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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
Copyright (C) 2007 Piter Dias
Copyright (C) 2010 Ferdinando Ametrano
Copyright (C) 2017 Joseph Jeisman
Copyright (C) 2017 Fabrice Lecuyer
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/fixedratecoupon.hpp>
using std::vector;
namespace QuantLib {
FixedRateCoupon::FixedRateCoupon(const Date& paymentDate,
Real nominal,
Rate rate,
const DayCounter& dayCounter,
const Date& accrualStartDate,
const Date& accrualEndDate,
const Date& refPeriodStart,
const Date& refPeriodEnd,
const Date& exCouponDate)
: Coupon(paymentDate, nominal, accrualStartDate, accrualEndDate,
refPeriodStart, refPeriodEnd, exCouponDate),
rate_(InterestRate(rate, dayCounter, Simple, Annual)) {}
FixedRateCoupon::FixedRateCoupon(const Date& paymentDate,
Real nominal,
const InterestRate& interestRate,
const Date& accrualStartDate,
const Date& accrualEndDate,
const Date& refPeriodStart,
const Date& refPeriodEnd,
const Date& exCouponDate)
: Coupon(paymentDate, nominal, accrualStartDate, accrualEndDate,
refPeriodStart, refPeriodEnd, exCouponDate),
rate_(interestRate) {}
Real FixedRateCoupon::amount() const {
return nominal()*(rate_.compoundFactor(accrualStartDate_,
accrualEndDate_,
refPeriodStart_,
refPeriodEnd_) - 1.0);
}
Real FixedRateCoupon::accruedAmount(const Date& d) const {
if (d <= accrualStartDate_ || d > paymentDate_) {
// out of coupon range
return 0.0;
} else if (tradingExCoupon(d)) {
return -nominal()*(rate_.compoundFactor(d,
std::max(d, accrualEndDate_),
refPeriodStart_,
refPeriodEnd_) - 1.0);
} else {
// usual case
return nominal()*(rate_.compoundFactor(accrualStartDate_,
std::min(d,accrualEndDate_),
refPeriodStart_,
refPeriodEnd_) - 1.0);
}
}
FixedRateLeg::FixedRateLeg(const Schedule& schedule)
: schedule_(schedule), paymentCalendar_(schedule.calendar()),
paymentAdjustment_(Following), paymentLag_(0) {}
FixedRateLeg& FixedRateLeg::withNotionals(Real notional) {
notionals_ = vector<Real>(1,notional);
return *this;
}
FixedRateLeg& FixedRateLeg::withNotionals(const vector<Real>& notionals) {
notionals_ = notionals;
return *this;
}
FixedRateLeg& FixedRateLeg::withCouponRates(Rate rate,
const DayCounter& dc,
Compounding comp,
Frequency freq) {
couponRates_.resize(1);
couponRates_[0] = InterestRate(rate, dc, comp, freq);
return *this;
}
FixedRateLeg& FixedRateLeg::withCouponRates(const InterestRate& i) {
couponRates_.resize(1);
couponRates_[0] = i;
return *this;
}
FixedRateLeg& FixedRateLeg::withCouponRates(const vector<Rate>& rates,
const DayCounter& dc,
Compounding comp,
Frequency freq) {
couponRates_.resize(rates.size());
for (Size i=0; i<rates.size(); ++i)
couponRates_[i] = InterestRate(rates[i], dc, comp, freq);
return *this;
}
FixedRateLeg& FixedRateLeg::withCouponRates(
const vector<InterestRate>& interestRates) {
couponRates_ = interestRates;
return *this;
}
FixedRateLeg& FixedRateLeg::withPaymentAdjustment(
BusinessDayConvention convention) {
paymentAdjustment_ = convention;
return *this;
}
FixedRateLeg& FixedRateLeg::withFirstPeriodDayCounter(
const DayCounter& dayCounter) {
firstPeriodDC_ = dayCounter;
return *this;
}
FixedRateLeg& FixedRateLeg::withLastPeriodDayCounter(
const DayCounter& dayCounter) {
lastPeriodDC_ = dayCounter;
return *this;
}
FixedRateLeg& FixedRateLeg::withPaymentCalendar(const Calendar& cal) {
paymentCalendar_ = cal;
return *this;
}
FixedRateLeg& FixedRateLeg::withPaymentLag(Natural lag) {
paymentLag_ = lag;
return *this;
}
FixedRateLeg& FixedRateLeg::withExCouponPeriod(
const Period& period,
const Calendar& cal,
BusinessDayConvention convention,
bool endOfMonth) {
exCouponPeriod_ = period;
exCouponCalendar_ = cal;
exCouponAdjustment_ = convention;
exCouponEndOfMonth_ = endOfMonth;
return *this;
}
FixedRateLeg::operator Leg() const {
QL_REQUIRE(!couponRates_.empty(), "no coupon rates given");
QL_REQUIRE(!notionals_.empty(), "no notional given");
Leg leg;
leg.reserve(schedule_.size()-1);
// first period might be short or long
Date start = schedule_.date(0), end = schedule_.date(1);
Date paymentDate = paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_);
Date exCouponDate;
InterestRate rate = couponRates_[0];
Real nominal = notionals_[0];
if (exCouponPeriod_ != Period())
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
Date ref = schedule_.hasTenor() &&
schedule_.hasIsRegular() && !schedule_.isRegular(1) ?
schedule_.calendar().advance(end,
-schedule_.tenor(),
schedule_.businessDayConvention(),
schedule_.endOfMonth())
: start;
InterestRate r(rate.rate(),
firstPeriodDC_.empty() ? rate.dayCounter()
: firstPeriodDC_,
rate.compounding(), rate.frequency());
leg.push_back(ext::shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, r,
start, end, ref, end, exCouponDate)));
// regular periods
for (Size i=2; i<schedule_.size()-1; ++i) {
start = end; end = schedule_.date(i);
Date paymentDate = paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_);
if (exCouponPeriod_ != Period())
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if ((i-1) < couponRates_.size())
rate = couponRates_[i-1];
else
rate = couponRates_.back();
if ((i-1) < notionals_.size())
nominal = notionals_[i-1];
else
nominal = notionals_.back();
leg.push_back(ext::shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, rate,
start, end, start, end, exCouponDate)));
}
if (schedule_.size() > 2) {
// last period might be short or long
Size N = schedule_.size();
start = end; end = schedule_.date(N-1);
Date paymentDate = paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_);
if (exCouponPeriod_ != Period())
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if ((N-2) < couponRates_.size())
rate = couponRates_[N-2];
else
rate = couponRates_.back();
if ((N-2) < notionals_.size())
nominal = notionals_[N-2];
else
nominal = notionals_.back();
InterestRate r( rate.rate(), lastPeriodDC_.empty() ?
rate.dayCounter() :
lastPeriodDC_ , rate.compounding(), rate.frequency() );
if ((schedule_.hasIsRegular() && schedule_.isRegular(N - 1)) ||
!schedule_.hasTenor()) {
leg.push_back(ext::shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, r,
start, end, start, end, exCouponDate)));
} else {
Date ref = schedule_.calendar().advance(
start,
schedule_.tenor(),
schedule_.businessDayConvention(),
schedule_.endOfMonth());
leg.push_back(ext::shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, r,
start, end, start, ref, exCouponDate)));
}
}
return leg;
}
}
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