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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 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/cashflows/coupon.hpp>
#include <ql/patterns/visitor.hpp>
#include <ql/time/daycounter.hpp>
namespace QuantLib {
Coupon::Coupon(const Date& paymentDate,
Real nominal,
const Date& accrualStartDate,
const Date& accrualEndDate,
const Date& refPeriodStart,
const Date& refPeriodEnd,
const Date& exCouponDate)
: paymentDate_(paymentDate), nominal_(nominal),
accrualStartDate_(accrualStartDate), accrualEndDate_(accrualEndDate),
refPeriodStart_(refPeriodStart), refPeriodEnd_(refPeriodEnd),
exCouponDate_(exCouponDate), accrualPeriod_(Null<Real>()) {
if (refPeriodStart_ == Date())
refPeriodStart_ = accrualStartDate_;
if (refPeriodEnd_ == Date())
refPeriodEnd_ = accrualEndDate_;
}
Time Coupon::accrualPeriod() const {
if (accrualPeriod_ == Null<Real>())
accrualPeriod_ =
dayCounter().yearFraction(accrualStartDate_, accrualEndDate_,
refPeriodStart_, refPeriodEnd_);
return accrualPeriod_;
}
Date::serial_type Coupon::accrualDays() const {
return dayCounter().dayCount(accrualStartDate_,
accrualEndDate_);
}
Time Coupon::accruedPeriod(const Date& d) const {
if (d <= accrualStartDate_ || d > paymentDate_) {
return 0.0;
} else {
return dayCounter().yearFraction(accrualStartDate_,
std::min(d, accrualEndDate_),
refPeriodStart_,
refPeriodEnd_);
}
}
Date::serial_type Coupon::accruedDays(const Date& d) const {
if (d <= accrualStartDate_ || d > paymentDate_) {
return 0;
} else {
return dayCounter().dayCount(accrualStartDate_,
std::min(d, accrualEndDate_));
}
}
void Coupon::accept(AcyclicVisitor& v) {
Visitor<Coupon>* v1 = dynamic_cast<Visitor<Coupon>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
CashFlow::accept(v);
}
}
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