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

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

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.