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/* -*- 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/amortizingfixedratebond.hpp>
#include <ql/cashflows/cashflowvectors.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/time/schedule.hpp>
namespace QuantLib {
AmortizingFixedRateBond::AmortizingFixedRateBond(
Natural settlementDays,
const std::vector<Real>& notionals,
Schedule schedule,
const std::vector<Rate>& coupons,
const DayCounter& accrualDayCounter,
BusinessDayConvention paymentConvention,
const Date& issueDate,
const Period& exCouponPeriod,
const Calendar& exCouponCalendar,
const BusinessDayConvention exCouponConvention,
bool exCouponEndOfMonth,
const std::vector<Real>& redemptions,
Integer paymentLag)
: Bond(settlementDays, schedule.calendar(), issueDate),
frequency_(schedule.tenor().frequency()),
dayCounter_(accrualDayCounter) {
maturityDate_ = schedule.endDate();
cashflows_ = FixedRateLeg(std::move(schedule))
.withNotionals(notionals)
.withCouponRates(coupons, accrualDayCounter)
.withPaymentAdjustment(paymentConvention)
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth)
.withPaymentLag(paymentLag);
addRedemptionsToCashflows(redemptions);
QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
}
Schedule sinkingSchedule(const Date& startDate,
const Period& bondLength,
const Frequency& frequency,
const Calendar& paymentCalendar) {
Date maturityDate = startDate + bondLength;
Schedule retVal(startDate, maturityDate, Period(frequency),
paymentCalendar, Unadjusted, Unadjusted,
DateGeneration::Backward, false);
return retVal;
}
namespace {
std::pair<Integer,Integer> daysMinMax(const Period& p) {
switch (p.units()) {
case Days:
return std::make_pair(p.length(), p.length());
case Weeks:
return std::make_pair(7*p.length(), 7*p.length());
case Months:
return std::make_pair(28*p.length(), 31*p.length());
case Years:
return std::make_pair(365*p.length(), 366*p.length());
default:
QL_FAIL("unknown time unit (" << Integer(p.units()) << ")");
}
}
bool isSubPeriod(const Period& subPeriod,
const Period& superPeriod,
Integer& numSubPeriods) {
std::pair<Integer, Integer> superDays(daysMinMax(superPeriod));
std::pair<Integer, Integer> subDays(daysMinMax(subPeriod));
//obtain the approximate time ratio
Real minPeriodRatio =
((Real)superDays.first)/((Real)subDays.second);
Real maxPeriodRatio =
((Real)superDays.second)/((Real)subDays.first);
auto lowRatio = static_cast<Integer>(std::floor(minPeriodRatio));
auto highRatio = static_cast<Integer>(std::ceil(maxPeriodRatio));
try {
for(Integer i=lowRatio; i <= highRatio; ++i) {
Period testPeriod = subPeriod * i;
if(testPeriod == superPeriod) {
numSubPeriods = i;
return true;
}
}
} catch(Error&) {
return false;
}
return false;
}
}
std::vector<Real> sinkingNotionals(const Period& bondLength,
const Frequency& sinkingFrequency,
Rate couponRate,
Real initialNotional) {
Integer nPeriods;
QL_REQUIRE(isSubPeriod(Period(sinkingFrequency), bondLength, nPeriods),
"Bond frequency is incompatible with the maturity tenor");
std::vector<Real> notionals(nPeriods+1);
notionals.front() = initialNotional;
Real coupon = couponRate / static_cast<Real>(sinkingFrequency);
Real compoundedInterest = 1.0;
Real totalValue = std::pow(1.0+coupon, nPeriods);
for (Size i = 0; i < (Size)nPeriods-1; ++i) {
compoundedInterest *= (1.0 + coupon);
Real currentNotional = 0.0;
if(coupon < 1.0e-12) {
currentNotional = initialNotional*(1.0 - (i+1.0)/nPeriods);
} else {
currentNotional =
initialNotional*(compoundedInterest - (compoundedInterest-1.0)/(1.0 - 1.0/totalValue));
}
notionals[i+1] = currentNotional;
}
notionals.back() = 0.0;
return notionals;
}
}
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