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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2006, 2007 Chiara Fornarola
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.
*/
/*! \file cmsratebond.hpp
\brief CMS-rate bond
*/
#ifndef quantlib_cms_rate_bond_hpp
#define quantlib_cms_rate_bond_hpp
#include <ql/instruments/bond.hpp>
namespace QuantLib {
class Schedule;
class SwapIndex;
//! CMS-rate bond
/*! \ingroup instruments
\test calculations are tested by checking results against
cached values.
*/
class CmsRateBond : public Bond {
public:
CmsRateBond(Natural settlementDays,
Real faceAmount,
const Schedule& schedule,
const boost::shared_ptr<SwapIndex>& index,
const DayCounter& paymentDayCounter,
BusinessDayConvention paymentConvention
= Following,
Natural fixingDays = Null<Natural>(),
const std::vector<Real>& gearings
= std::vector<Real>(1, 1.0),
const std::vector<Spread>& spreads
= std::vector<Spread>(1, 0.0),
const std::vector<Rate>& caps
= std::vector<Rate>(),
const std::vector<Rate>& floors
= std::vector<Rate>(),
bool inArrears = false,
Real redemption = 100.0,
const Date& issueDate = Date());
};
}
#endif
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