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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 shortfloatingcoupon.cpp
\brief Short coupon at par on a term structure
\fullpath
ql/CashFlows/%shortfloatingcoupon.cpp
*/
// $Id: shortfloatingcoupon.cpp,v 1.3 2002/03/05 16:58:02 lballabio Exp $
#include <ql/CashFlows/shortfloatingcoupon.hpp>
#include <ql/Indexes/xibormanager.hpp>
namespace QuantLib {
using Indexes::Xibor;
namespace CashFlows {
ShortFloatingRateCoupon::ShortFloatingRateCoupon(double nominal,
const Handle<Xibor>& index,
const RelinkableHandle<TermStructure>& termStructure,
const Date& startDate, const Date& endDate,
int fixingDays, Spread spread,
const Date& refPeriodStart, const Date& refPeriodEnd)
: Coupon(nominal, index->calendar(),index->rollingConvention(),
index->dayCounter(), startDate, endDate,
refPeriodStart, refPeriodEnd),
termStructure_(termStructure), index_(index),
fixingDays_(fixingDays), spread_(spread) {
registerWith(termStructure_);
}
double ShortFloatingRateCoupon::amount() const {
QL_REQUIRE(!termStructure_.isNull(),
"null term structure set to par coupon");
Date settlementDate = termStructure_->settlementDate();
Date fixingDate = index_->calendar().advance(
startDate_, -fixingDays_, Days,
index_->rollingConvention());
Date fixingValueDate = index_->calendar().advance(
fixingDate, index_->settlementDays(), Days,
index_->rollingConvention());
if (fixingValueDate < settlementDate) {
// must have been fixed
// but we have no way to interpolate the fixing yet
throw Error("short/long floating coupons not supported yet"
" (start = " + DateFormatter::toString(startDate_) +
", end = " + DateFormatter::toString(endDate_) + ")");
}
if (fixingValueDate == settlementDate) {
// might have been fixed
// but we have no way to interpolate the fixing yet
try {
; // fall through and forecast
} catch (Error&) {
; // fall through and forecast
}
}
DiscountFactor startDiscount =
termStructure_->discount(fixingValueDate);
DiscountFactor endDiscount =
termStructure_->discount(
index_->calendar().advance(endDate_,
index_->settlementDays()-fixingDays_, Days,
index_->rollingConvention()));
return ((startDiscount/endDiscount-1.0) +
spread_*accrualPeriod()) * nominal();
}
}
}
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