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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 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.
*/
/*! \file makeois.hpp
\brief Helper class to instantiate overnight indexed swaps.
*/
#ifndef quantlib_makeois_hpp
#define quantlib_makeois_hpp
#include <ql/instruments/overnightindexedswap.hpp>
#include <ql/time/dategenerationrule.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
//! helper class
/*! This class provides a more comfortable way
to instantiate overnight indexed swaps.
*/
class MakeOIS {
public:
MakeOIS(const Period& swapTenor,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
Rate fixedRate = Null<Rate>(),
const Period& fwdStart = 0*Days);
operator OvernightIndexedSwap() const;
operator ext::shared_ptr<OvernightIndexedSwap>() const ;
MakeOIS& receiveFixed(bool flag = true);
MakeOIS& withType(Swap::Type type);
MakeOIS& withNominal(Real n);
MakeOIS& withSettlementDays(Natural settlementDays);
MakeOIS& withEffectiveDate(const Date&);
MakeOIS& withTerminationDate(const Date&);
MakeOIS& withRule(DateGeneration::Rule r);
MakeOIS& withPaymentFrequency(Frequency f);
MakeOIS& withPaymentAdjustment(BusinessDayConvention convention);
MakeOIS& withPaymentLag(Natural lag);
MakeOIS& withPaymentCalendar(const Calendar& cal);
MakeOIS& withEndOfMonth(bool flag = true);
MakeOIS& withFixedLegDayCount(const DayCounter& dc);
MakeOIS& withOvernightLegSpread(Spread sp);
MakeOIS& withDiscountingTermStructure(
const Handle<YieldTermStructure>& discountingTermStructure);
MakeOIS &withTelescopicValueDates(bool telescopicValueDates);
MakeOIS& withAveragingMethod(RateAveraging::Type averagingMethod);
MakeOIS& withPricingEngine(
const ext::shared_ptr<PricingEngine>& engine);
private:
Period swapTenor_;
ext::shared_ptr<OvernightIndex> overnightIndex_;
Rate fixedRate_;
Period forwardStart_;
Natural settlementDays_ = 2;
Date effectiveDate_, terminationDate_;
Calendar calendar_;
Frequency paymentFrequency_ = Annual;
Calendar paymentCalendar_;
BusinessDayConvention paymentAdjustment_ = Following;
Natural paymentLag_ = 0;
DateGeneration::Rule rule_ = DateGeneration::Backward;
bool endOfMonth_ = false, isDefaultEOM_ = true;
Swap::Type type_ = Swap::Payer;
Real nominal_ = 1.0;
Spread overnightSpread_ = 0.0;
DayCounter fixedDayCount_;
ext::shared_ptr<PricingEngine> engine_;
bool telescopicValueDates_ = false;
RateAveraging::Type averagingMethod_ = RateAveraging::Compound;
};
}
#endif
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