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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Ferdinando Ametrano
Copyright (C) 2007 StatPro Italia 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
<quantlib-dev@lists.sf.net>. 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/instruments/makecapfloor.hpp>
#include <ql/cashflows/cashflows.hpp>
namespace QuantLib {
MakeCapFloor::MakeCapFloor(CapFloor::Type capFloorType,
const Period& tenor,
const boost::shared_ptr<IborIndex>& index,
Rate strike,
const Period& forwardStart)
: capFloorType_(capFloorType), strike_(strike),
firstCapletExcluded_(forwardStart==0*Days),
discountCurve_(index->termStructure()),
makeVanillaSwap_(MakeVanillaSwap(tenor, index, 0.0, forwardStart)) {}
MakeCapFloor::operator CapFloor() const {
boost::shared_ptr<CapFloor> capfloor = *this;
return *capfloor;
}
MakeCapFloor::operator boost::shared_ptr<CapFloor>() const {
VanillaSwap swap = makeVanillaSwap_;
Leg leg = swap.floatingLeg();
if (firstCapletExcluded_)
leg.erase(leg.begin());
std::vector<Rate> strikeVector(1, strike_);
if (strike_ == Null<Rate>())
strikeVector[0] = CashFlows::atmRate(leg, **discountCurve_);
boost::shared_ptr<CapFloor> capFloor(
new CapFloor(capFloorType_, leg, strikeVector));
capFloor->setPricingEngine(engine_);
return capFloor;
}
MakeCapFloor& MakeCapFloor::withNominal(Real n) {
makeVanillaSwap_.withNominal(n);
return *this;
}
MakeCapFloor& MakeCapFloor::withEffectiveDate(const Date& effectiveDate,
bool firstCapletExcluded) {
makeVanillaSwap_.withEffectiveDate(effectiveDate);
firstCapletExcluded_ = firstCapletExcluded;
return *this;
}
MakeCapFloor& MakeCapFloor::withTenor(const Period& t) {
makeVanillaSwap_.withFixedLegTenor(t);
makeVanillaSwap_.withFloatingLegTenor(t);
return *this;
}
MakeCapFloor& MakeCapFloor::withCalendar(const Calendar& cal) {
makeVanillaSwap_.withFixedLegCalendar(cal);
makeVanillaSwap_.withFloatingLegCalendar(cal);
return *this;
}
MakeCapFloor& MakeCapFloor::withConvention(BusinessDayConvention bdc) {
makeVanillaSwap_.withFixedLegConvention(bdc);
makeVanillaSwap_.withFloatingLegConvention(bdc);
return *this;
}
MakeCapFloor&
MakeCapFloor::withTerminationDateConvention(BusinessDayConvention bdc) {
makeVanillaSwap_.withFixedLegTerminationDateConvention(bdc);
makeVanillaSwap_.withFloatingLegTerminationDateConvention(bdc);
return *this;
}
MakeCapFloor& MakeCapFloor::withRule(DateGeneration::Rule r) {
makeVanillaSwap_.withFixedLegRule(r);
makeVanillaSwap_.withFloatingLegRule(r);
return *this;
}
MakeCapFloor& MakeCapFloor::withEndOfMonth(bool flag) {
makeVanillaSwap_.withFixedLegEndOfMonth(flag);
makeVanillaSwap_.withFloatingLegEndOfMonth(flag);
return *this;
}
MakeCapFloor& MakeCapFloor::withFirstDate(const Date& d) {
makeVanillaSwap_.withFixedLegFirstDate(d);
makeVanillaSwap_.withFloatingLegFirstDate(d);
return *this;
}
MakeCapFloor& MakeCapFloor::withNextToLastDate(const Date& d) {
makeVanillaSwap_.withFixedLegNextToLastDate(d);
makeVanillaSwap_.withFloatingLegNextToLastDate(d);
return *this;
}
MakeCapFloor& MakeCapFloor::withDayCount(const DayCounter& dc) {
makeVanillaSwap_.withFixedLegDayCount(dc);
makeVanillaSwap_.withFloatingLegDayCount(dc);
return *this;
}
MakeCapFloor& MakeCapFloor::withDiscountingTermStructure(
const Handle<YieldTermStructure>& discountingTS) {
makeVanillaSwap_.withDiscountingTermStructure(discountingTS);
discountCurve_ = discountingTS;
return *this;
}
MakeCapFloor& MakeCapFloor::withPricingEngine(
const boost::shared_ptr<PricingEngine>& engine) {
engine_ = engine;
return *this;
}
}
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