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/*
Copyright (C) 2006 Giorgio Facchinetti
Copyright (C) 2006 Mario Pucci
Copyright (C) 2006, 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
<https://www.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/capflooredcoupon.hpp>
#include <ql/cashflows/cashflowvectors.hpp>
#include <ql/cashflows/cmscoupon.hpp>
#include <ql/indexes/swapindex.hpp>
#include <utility>
namespace QuantLib {
CmsCoupon::CmsCoupon(const Date& paymentDate,
Real nominal,
const Date& startDate,
const Date& endDate,
Natural fixingDays,
const ext::shared_ptr<SwapIndex>& swapIndex,
Real gearing,
Spread spread,
const Date& refPeriodStart,
const Date& refPeriodEnd,
const DayCounter& dayCounter,
bool isInArrears,
const Date& exCouponDate)
: FloatingRateCoupon(paymentDate, nominal, startDate, endDate,
fixingDays, swapIndex, gearing, spread,
refPeriodStart, refPeriodEnd,
dayCounter, isInArrears, exCouponDate),
swapIndex_(swapIndex) {}
void CmsCoupon::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<CmsCoupon>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
FloatingRateCoupon::accept(v);
}
CmsLeg::CmsLeg(Schedule schedule, ext::shared_ptr<SwapIndex> swapIndex)
: schedule_(std::move(schedule)), swapIndex_(std::move(swapIndex)) {
QL_REQUIRE(swapIndex_, "no index provided");
}
CmsLeg& CmsLeg::withNotionals(Real notional) {
notionals_ = std::vector<Real>(1, notional);
return *this;
}
CmsLeg& CmsLeg::withNotionals(const std::vector<Real>& notionals) {
notionals_ = notionals;
return *this;
}
CmsLeg& CmsLeg::withPaymentDayCounter(const DayCounter& dayCounter) {
paymentDayCounter_ = dayCounter;
return *this;
}
CmsLeg& CmsLeg::withPaymentAdjustment(BusinessDayConvention convention) {
paymentAdjustment_ = convention;
return *this;
}
CmsLeg& CmsLeg::withFixingDays(Natural fixingDays) {
fixingDays_ = std::vector<Natural>(1, fixingDays);
return *this;
}
CmsLeg& CmsLeg::withFixingDays(const std::vector<Natural>& fixingDays) {
fixingDays_ = fixingDays;
return *this;
}
CmsLeg& CmsLeg::withGearings(Real gearing) {
gearings_ = std::vector<Real>(1, gearing);
return *this;
}
CmsLeg& CmsLeg::withGearings(const std::vector<Real>& gearings) {
gearings_ = gearings;
return *this;
}
CmsLeg& CmsLeg::withSpreads(Spread spread) {
spreads_ = std::vector<Spread>(1, spread);
return *this;
}
CmsLeg& CmsLeg::withSpreads(const std::vector<Spread>& spreads) {
spreads_ = spreads;
return *this;
}
CmsLeg& CmsLeg::withCaps(Rate cap) {
caps_ = std::vector<Rate>(1, cap);
return *this;
}
CmsLeg& CmsLeg::withCaps(const std::vector<Rate>& caps) {
caps_ = caps;
return *this;
}
CmsLeg& CmsLeg::withFloors(Rate floor) {
floors_ = std::vector<Rate>(1, floor);
return *this;
}
CmsLeg& CmsLeg::withFloors(const std::vector<Rate>& floors) {
floors_ = floors;
return *this;
}
CmsLeg& CmsLeg::inArrears(bool flag) {
inArrears_ = flag;
return *this;
}
CmsLeg& CmsLeg::withZeroPayments(bool flag) {
zeroPayments_ = flag;
return *this;
}
CmsLeg& CmsLeg::withExCouponPeriod(
const Period& period,
const Calendar& cal,
BusinessDayConvention convention,
bool endOfMonth) {
exCouponPeriod_ = period;
exCouponCalendar_ = cal;
exCouponAdjustment_ = convention;
exCouponEndOfMonth_ = endOfMonth;
return *this;
}
CmsLeg::operator Leg() const {
return FloatingLeg<SwapIndex, CmsCoupon, CappedFlooredCmsCoupon>(
schedule_, notionals_, swapIndex_, paymentDayCounter_,
paymentAdjustment_, fixingDays_, gearings_, spreads_,
caps_, floors_, inArrears_, zeroPayments_,
0, Calendar(),
exCouponPeriod_, exCouponCalendar_,
exCouponAdjustment_, exCouponEndOfMonth_);
}
}
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