1/*
2 Copyright (C) 2006 Giorgio Facchinetti
3 Copyright (C) 2006 Mario Pucci
4 Copyright (C) 2006, 2007 StatPro Italia srl
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15
16 This program is distributed in the hope that it will be useful, but
17 WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY
18 or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21#include <ql/cashflows/capflooredcoupon.hpp>
22#include <ql/cashflows/cashflowvectors.hpp>
23#include <ql/cashflows/cmscoupon.hpp>
24#include <ql/indexes/swapindex.hpp>
25#include <utility>
26
27namespace QuantLib {
28
29 CmsCoupon::CmsCoupon(const Date& paymentDate,
30 Real nominal,
31 const Date& startDate,
32 const Date& endDate,
33 Natural fixingDays,
34 const ext::shared_ptr<SwapIndex>& swapIndex,
35 Real gearing,
36 Spread spread,
37 const Date& refPeriodStart,
38 const Date& refPeriodEnd,
39 const DayCounter& dayCounter,
40 bool isInArrears,
41 const Date& exCouponDate)
42 : FloatingRateCoupon(paymentDate, nominal, startDate, endDate,
43 fixingDays, swapIndex, gearing, spread,
44 refPeriodStart, refPeriodEnd,
45 dayCounter, isInArrears, exCouponDate),
46 swapIndex_(swapIndex) {}
47
48 void CmsCoupon::accept(AcyclicVisitor& v) {
49 auto* v1 = dynamic_cast<Visitor<CmsCoupon>*>(&v);
50 if (v1 != nullptr)
51 v1->visit(*this);
52 else
53 FloatingRateCoupon::accept(v);
54 }
55
56
57 CmsLeg::CmsLeg(Schedule schedule, ext::shared_ptr<SwapIndex> swapIndex)
58 : schedule_(std::move(schedule)), swapIndex_(std::move(swapIndex)) {
59 QL_REQUIRE(swapIndex_, "no index provided");
60 }
61
62 CmsLeg& CmsLeg::withNotionals(Real notional) {
63 notionals_ = std::vector<Real>(1, notional);
64 return *this;
65 }
66
67 CmsLeg& CmsLeg::withNotionals(const std::vector<Real>& notionals) {
68 notionals_ = notionals;
69 return *this;
70 }
71
72 CmsLeg& CmsLeg::withPaymentDayCounter(const DayCounter& dayCounter) {
73 paymentDayCounter_ = dayCounter;
74 return *this;
75 }
76
77 CmsLeg& CmsLeg::withPaymentAdjustment(BusinessDayConvention convention) {
78 paymentAdjustment_ = convention;
79 return *this;
80 }
81
82 CmsLeg& CmsLeg::withFixingDays(Natural fixingDays) {
83 fixingDays_ = std::vector<Natural>(1, fixingDays);
84 return *this;
85 }
86
87 CmsLeg& CmsLeg::withFixingDays(const std::vector<Natural>& fixingDays) {
88 fixingDays_ = fixingDays;
89 return *this;
90 }
91
92 CmsLeg& CmsLeg::withGearings(Real gearing) {
93 gearings_ = std::vector<Real>(1, gearing);
94 return *this;
95 }
96
97 CmsLeg& CmsLeg::withGearings(const std::vector<Real>& gearings) {
98 gearings_ = gearings;
99 return *this;
100 }
101
102 CmsLeg& CmsLeg::withSpreads(Spread spread) {
103 spreads_ = std::vector<Spread>(1, spread);
104 return *this;
105 }
106
107 CmsLeg& CmsLeg::withSpreads(const std::vector<Spread>& spreads) {
108 spreads_ = spreads;
109 return *this;
110 }
111
112 CmsLeg& CmsLeg::withCaps(Rate cap) {
113 caps_ = std::vector<Rate>(1, cap);
114 return *this;
115 }
116
117 CmsLeg& CmsLeg::withCaps(const std::vector<Rate>& caps) {
118 caps_ = caps;
119 return *this;
120 }
121
122 CmsLeg& CmsLeg::withFloors(Rate floor) {
123 floors_ = std::vector<Rate>(1, floor);
124 return *this;
125 }
126
127 CmsLeg& CmsLeg::withFloors(const std::vector<Rate>& floors) {
128 floors_ = floors;
129 return *this;
130 }
131
132 CmsLeg& CmsLeg::inArrears(bool flag) {
133 inArrears_ = flag;
134 return *this;
135 }
136
137 CmsLeg& CmsLeg::withZeroPayments(bool flag) {
138 zeroPayments_ = flag;
139 return *this;
140 }
141
142 CmsLeg& CmsLeg::withExCouponPeriod(
143 const Period& period,
144 const Calendar& cal,
145 BusinessDayConvention convention,
146 bool endOfMonth) {
147 exCouponPeriod_ = period;
148 exCouponCalendar_ = cal;
149 exCouponAdjustment_ = convention;
150 exCouponEndOfMonth_ = endOfMonth;
151 return *this;
152 }
153
154 CmsLeg::operator Leg() const {
155 return FloatingLeg<SwapIndex, CmsCoupon, CappedFlooredCmsCoupon>(
156 schedule: schedule_, nominals: notionals_, index: swapIndex_, paymentDayCounter: paymentDayCounter_,
157 paymentAdj: paymentAdjustment_, fixingDays: fixingDays_, gearings: gearings_, spreads: spreads_,
158 caps: caps_, floors: floors_, isInArrears: inArrears_, isZero: zeroPayments_,
159 paymentLag: 0, paymentCalendar: Calendar(),
160 exCouponPeriod: exCouponPeriod_, exCouponCalendar: exCouponCalendar_,
161 exCouponAdjustment: exCouponAdjustment_, exCouponEndOfMonth: exCouponEndOfMonth_);
162 }
163
164}
165

source code of quantlib/ql/cashflows/cmscoupon.cpp