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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Allen Kuo
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/fixedratebondforward.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/cashflow.hpp>
namespace QuantLib {
FixedRateBondForward::FixedRateBondForward(
const Date& valueDate,
const Date& maturityDate,
Position::Type type,
Real strike,
Natural settlementDays,
const DayCounter& dayCounter,
const Calendar& calendar,
BusinessDayConvention businessDayConvention,
const ext::shared_ptr<FixedRateBond>& fixedCouponBond,
const Handle<YieldTermStructure>& discountCurve,
const Handle<YieldTermStructure>& incomeDiscountCurve)
: Forward(dayCounter, calendar, businessDayConvention, settlementDays,
ext::shared_ptr<Payoff>(new ForwardTypePayoff(type,strike)),
valueDate, maturityDate, discountCurve),
fixedCouponBond_(fixedCouponBond) {
incomeDiscountCurve_ = incomeDiscountCurve;
registerWith(incomeDiscountCurve_);
registerWith(fixedCouponBond);
}
Real FixedRateBondForward::cleanForwardPrice() const {
return forwardValue() -
fixedCouponBond_->accruedAmount(maturityDate_);
}
Real FixedRateBondForward::forwardPrice() const {
return forwardValue();
}
Real FixedRateBondForward::spotIncome(const Handle<YieldTermStructure>&
incomeDiscountCurve) const {
Real income = 0.0;
Date settlement = settlementDate();
Leg cf =
fixedCouponBond_->cashflows();
/*
the following assumes
1. cashflows are in ascending order !
2. considers as income: all coupons paid between settlementDate()
and contract delivery/maturity date
*/
for (Size i = 0; i < cf.size(); ++i) {
if (!cf[i]->hasOccurred(settlement, false)) {
if (cf[i]->hasOccurred(maturityDate_, false)) {
income += cf[i]->amount() *
incomeDiscountCurve->discount(cf[i]->date()) ;
} else {
break;
}
}
}
return income;
}
Real FixedRateBondForward::spotValue() const {
return fixedCouponBond_->dirtyPrice();
}
void FixedRateBondForward::performCalculations() const {
underlyingSpotValue_ = spotValue();
underlyingIncome_ = spotIncome(incomeDiscountCurve_);
Forward::performCalculations();
}
}
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