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

[Luigi B. <lui...@gm...>]

Ioan,
    may you post the relevant section of the .i file?

Thanks,
    Luigi


On Fri, May 30, 2014 at 10:52 PM, Ioan F. <if...@ny...> wrote:
> 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) {}
>
> }
>
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/QuantLib-extension-creating-a-FedFunds-derived-class-equivalent-of-Eonia-for-USD-tp15344.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
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