public DailyTenorLibor(string familyName, int settlementDays, Currency currency, Calendar financialCenterCalendar,
DayCounter dayCounter, Handle <YieldTermStructure> h)
: base(familyName, new Period(1, TimeUnit.Days), settlementDays, currency,
new JointCalendar(new UnitedKingdom(UnitedKingdom.Market.Exchange), financialCenterCalendar, JointCalendar.JointCalendarRule.JoinHolidays),
Utils.liborConvention(new Period(1, TimeUnit.Days)), Utils.liborEOM(new Period(1, TimeUnit.Days)), dayCounter, h)
{
if (!(currency != new EURCurrency()))
{
throw new Exception("for EUR Libor dedicated EurLibor constructor must be used");
}
}
public Libor(string familyName, Period tenor, int settlementDays, Currency currency, Calendar financialCenterCalendar,
DayCounter dayCounter, Handle <YieldTermStructure> h)
: base(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
new UnitedKingdom(UnitedKingdom.Market.Exchange),
Utils.liborConvention(tenor), Utils.liborEOM(tenor),
dayCounter, h)
{
financialCenterCalendar_ = financialCenterCalendar;
jointCalendar_ = new JointCalendar(new UnitedKingdom(UnitedKingdom.Market.Exchange),
financialCenterCalendar, JointCalendar.JointCalendarRule.JoinHolidays);
if (this.tenor().units() == TimeUnit.Days)
{
throw new Exception("for daily tenors (" + this.tenor() +
") dedicated DailyTenor constructor must be used");
}
if (currency == new EURCurrency())
{
throw new Exception("for EUR Libor dedicated EurLibor constructor must be used");
}
}
/// <summary>
///
/// </summary>
/// <param name="familyName"></param>
/// <param name="tenor"></param>
/// <param name="settlementDays"></param>
/// <param name="currency"></param>
/// <param name="financialCenterCalendar"></param>
/// <param name="dayCounter"></param>
/// <param name="h"></param>
/// <remarks>
///
/// 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
/// </remarks>
public Libor(string familyName, Period tenor, int settlementDays, Currency currency, Calendar financialCenterCalendar, DayCounter dayCounter, Handle <YieldTermStructure> h)
: base(familyName, tenor, settlementDays, currency, new UnitedKingdom(UnitedKingdom.Market.Exchange), Utils.liborConvention(tenor), Utils.liborEOM(tenor), dayCounter, h)
{
financialCenterCalendar_ = financialCenterCalendar;
jointCalendar_ = new JointCalendar(new UnitedKingdom(UnitedKingdom.Market.Exchange), financialCenterCalendar, JointCalendar.JointCalendarRule.JoinHolidays);
if (this.tenor().units() == TimeUnit.Days)
{
throw new ApplicationException("for daily tenors (" + this.tenor() + ") dedicated DailyTenor constructor must be used");
}
if (currency == new EURCurrency())
{
throw new ApplicationException("for EUR Libor dedicated EurLibor constructor must be used");
}
}
