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

Posted by Ioan F. on Mar 16, 2015; 12:42pm
URL: http://quantlib.414.s1.nabble.com/QuantLib-extension-creating-a-FedFunds-derived-class-equivalent-of-Eonia-for-USD-tp15344p16369.html

Luigi,

After testing, it seems that we are not using the correct day count convention when defining the Fed Funds Overnight Index. The change is minimal, and below please see the correct version of the fedfunds.cpp file. If I may suggest so, please update the library to reflect the correction.
A quick confirmation message would be highly appreciated (so I know we don't need to worry about it going forward and that will be included in the next official release).
 
Thank you,
Ioan

fedfunds.cpp:

#include <ql/indexes/ibor/fedfunds.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/currencies/america.hpp>

namespace QuantLib {

    FedFunds::FedFunds(const Handle<YieldTermStructure>& h)
                : OvernightIndex("FedFunds", 0,
                                                USDCurrency(),
                                                UnitedStates(UnitedStates::Settlement),
                                                Actual360(), h) {}

}