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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.
*/
/*! \file amortizingfloatingratebond.hpp
\brief amortizing floating-rate bond
*/
#ifndef quantlib_amortizing_floating_rate_bond_hpp
#define quantlib_amortizing_floating_rate_bond_hpp
#include <ql/instruments/bond.hpp>
namespace QuantLib {
class Schedule;
class IborIndex;
//! amortizing floating-rate bond (possibly capped and/or floored)
class AmortizingFloatingRateBond : public Bond {
public:
AmortizingFloatingRateBond(Natural settlementDays,
const std::vector<Real>& notional,
Schedule schedule,
const ext::shared_ptr<IborIndex>& index,
const DayCounter& accrualDayCounter,
BusinessDayConvention paymentConvention = Following,
Natural fixingDays = Null<Natural>(),
const std::vector<Real>& gearings = { 1.0 },
const std::vector<Spread>& spreads = { 0.0 },
const std::vector<Rate>& caps = {},
const std::vector<Rate>& floors = {},
bool inArrears = false,
const Date& issueDate = Date(),
const Period& exCouponPeriod = Period(),
const Calendar& exCouponCalendar = Calendar(),
BusinessDayConvention exCouponConvention = Unadjusted,
bool exCouponEndOfMonth = false,
const std::vector<Real>& redemptions = { 100.0 },
Integer paymentLag = 0);
};
}
#endif
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