Login  Register

Re: QuantLib extension - creating a FedFunds derived class (equivalent of Eonia for USD)

Posted by Luigi Ballabio on Jun 05, 2014; 4:18pm
URL: http://quantlib.414.s1.nabble.com/QuantLib-extension-creating-a-FedFunds-derived-class-equivalent-of-Eonia-for-USD-tp15344p15396.html

Hi Ioan,
    I kind of hate to say that, but your changes work on my machine.
I'm going to commit them to the GitHub repository so that you can
check them out and try them. One thing, though: to whom should I
assign the copyright at the beginning of the files?

Luigi


On Thu, Jun 5, 2014 at 5:19 PM, Ioan F. <[hidden email]> wrote:

> Hi Luigi,
>
> Thank you for the reply. Please see the relevant part of the indexes.i
> interface file below.
> Also note that the first two "export_quoted_xibor_instance" calls work fine,
> as I was able to use them in Python (Eonia and Sonia), while the third one
> (FedFunds) gives me the error.
>
> Regards,
> Ioan
>
>
> *// OvernightIndex indexes
> %{
> using QuantLib::OvernightIndex;
> typedef boost::shared_ptr<Index> OvernightIndexPtr;
> %}
>
> %rename(OvernightIndex) OvernightIndexPtr;
>
> class OvernightIndexPtr : public IborIndexPtr {
>   public:
>     %extend {
>         OvernightIndexPtr(const std::string& familyName,
>                      Natural settlementDays,
>                      const Currency& currency,
>                      const Calendar& calendar,
>                      const DayCounter& dayCounter,
>                      const Handle<YieldTermStructure>& h =
>                                     Handle<YieldTermStructure>())
>                      {
>                     return new OvernightIndexPtr(new
> OvernightIndex(familyName,
>                                                   settlementDays,
>                                                   currency,
>                                                   calendar,
>                                                   dayCounter, h));
>         }
>     }
> };
>
> export_quoted_xibor_instance(Eonia,OvernightIndex);
> export_quoted_xibor_instance(Sonia,OvernightIndex);
> export_quotes_xibor_instance(FedFunds,OvernightIndex);*
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/QuantLib-extension-creating-a-FedFunds-derived-class-equivalent-of-Eonia-for-USD-tp15344p15395.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> Learn Graph Databases - Download FREE O'Reilly Book
> "Graph Databases" is the definitive new guide to graph databases and their
> applications. Written by three acclaimed leaders in the field,
> this first edition is now available. Download your free book today!
> http://p.sf.net/sfu/NeoTech
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev



--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

------------------------------------------------------------------------------
Learn Graph Databases - Download FREE O'Reilly Book
"Graph Databases" is the definitive new guide to graph databases and their
applications. Written by three acclaimed leaders in the field,
this first edition is now available. Download your free book today!
http://p.sf.net/sfu/NeoTech
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev