1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Simon Ibbotson
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/instruments/bonds/amortizingcmsratebond.hpp>
#include <ql/cashflows/cmscoupon.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/time/schedule.hpp>
namespace QuantLib {
AmortizingCmsRateBond::AmortizingCmsRateBond(
Natural settlementDays,
const std::vector<Real>& notionals,
Schedule schedule,
const ext::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,
const Date& issueDate,
const std::vector<Real>& redemptions)
: Bond(settlementDays, schedule.calendar(), issueDate) {
maturityDate_ = schedule.endDate();
cashflows_ = CmsLeg(std::move(schedule), index)
.withNotionals(notionals)
.withPaymentDayCounter(paymentDayCounter)
.withPaymentAdjustment(paymentConvention)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.withCaps(caps)
.withFloors(floors)
.inArrears(inArrears);
addRedemptionsToCashflows(redemptions);
QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
registerWith(index);
}
}
|
