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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
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 ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
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.
*/
/*! \file cashflowvectors.cpp
\brief Cash flow vector builders
\fullpath
ql/CashFlows/%cashflowvectors.cpp
*/
// $Id: cashflowvectors.cpp,v 1.11 2002/01/28 12:09:46 lballabio Exp $
#include <ql/CashFlows/cashflowvectors.hpp>
#include <ql/CashFlows/fixedratecoupon.hpp>
#include <ql/CashFlows/floatingratecoupon.hpp>
#include <ql/CashFlows/shortfloatingcoupon.hpp>
#include <ql/scheduler.hpp>
namespace QuantLib {
using Indexes::Xibor;
namespace CashFlows {
FixedRateCouponVector::FixedRateCouponVector(
const std::vector<double>& nominals,
const std::vector<Rate>& couponRates,
const Date& startDate, const Date& endDate,
int frequency, const Calendar& calendar,
RollingConvention rollingConvention, bool isAdjusted,
const DayCounter& dayCount, const DayCounter& firstPeriodDayCount,
const Date& stubDate) {
QL_REQUIRE(couponRates.size() != 0, "unspecified coupon rates");
QL_REQUIRE(nominals.size() != 0, "unspecified nominals");
Scheduler scheduler(calendar, startDate, endDate, frequency,
rollingConvention, isAdjusted, stubDate);
// first period might be short or long
Date start = scheduler.date(0), end = scheduler.date(1);
Rate rate = couponRates[0];
double nominal = nominals[0];
if (scheduler.isRegular(1)) {
QL_REQUIRE(dayCount == firstPeriodDayCount,
"regular first bond coupon "
"does not allow a first period day count");
push_back(Handle<CashFlow>(
new FixedRateCoupon(nominal, rate, calendar,
rollingConvention, dayCount,
start, end, start, end)));
} else {
Date reference = end.plusMonths(-12/frequency);
if (isAdjusted)
reference =
calendar.roll(reference,rollingConvention);
push_back(Handle<CashFlow>(
new FixedRateCoupon(nominal, rate, calendar,
rollingConvention, firstPeriodDayCount,
start, end, reference, end)));
}
// regular periods
for (Size i=2; i<scheduler.size()-1; i++) {
start = end; end = scheduler.date(i);
if ((i-1) < couponRates.size())
rate = couponRates[i-1];
else
rate = couponRates.back();
if ((i-1) < nominals.size())
nominal = nominals[i-1];
else
nominal = nominals.back();
push_back(Handle<CashFlow>(
new FixedRateCoupon(nominal, rate, calendar,
rollingConvention, dayCount, start, end,
start, end)));
}
if (scheduler.size() > 2) {
// last period might be short or long
Size N = scheduler.size();
start = end; end = scheduler.date(N-1);
if ((N-2) < couponRates.size())
rate = couponRates[N-2];
else
rate = couponRates.back();
if ((N-2) < nominals.size())
nominal = nominals[N-2];
else
nominal = nominals.back();
if (scheduler.isRegular(N-1)) {
push_back(Handle<CashFlow>(
new FixedRateCoupon(nominal, rate, calendar,
rollingConvention, dayCount, start, end,
start, end)));
} else {
Date reference = start.plusMonths(12/frequency);
if (isAdjusted)
reference =
calendar.roll(reference,rollingConvention);
push_back(Handle<CashFlow>(
new FixedRateCoupon(nominal, rate, calendar,
rollingConvention, dayCount, start, end,
start, reference)));
}
}
}
FloatingRateCouponVector::FloatingRateCouponVector(
const std::vector<double>& nominals,
const Date& startDate, const Date& endDate,
int frequency, const Calendar& calendar,
RollingConvention rollingConvention,
const RelinkableHandle<TermStructure>& termStructure,
const Handle<Xibor>& index, int fixingDays,
const std::vector<Spread>& spreads,
const Date& stubDate) {
QL_REQUIRE(nominals.size() != 0, "unspecified nominals");
Scheduler scheduler(calendar, startDate, endDate, frequency,
rollingConvention, true, stubDate);
// first period might be short or long
Date start = scheduler.date(0), end = scheduler.date(1);
Spread spread;
if (spreads.size() > 0)
spread = spreads[0];
else
spread = 0.0;
double nominal = nominals[0];
if (scheduler.isRegular(1)) {
push_back(Handle<CashFlow>(
new FloatingRateCoupon(nominal, index, termStructure,
start, end, fixingDays, spread, start, end)));
} else {
Date reference = end.plusMonths(-12/frequency);
reference =
calendar.roll(reference,rollingConvention);
push_back(Handle<CashFlow>(
new ShortFloatingRateCoupon(nominal, index, termStructure,
start, end, fixingDays, spread, reference, end)));
}
// regular periods
for (Size i=2; i<scheduler.size()-1; i++) {
start = end; end = scheduler.date(i);
if ((i-1) < spreads.size())
spread = spreads[i-1];
else if (spreads.size() > 0)
spread = spreads.back();
else
spread = 0.0;
if ((i-1) < nominals.size())
nominal = nominals[i-1];
else
nominal = nominals.back();
push_back(Handle<CashFlow>(
new FloatingRateCoupon(nominal, index, termStructure,
start, end, fixingDays, spread, start, end)));
}
if (scheduler.size() > 2) {
// last period might be short or long
Size N = scheduler.size();
start = end; end = scheduler.date(N-1);
if ((N-2) < spreads.size())
spread = spreads[N-2];
else if (spreads.size() > 0)
spread = spreads.back();
else
spread = 0.0;
if ((N-2) < nominals.size())
nominal = nominals[N-2];
else
nominal = nominals.back();
if (scheduler.isRegular(N-1)) {
push_back(Handle<CashFlow>(
new FloatingRateCoupon(nominal, index, termStructure,
start, end, fixingDays, spread, start, end)));
} else {
Date reference = start.plusMonths(12/frequency);
reference =
calendar.roll(reference,rollingConvention);
push_back(Handle<CashFlow>(
new ShortFloatingRateCoupon(nominal, index,
termStructure, start, end, fixingDays, spread,
start, reference)));
}
}
}
}
}
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