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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004 Jeff Yu
Copyright (C) 2004 M-Dimension Consulting Inc.
Copyright (C) 2005, 2006, 2007 StatPro Italia srl
Copyright (C) 2007, 2008, 2010 Ferdinando Ametrano
Copyright (C) 2009 Piter Dias
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/fixedratebond.hpp>
#include <ql/cashflows/cashflowvectors.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/time/schedule.hpp>
namespace QuantLib {
FixedRateBond::FixedRateBond(Natural settlementDays,
Real faceAmount,
Schedule schedule,
const std::vector<Rate>& coupons,
const DayCounter& accrualDayCounter,
BusinessDayConvention paymentConvention,
Real redemption,
const Date& issueDate,
const Calendar& paymentCalendar,
const Period& exCouponPeriod,
const Calendar& exCouponCalendar,
const BusinessDayConvention exCouponConvention,
bool exCouponEndOfMonth,
const DayCounter& firstPeriodDayCounter)
: Bond(settlementDays,
paymentCalendar==Calendar() ? schedule.calendar() : paymentCalendar,
issueDate),
frequency_(schedule.hasTenor() ? schedule.tenor().frequency() : NoFrequency),
dayCounter_(accrualDayCounter),
firstPeriodDayCounter_(firstPeriodDayCounter) {
maturityDate_ = schedule.endDate();
cashflows_ = FixedRateLeg(std::move(schedule))
.withNotionals(faceAmount)
.withCouponRates(coupons, accrualDayCounter)
.withFirstPeriodDayCounter(firstPeriodDayCounter)
.withPaymentCalendar(calendar_)
.withPaymentAdjustment(paymentConvention)
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth);
addRedemptionsToCashflows(std::vector<Real>(1, redemption));
QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
QL_ENSURE(redemptions_.size() == 1, "multiple redemptions created");
}
}
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