Added bibor index

src/QLNet/Indexes/Ibor/Bibor.cs

@@ -0,0 +1,136 @@
+//  Copyright (C) 2008-2018 Andrea Maggiulli ([email protected])
+//
+//  This file is part of QLNet Project https://github.com/amaggiulli/qlnet
+//  QLNet is free software: you can redistribute it and/or modify it
+//  under the terms of the QLNet license.  You should have received a
+//  copy of the license along with this program; if not, license is
+//  available at <https://github.com/amaggiulli/QLNet/blob/develop/LICENSE>.
+//
+//  QLNet is a based on QuantLib, a free-software/open-source library
+//  for financial quantitative analysts and developers - http://quantlib.org/
+//  The QuantLib license is available online at http://quantlib.org/license.shtml.
+//
+//  This program is distributed in the hope that it will be useful, but WITHOUT
+//  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+//  FOR A PARTICULAR PURPOSE.  See the license for more details.
+
+namespace QLNet
+{
+   /// <summary>
+   /// Bibor index
+   /// Bangkok Interbank Offered Rate  fixed by the Bank of Thailand BOT.
+   /// </summary>
+   public class Bibor : IborIndex
+   {
+      public static BusinessDayConvention BiborConvention(Period p)
+      {
+         switch (p.units())
+         {
+            case TimeUnit.Days:
+            case TimeUnit.Weeks:
+               return BusinessDayConvention.Following;
+            case TimeUnit.Months:
+            case TimeUnit.Years:
+               return BusinessDayConvention.ModifiedFollowing;
+            default:
+               Utils.QL_FAIL("invalid time units");
+               return BusinessDayConvention.Unadjusted;
+         }
+      }
+
+      public static bool BiborEOM(Period p)
+      {
+         switch (p.units())
+         {
+            case TimeUnit.Days:
+            case TimeUnit.Weeks:
+               return false;
+            case TimeUnit.Months:
+            case TimeUnit.Years:
+               return true;
+            default:
+               Utils.QL_FAIL("invalid time units");
+               return false;
+         }
+      }
+
+      public Bibor(Period tenor, Handle<YieldTermStructure> h = null)
+         : base("Bibor", tenor, 2, new THBCurrency(), new Thailand(),
+                BiborConvention(tenor), BiborEOM(tenor),
+                new Actual365Fixed(), h ?? new Handle<YieldTermStructure>())
+      {
+         Utils.QL_REQUIRE(this.tenor().units() != TimeUnit.Days, () =>
+                          "for daily tenors (" + this.tenor() + ") dedicated DailyTenor constructor must be used");
+      }
+
+      /// <summary>
+      /// 1-week Bibor index
+      /// </summary>
+      public class BiborSW : Bibor
+      {
+         public BiborSW(Handle<YieldTermStructure> h = null)
+            : base(new Period(1, TimeUnit.Weeks), h ?? new Handle<YieldTermStructure>())
+         {}
+      }
+
+      /// <summary>
+      /// 1-month Bibor index
+      /// </summary>
+      public class Bibor1M : Bibor
+      {
+         public Bibor1M(Handle<YieldTermStructure> h = null)
+            : base(new Period(1, TimeUnit.Months), h ?? new Handle<YieldTermStructure>())
+         {}
+      }
+
+      /// <summary>
+      /// 2-months Bibor index
+      /// </summary>
+      public class Bibor2M : Bibor
+      {
+         public Bibor2M(Handle<YieldTermStructure> h = null)
+            : base(new Period(2, TimeUnit.Months), h ?? new Handle<YieldTermStructure>())
+         { }
+      }
+
+      /// <summary>
+      /// 3-months Bibor index
+      /// </summary>
+      public class Bibor3M : Bibor
+      {
+         public Bibor3M(Handle<YieldTermStructure> h = null)
+            : base(new Period(3, TimeUnit.Months), h ?? new Handle<YieldTermStructure>())
+         { }
+      }
+
+      /// <summary>
+      /// 6-months Bibor index
+      /// </summary>
+      public class Bibor6M : Bibor
+      {
+         public Bibor6M(Handle<YieldTermStructure> h = null)
+            : base(new Period(6, TimeUnit.Months), h ?? new Handle<YieldTermStructure>())
+         { }
+      }
+
+      /// <summary>
+      /// 9-months Bibor index
+      /// </summary>
+      public class Bibor9M : Bibor
+      {
+         public Bibor9M(Handle<YieldTermStructure> h = null)
+            : base(new Period(9, TimeUnit.Months), h ?? new Handle<YieldTermStructure>())
+         { }
+      }
+
+      /// <summary>
+      /// 1-year Bibor index
+      /// </summary>
+      public class Bibor1Y : Bibor
+      {
+         public Bibor1Y(Handle<YieldTermStructure> h = null)
+            : base(new Period(1, TimeUnit.Years), h ?? new Handle<YieldTermStructure>())
+         { }
+      }
+   }
+}