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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl
Copyright (C) 2007 Ferdinando Ametrano
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/iborcoupon.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/instruments/vanillaswap.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <utility>
namespace QuantLib {
VanillaSwap::VanillaSwap(Type type,
Real nominal,
Schedule fixedSchedule,
Rate fixedRate,
DayCounter fixedDayCount,
Schedule floatSchedule,
ext::shared_ptr<IborIndex> index,
Spread spread,
DayCounter floatingDayCount,
ext::optional<BusinessDayConvention> paymentConvention,
ext::optional<bool> useIndexedCoupons)
: FixedVsFloatingSwap(type, {nominal}, std::move(fixedSchedule), fixedRate, std::move(fixedDayCount),
{nominal}, std::move(floatSchedule), std::move(index), spread, std::move(floatingDayCount),
paymentConvention) {
legs_[1] = IborLeg(floatingSchedule(), iborIndex())
.withNotionals(this->floatingNominals())
.withPaymentDayCounter(this->floatingDayCount())
.withPaymentAdjustment(this->paymentConvention())
.withSpreads(this->spread())
.withIndexedCoupons(useIndexedCoupons);
for (const auto& c : legs_[1])
registerWith(c);
}
void VanillaSwap::setupFloatingArguments(arguments* args) const {
const Leg& floatingCoupons = floatingLeg();
Size n = floatingCoupons.size();
args->floatingResetDates = args->floatingPayDates = args->floatingFixingDates = std::vector<Date>(n);
args->floatingAccrualTimes = std::vector<Time>(n);
args->floatingSpreads = std::vector<Spread>(n);
args->floatingCoupons = args->floatingNominals = std::vector<Real>(n);
for (Size i=0; i<n; ++i) {
auto coupon = ext::dynamic_pointer_cast<IborCoupon>(floatingCoupons[i]);
args->floatingResetDates[i] = coupon->accrualStartDate();
args->floatingPayDates[i] = coupon->date();
args->floatingNominals[i] = coupon->nominal();
args->floatingFixingDates[i] = coupon->fixingDate();
args->floatingAccrualTimes[i] = coupon->accrualPeriod();
args->floatingSpreads[i] = coupon->spread();
try {
args->floatingCoupons[i] = coupon->amount();
} catch (Error&) {
args->floatingCoupons[i] = Null<Real>();
}
}
}
}
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