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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2006, 2007 Chiara Fornarola
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/instruments/bonds/cmsratebond.hpp>
#include <ql/cashflows/cmscoupon.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/time/schedule.hpp>
namespace QuantLib {
CmsRateBond::CmsRateBond(
Natural settlementDays,
Real faceAmount,
const Schedule& schedule,
const boost::shared_ptr<SwapIndex>& index,
const DayCounter& paymentDayCounter,
BusinessDayConvention paymentConvention,
Natural fixingDays,
const std::vector<Real>& gearings,
const std::vector<Spread>& spreads,
const std::vector<Rate>& caps,
const std::vector<Rate>& floors,
bool inArrears,
Real redemption,
const Date& issueDate)
: Bond(settlementDays, schedule.calendar(), issueDate) {
maturityDate_ = schedule.endDate();
cashflows_ = CmsLeg(schedule, index)
.withNotionals(faceAmount)
.withPaymentDayCounter(paymentDayCounter)
.withPaymentAdjustment(paymentConvention)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.withCaps(caps)
.withFloors(floors)
.inArrears(inArrears);
addRedemptionsToCashflows(std::vector<Real>(1, redemption));
QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
QL_ENSURE(redemptions_.size() == 1, "multiple redemptions created");
registerWith(index);
}
}
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