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

Posted by Luigi Ballabio on Mar 17, 2015; 8:39am
URL: http://quantlib.414.s1.nabble.com/QuantLib-extension-creating-a-FedFunds-derived-class-equivalent-of-Eonia-for-USD-tp15344p16374.html

Thanks, I've added the correction to the git repository.

Luigi

On Mon, Mar 16, 2015 at 1:42 PM, Ioan F. <[hidden email]> wrote:
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) {}

}




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Dive into the World of Parallel Programming The Go Parallel Website, sponsored
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things parallel software development, from weekly thought leadership blogs to
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conversation now. http://goparallel.sourceforge.net/
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