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

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

Thanks, I've added the correction to the git repository.

Luigi

On Mon, Mar 16, 2015 at 1:42 PM, Ioan F. <if...@ny...> wrote:

> 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) {}
>
> }
>
>
>
>
> --
> View this message in context:
> http://quantlib.10058.n7.nabble.com/QuantLib-extension-creating-a-FedFunds-derived-class-equivalent-of-Eonia-for-USD-tp15344p16369.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
>
> ------------------------------------------------------------------------------
> Dive into the World of Parallel Programming The Go Parallel Website,
> sponsored
> by Intel and developed in partnership with Slashdot Media, is your hub for
> all
> things parallel software development, from weekly thought leadership blogs
> to
> news, videos, case studies, tutorials and more. Take a look and join the
> conversation now. http://goparallel.sourceforge.net/
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>



-- 
<https://leanpub.com/implementingquantlib/>
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>