[Quantlib-dev] QuantLib extension - creating a FedFunds derived class (equivalent of Eonia for USD)

[Ioan F. <if...@ny...>]

Hello,

I want to duplicate the derived Eonia OvernightIndex class as a derived
FedFunds OvernightIndex class directly by adding one header and one source
file (see below) to the <ql/indexes/ibor> QuantLib sub-folder.
Additionally, I modified the Makefile.in file to include the two files when
building the QuantLib solution (in Visual Studio 11).
I can (re)build the solution without any problems, but when I try to use the
FedFunds class in Python (after adding to the indexes.i SWIG interface file
in a manner similar to the one which allowed me to successfully expose the
Sonia class for GBP), I get the error: 

NameError: name 'FedFunds' is not defined

Please note that when the same code with Eonia (instead of FedFunds) works
fine (although I need to join the US and European calendars).

Any help / suggestions appreciated.
Also, if the files below are any good, feel free to use them.

Thank you,
Ioan



fedfunds.hpp:



/*! \file fedfunds.hpp
    \brief %FedFunds index
*/

#ifndef quantlib_fedfunds_hpp
#define quantlib_fedfunds_hpp

#include <ql/indexes/iborindex.hpp>

namespace QuantLib {

    //! %Fed Funds (for balances held at the Federal Reserve) rate fixed by
the FED.
    class FedFunds : public OvernightIndex {
      public:
        FedFunds(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>());
    };

}

#endif




fedfunds.cpp:



#include <ql/indexes/ibor/fedfunds.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <ql/currencies/america.hpp>

namespace QuantLib {

    FedFunds::FedFunds(const Handle<YieldTermStructure>& h)
		: OvernightIndex("FedFunds", 0, 
						USDCurrency(), 
						UnitedStates(UnitedStates::Settlement), 
						Actual365Fixed(), h) {}

}




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