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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 Jose Aparicio
Copyright (C) 2014 Peter Caspers
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.
*/
/*! \file makecds.hpp
\brief Helper class to instantiate standard market cds.
*/
#ifndef quantlib_makecds_hpp
#define quantlib_makecds_hpp
#include <ql/instruments/creditdefaultswap.hpp>
#include <boost/optional.hpp>
namespace QuantLib {
//! helper class
/*! This class provides a more comfortable way
to instantiate standard cds.
*/
class MakeCreditDefaultSwap {
public:
MakeCreditDefaultSwap(const Period& tenor, Real couponRate);
MakeCreditDefaultSwap(const Date& termDate, Real couponRate);
operator CreditDefaultSwap() const;
operator ext::shared_ptr<CreditDefaultSwap>() const;
MakeCreditDefaultSwap& withUpfrontRate(Real);
MakeCreditDefaultSwap& withSide(Protection::Side);
MakeCreditDefaultSwap& withNominal(Real);
MakeCreditDefaultSwap& withCouponTenor(Period);
MakeCreditDefaultSwap& withDayCounter(DayCounter&);
MakeCreditDefaultSwap& withLastPeriodDayCounter(DayCounter&);
MakeCreditDefaultSwap& withDateGenerationRule(DateGeneration::Rule rule);
MakeCreditDefaultSwap& withCashSettlementDays(Natural cashSettlementDays);
MakeCreditDefaultSwap& withPricingEngine(const ext::shared_ptr<PricingEngine>&);
private:
Protection::Side side_;
Real nominal_;
boost::optional<Period> tenor_;
boost::optional<Date> termDate_;
Period couponTenor_;
Real couponRate_;
Real upfrontRate_;
DayCounter dayCounter_;
DayCounter lastPeriodDayCounter_;
DateGeneration::Rule rule_;
Natural cashSettlementDays_;
ext::shared_ptr<PricingEngine> engine_;
};
}
#endif
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