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

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

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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