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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 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/claim.hpp>
namespace QuantLib {
Real FaceValueClaim::amount(const Date&,
Real notional,
Real recoveryRate) const {
return notional * (1.0-recoveryRate);
}
FaceValueAccrualClaim::FaceValueAccrualClaim(
const ext::shared_ptr<Bond>& referenceSecurity)
: referenceSecurity_(referenceSecurity) {
registerWith(referenceSecurity);
}
Real FaceValueAccrualClaim::amount(const Date& d,
Real notional,
Real recoveryRate) const {
Real accrual = referenceSecurity_->accruedAmount(d)
/ referenceSecurity_->notional(d);
return notional * (1.0-recoveryRate-accrual);
}
}
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