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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Cristina Duminuco
Copyright (C) 2007 Giorgio Facchinetti
Copyright (C) 2007 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/cashflows/digitaliborcoupon.hpp>
#include <ql/cashflows/cashflowvectors.hpp>
namespace QuantLib {
DigitalIborCoupon::DigitalIborCoupon(
const boost::shared_ptr<IborCoupon>& underlying,
Rate callStrike,
Position::Type callPosition,
bool isCallATMIncluded,
Rate callDigitalPayoff,
Rate putStrike,
Position::Type putPosition,
bool isPutATMIncluded,
Rate putDigitalPayoff,
const boost::shared_ptr<DigitalReplication>& replication)
: DigitalCoupon(underlying, callStrike, callPosition, isCallATMIncluded,
callDigitalPayoff, putStrike, putPosition,
isPutATMIncluded, putDigitalPayoff, replication) {}
void DigitalIborCoupon::accept(AcyclicVisitor& v) {
typedef DigitalCoupon super;
Visitor<DigitalIborCoupon>* v1 =
dynamic_cast<Visitor<DigitalIborCoupon>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
super::accept(v);
}
DigitalIborLeg::DigitalIborLeg(const Schedule& schedule,
const boost::shared_ptr<IborIndex>& index)
: schedule_(schedule), index_(index),
paymentAdjustment_(Following), inArrears_(false),
longCallOption_(Position::Long), callATM_(false),
longPutOption_(Position::Long), putATM_(false) {}
DigitalIborLeg& DigitalIborLeg::withNotionals(Real notional) {
notionals_ = std::vector<Real>(1,notional);
return *this;
}
DigitalIborLeg& DigitalIborLeg::withNotionals(
const std::vector<Real>& notionals) {
notionals_ = notionals;
return *this;
}
DigitalIborLeg& DigitalIborLeg::withPaymentDayCounter(
const DayCounter& dayCounter) {
paymentDayCounter_ = dayCounter;
return *this;
}
DigitalIborLeg& DigitalIborLeg::withPaymentAdjustment(
BusinessDayConvention convention) {
paymentAdjustment_ = convention;
return *this;
}
DigitalIborLeg& DigitalIborLeg::withFixingDays(Natural fixingDays) {
fixingDays_ = std::vector<Natural>(1,fixingDays);
return *this;
}
DigitalIborLeg& DigitalIborLeg::withFixingDays(
const std::vector<Natural>& fixingDays) {
fixingDays_ = fixingDays;
return *this;
}
DigitalIborLeg& DigitalIborLeg::withGearings(Real gearing) {
gearings_ = std::vector<Real>(1,gearing);
return *this;
}
DigitalIborLeg& DigitalIborLeg::withGearings(
const std::vector<Real>& gearings) {
gearings_ = gearings;
return *this;
}
DigitalIborLeg& DigitalIborLeg::withSpreads(Spread spread) {
spreads_ = std::vector<Spread>(1,spread);
return *this;
}
DigitalIborLeg& DigitalIborLeg::withSpreads(
const std::vector<Spread>& spreads) {
spreads_ = spreads;
return *this;
}
DigitalIborLeg& DigitalIborLeg::inArrears(bool flag) {
inArrears_ = flag;
return *this;
}
DigitalIborLeg& DigitalIborLeg::withCallStrikes(Rate strike) {
callStrikes_ = std::vector<Rate>(1,strike);
return *this;
}
DigitalIborLeg& DigitalIborLeg::withCallStrikes(
const std::vector<Rate>& strikes) {
callStrikes_ = strikes;
return *this;
}
DigitalIborLeg& DigitalIborLeg::withLongCallOption(Position::Type type) {
longCallOption_ = type;
return *this;
}
DigitalIborLeg& DigitalIborLeg::withCallATM(bool flag) {
callATM_ = flag;
return *this;
}
DigitalIborLeg& DigitalIborLeg::withCallPayoffs(Rate payoff) {
callPayoffs_ = std::vector<Rate>(1,payoff);
return *this;
}
DigitalIborLeg& DigitalIborLeg::withCallPayoffs(
const std::vector<Rate>& payoffs) {
callPayoffs_ = payoffs;
return *this;
}
DigitalIborLeg& DigitalIborLeg::withPutStrikes(Rate strike) {
putStrikes_ = std::vector<Rate>(1,strike);
return *this;
}
DigitalIborLeg& DigitalIborLeg::withPutStrikes(
const std::vector<Rate>& strikes) {
putStrikes_ = strikes;
return *this;
}
DigitalIborLeg& DigitalIborLeg::withLongPutOption(Position::Type type) {
longPutOption_ = type;
return *this;
}
DigitalIborLeg& DigitalIborLeg::withPutATM(bool flag) {
putATM_ = flag;
return *this;
}
DigitalIborLeg& DigitalIborLeg::withPutPayoffs(Rate payoff) {
putPayoffs_ = std::vector<Rate>(1,payoff);
return *this;
}
DigitalIborLeg& DigitalIborLeg::withPutPayoffs(
const std::vector<Rate>& payoffs) {
putPayoffs_ = payoffs;
return *this;
}
DigitalIborLeg& DigitalIborLeg::withReplication(
const boost::shared_ptr<DigitalReplication>& replication) {
replication_ = replication;
return *this;
}
DigitalIborLeg::operator Leg() const {
return FloatingDigitalLeg<IborIndex, IborCoupon, DigitalIborCoupon>(
schedule_, notionals_, index_, paymentDayCounter_,
paymentAdjustment_, fixingDays_,
gearings_, spreads_, inArrears_,
callStrikes_, longCallOption_,
callATM_, callPayoffs_,
putStrikes_, longPutOption_,
putATM_, putPayoffs_,
replication_);
}
}
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