Add Canadian Overnight Repo Rate Average (CORRA)

QuantLib.vcxproj

@@ -834,6 +834,7 @@
     <ClInclude Include="ql\indexes\ibor\cadlibor.hpp" />
     <ClInclude Include="ql\indexes\ibor\cdor.hpp" />
     <ClInclude Include="ql\indexes\ibor\chflibor.hpp" />
+    <ClInclude Include="ql\indexes\ibor\corra.hpp" />
     <ClInclude Include="ql\indexes\ibor\dkklibor.hpp" />
     <ClInclude Include="ql\indexes\ibor\eonia.hpp" />
     <ClInclude Include="ql\indexes\ibor\estr.hpp" />
@@ -2129,6 +2130,7 @@
     <ClCompile Include="ql\indexes\bmaindex.cpp" />
     <ClCompile Include="ql\indexes\equityindex.cpp" />
     <ClCompile Include="ql\indexes\ibor\bibor.cpp" />
+    <ClCompile Include="ql\indexes\ibor\corra.cpp" />
     <ClCompile Include="ql\indexes\ibor\eonia.cpp" />
     <ClCompile Include="ql\indexes\ibor\estr.cpp" />
     <ClCompile Include="ql\indexes\ibor\euribor.cpp" />
@@ -2830,4 +2832,4 @@
   <Import Project=".\Build.props" Condition="Exists('.\Build.props')" />
   <ImportGroup Label="ExtensionTargets">
   </ImportGroup>
-</Project>
+</Project>

QuantLib.vcxproj.filters

@@ -642,6 +642,9 @@
     <ClInclude Include="ql\indexes\ibor\chflibor.hpp">
       <Filter>indexes\ibor</Filter>
     </ClInclude>
+    <ClInclude Include="ql\indexes\ibor\corra.hpp">
+      <Filter>indexes\ibor</Filter>
+    </ClInclude>
     <ClInclude Include="ql\indexes\ibor\dkklibor.hpp">
       <Filter>indexes\ibor</Filter>
     </ClInclude>
@@ -4584,6 +4587,9 @@
     <ClCompile Include="ql\indexes\ibor\bibor.cpp">
       <Filter>indexes\ibor</Filter>
     </ClCompile>
+    <ClCompile Include="ql\indexes\ibor\corra.cpp">
+      <Filter>indexes\ibor</Filter>
+    </ClCompile>
     <ClCompile Include="ql\indexes\ibor\eonia.cpp">
       <Filter>indexes\ibor</Filter>
     </ClCompile>
@@ -7184,4 +7190,4 @@
       <Filter>time\daycounters</Filter>
     </ClCompile>
   </ItemGroup>
-</Project>
+</Project>

ql/CMakeLists.txt

@@ -237,6 +237,7 @@ set(QL_SOURCES
     indexes/bmaindex.cpp
     indexes/equityindex.cpp
     indexes/ibor/bibor.cpp
+    indexes/ibor/corra.cpp
     indexes/ibor/eonia.cpp
     indexes/ibor/estr.cpp
     indexes/ibor/euribor.cpp
@@ -1250,6 +1251,7 @@ set(QL_HEADERS
     indexes/ibor/cadlibor.hpp
     indexes/ibor/cdor.hpp
     indexes/ibor/chflibor.hpp
+    indexes/ibor/corra.hpp
     indexes/ibor/dkklibor.hpp
     indexes/ibor/eonia.hpp
     indexes/ibor/estr.hpp

ql/indexes/ibor/Makefile.am

@@ -12,6 +12,7 @@ this_include_HEADERS = \
     cadlibor.hpp \
     cdor.hpp \
     chflibor.hpp \
+    corra.hpp \
     dkklibor.hpp \
     eonia.hpp \
     estr.hpp \
@@ -41,6 +42,7 @@ this_include_HEADERS = \
 
 cpp_files = \
     bibor.cpp \
+    corra.cpp \
     eonia.cpp \
     estr.cpp \
     euribor.cpp \

ql/indexes/ibor/all.hpp

@@ -9,6 +9,7 @@
 #include <ql/indexes/ibor/cadlibor.hpp>
 #include <ql/indexes/ibor/cdor.hpp>
 #include <ql/indexes/ibor/chflibor.hpp>
+#include <ql/indexes/ibor/corra.hpp>
 #include <ql/indexes/ibor/dkklibor.hpp>
 #include <ql/indexes/ibor/eonia.hpp>
 #include <ql/indexes/ibor/estr.hpp>

ql/indexes/ibor/corra.cpp

@@ -0,0 +1,27 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2023 Aditya Narayan Das
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <[email protected]>. The license is also 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.
+*/
+
+#include <ql/currencies/america.hpp>
+#include <ql/indexes/ibor/corra.hpp>
+#include <ql/time/calendars/canada.hpp>
+
+namespace QuantLib {
+    Corra::Corra(const Handle<YieldTermStructure>& h)
+    : OvernightIndex("CORRA", 0, CADCurrency(), Canada(), Actual365Fixed(), h) {}
+}

ql/indexes/ibor/corra.hpp

@@ -0,0 +1,33 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2023 Aditya Narayan Das
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <[email protected]>. The license is also 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.
+*/
+
+#ifndef quantlib_corra_hpp
+#define quantlib_corra_hpp
+
+#include <ql/indexes/iborindex.hpp>
+
+namespace QuantLib {
+    class Corra : public OvernightIndex {
+      public:
+        explicit Corra(const Handle<YieldTermStructure>& h = {});
+    };
+}
+
+
+#endif