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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Giorgio Facchinetti
Copyright (C) 2006, 2007 Cristina Duminuco
Copyright (C) 2006 Ferdinando Ametrano
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004 StatPro Italia srl
Copyright (C) 2003 Nicolas Di Césaré
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/couponpricer.hpp>
#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/indexes/interestrateindex.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <utility>
namespace QuantLib {
FloatingRateCoupon::FloatingRateCoupon(const Date& paymentDate,
Real nominal,
const Date& startDate,
const Date& endDate,
Natural fixingDays,
const ext::shared_ptr<InterestRateIndex>& index,
Real gearing,
Spread spread,
const Date& refPeriodStart,
const Date& refPeriodEnd,
DayCounter dayCounter,
bool isInArrears,
const Date& exCouponDate)
: Coupon(paymentDate, nominal, startDate, endDate, refPeriodStart, refPeriodEnd, exCouponDate),
index_(index), dayCounter_(std::move(dayCounter)),
fixingDays_(fixingDays == Null<Natural>() ? (index ? index->fixingDays() : 0) : fixingDays),
gearing_(gearing), spread_(spread), isInArrears_(isInArrears) {
QL_REQUIRE(index_, "no index provided");
QL_REQUIRE(gearing_!=0, "Null gearing not allowed");
if (dayCounter_.empty())
dayCounter_ = index_->dayCounter();
registerWith(index_);
registerWith(Settings::instance().evaluationDate());
}
void FloatingRateCoupon::setPricer(
const ext::shared_ptr<FloatingRateCouponPricer>& pricer) {
if (pricer_ != nullptr)
unregisterWith(pricer_);
pricer_ = pricer;
if (pricer_ != nullptr)
registerWith(pricer_);
update();
}
Real FloatingRateCoupon::accruedAmount(const Date& d) const {
if (d <= accrualStartDate_ || d > paymentDate_) {
// out of coupon range
return 0.0;
} else {
return nominal() * rate() * accruedPeriod(d);
}
}
Date FloatingRateCoupon::fixingDate() const {
// if isInArrears_ fix at the end of period
Date refDate = isInArrears_ ? accrualEndDate_ : accrualStartDate_;
return index_->fixingCalendar().advance(refDate,
-static_cast<Integer>(fixingDays_), Days, Preceding);
}
Rate FloatingRateCoupon::rate() const {
calculate();
return rate_;
}
void FloatingRateCoupon::performCalculations() const {
QL_REQUIRE(pricer_, "pricer not set");
pricer_->initialize(*this);
rate_ = pricer_->swapletRate();
}
Real FloatingRateCoupon::price(const Handle<YieldTermStructure>& discountingCurve) const {
return amount() * discountingCurve->discount(date());
}
Rate FloatingRateCoupon::indexFixing() const {
return index_->fixing(fixingDate());
}
}
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