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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 simpleswap.cpp
\brief Simple fixed-rate vs Libor swap
\fullpath
ql/Instruments/%simpleswap.cpp
*/
// $Id: simpleswap.cpp,v 1.17 2002/03/13 15:40:33 lballabio Exp $
#include <ql/Instruments/simpleswap.hpp>
#include <ql/CashFlows/cashflowvectors.hpp>
namespace QuantLib {
using CashFlows::FixedRateCouponVector;
using CashFlows::FloatingRateCouponVector;
using Indexes::Xibor;
namespace Instruments {
SimpleSwap::SimpleSwap(bool payFixedRate,
const Date& startDate, int n, TimeUnit units,
const Calendar& calendar,
RollingConvention rollingConvention,
double nominal,
int fixedFrequency,
Rate fixedRate,
bool fixedIsAdjusted,
const DayCounter& fixedDayCount,
int floatingFrequency,
const Handle<Xibor>& index,
int indexFixingDays,
Spread spread,
const RelinkableHandle<TermStructure>& termStructure,
const std::string& isinCode, const std::string& description)
: Swap(std::vector<Handle<CashFlow> >(),
std::vector<Handle<CashFlow> >(),
termStructure, isinCode, description),
payFixedRate_(payFixedRate), fixedRate_(fixedRate), spread_(spread),
nominal_(nominal) {
maturity_ = calendar.advance(startDate,n,units,rollingConvention);
if (payFixedRate_) {
firstLeg_ = FixedRateCouponVector(
std::vector<double>(1,nominal),
std::vector<Rate>(1,fixedRate), startDate, maturity_,
fixedFrequency, calendar, rollingConvention,
fixedIsAdjusted, fixedDayCount, fixedDayCount);
secondLeg_ = FloatingRateCouponVector(
std::vector<double>(1,nominal), startDate, maturity_,
floatingFrequency, calendar, rollingConvention,
termStructure, index, indexFixingDays,
std::vector<Spread>(1,spread));
} else {
// I know I'm duplicating the initializations, but the
// alternative is duplicating data
firstLeg_ = FloatingRateCouponVector(
std::vector<double>(1,nominal), startDate, maturity_,
floatingFrequency, calendar, rollingConvention,
termStructure, index, indexFixingDays,
std::vector<Spread>(1,spread));
secondLeg_ = FixedRateCouponVector(
std::vector<double>(1,nominal),
std::vector<Rate>(1,fixedRate), startDate, maturity_,
fixedFrequency, calendar, rollingConvention,
fixedIsAdjusted, fixedDayCount, fixedDayCount);
}
// we should register as observer with the cash flows. However,
// the base Swap class already registers as observer with
// the term structure, which is also the same passed to floating
// rate coupons; the index is only used for past fixings; and
// fixed rate coupons are not modifiable.
}
}
}
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