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

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

Hi Ioan,
    I kind of hate to say that, but your changes work on my machine.
I'm going to commit them to the GitHub repository so that you can
check them out and try them. One thing, though: to whom should I
assign the copyright at the beginning of the files?

Luigi


On Thu, Jun 5, 2014 at 5:19 PM, Ioan F. <if...@ny...> wrote:
> 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.
>
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