public static Euribor getEuribor5M(final Handle<YieldTermStructure> h) {
return new Euribor(new Period(5, TimeUnit.Months), h);
}
public static Euribor getEuribor6M(final Handle<YieldTermStructure> h) {
return new Euribor(new Period(6, TimeUnit.Months), h);
}
public static Euribor getEuribor7M(final Handle<YieldTermStructure> h) {
return new Euribor(new Period(7, TimeUnit.Months), h);
}
public static Euribor getEuribor8M(final Handle<YieldTermStructure> h) {
return new Euribor(new Period(8, TimeUnit.Months), h);
}
public static Euribor getEuribor9M(final Handle<YieldTermStructure> h) {
return new Euribor(new Period(9, TimeUnit.Months), h);
}
public static Euribor getEuribor10M(final Handle<YieldTermStructure> h) {
return new Euribor(new Period(10, TimeUnit.Months), h);
}
public static Euribor getEuribor11M(final Handle<YieldTermStructure> h) {
return new Euribor(new Period(11, TimeUnit.Months), h);
}
public static Euribor getEuribor1Y(final Handle<YieldTermStructure> h) {
return new Euribor(new Period(1, TimeUnit.Years), h);
}
public static Euribor getEuribor_SW(final Handle<YieldTermStructure> h) {
return new Euribor(new Period(1, TimeUnit.Weeks), h);
}
}