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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Giorgio Facchinetti
Copyright (C) 2009 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/pricingengines/bond/discountingbondengine.hpp>
#include <ql/cashflows/cashflows.hpp>
namespace QuantLib {
DiscountingBondEngine::DiscountingBondEngine(
const Handle<YieldTermStructure>& discountCurve,
boost::optional<bool> includeSettlementDateFlows)
: discountCurve_(discountCurve),
includeSettlementDateFlows_(includeSettlementDateFlows) {
registerWith(discountCurve_);
}
void DiscountingBondEngine::calculate() const {
QL_REQUIRE(!discountCurve_.empty(),
"discounting term structure handle is empty");
results_.valuationDate = (*discountCurve_)->referenceDate();
bool includeRefDateFlows =
includeSettlementDateFlows_ ?
*includeSettlementDateFlows_ :
Settings::instance().includeReferenceDateEvents();
results_.value = CashFlows::npv(arguments_.cashflows,
**discountCurve_,
includeRefDateFlows,
results_.valuationDate,
results_.valuationDate);
// a bond's cashflow on settlement date is never taken into
// account, so we might have to play it safe and recalculate
if (!includeRefDateFlows
&& results_.valuationDate == arguments_.settlementDate) {
// same parameters as above, we can avoid another call
results_.settlementValue = results_.value;
} else {
// no such luck
results_.settlementValue =
CashFlows::npv(arguments_.cashflows,
**discountCurve_,
false,
arguments_.settlementDate,
arguments_.settlementDate);
}
}
}
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