1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2015 Peter Caspers
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 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file digitalcmsspreadcoupon.hpp
21 \brief Cms-spread-rate coupon with digital call/put option
22*/
23
24#ifndef quantlib_digital_cmsspread_coupon_hpp
25#define quantlib_digital_cmsspread_coupon_hpp
26
27#include <ql/cashflows/digitalcoupon.hpp>
28#include <ql/experimental/coupons/cmsspreadcoupon.hpp>
29#include <ql/time/schedule.hpp>
30
31namespace QuantLib {
32
33 //! Cms-spread-rate coupon with digital digital call/put option
34 class DigitalCmsSpreadCoupon : public DigitalCoupon {
35 public:
36 explicit DigitalCmsSpreadCoupon(
37 const ext::shared_ptr<CmsSpreadCoupon> &underlying,
38 Rate callStrike = Null<Rate>(),
39 Position::Type callPosition = Position::Long,
40 bool isCallATMIncluded = false,
41 Rate callDigitalPayoff = Null<Rate>(),
42 Rate putStrike = Null<Rate>(),
43 Position::Type putPosition = Position::Long,
44 bool isPutATMIncluded = false,
45 Rate putDigitalPayoff = Null<Rate>(),
46 const ext::shared_ptr<DigitalReplication> &replication = {},
47 bool nakedOption = false);
48
49 //! \name Visitability
50 //@{
51 void accept(AcyclicVisitor&) override;
52 //@}
53 };
54
55
56 //! helper class building a sequence of digital ibor-rate coupons
57 class DigitalCmsSpreadLeg {
58 public:
59 DigitalCmsSpreadLeg(Schedule schedule, ext::shared_ptr<SwapSpreadIndex> index);
60 DigitalCmsSpreadLeg& withNotionals(Real notional);
61 DigitalCmsSpreadLeg& withNotionals(const std::vector<Real>& notionals);
62 DigitalCmsSpreadLeg& withPaymentDayCounter(const DayCounter&);
63 DigitalCmsSpreadLeg& withPaymentAdjustment(BusinessDayConvention);
64 DigitalCmsSpreadLeg& withFixingDays(Natural fixingDays);
65 DigitalCmsSpreadLeg& withFixingDays(const std::vector<Natural>& fixingDays);
66 DigitalCmsSpreadLeg& withGearings(Real gearing);
67 DigitalCmsSpreadLeg& withGearings(const std::vector<Real>& gearings);
68 DigitalCmsSpreadLeg& withSpreads(Spread spread);
69 DigitalCmsSpreadLeg& withSpreads(const std::vector<Spread>& spreads);
70 DigitalCmsSpreadLeg& inArrears(bool flag = true);
71 DigitalCmsSpreadLeg& withCallStrikes(Rate strike);
72 DigitalCmsSpreadLeg& withCallStrikes(const std::vector<Rate>& strikes);
73 DigitalCmsSpreadLeg& withLongCallOption(Position::Type);
74 DigitalCmsSpreadLeg& withCallATM(bool flag = true);
75 DigitalCmsSpreadLeg& withCallPayoffs(Rate payoff);
76 DigitalCmsSpreadLeg& withCallPayoffs(const std::vector<Rate>& payoffs);
77 DigitalCmsSpreadLeg& withPutStrikes(Rate strike);
78 DigitalCmsSpreadLeg& withPutStrikes(const std::vector<Rate>& strikes);
79 DigitalCmsSpreadLeg& withLongPutOption(Position::Type);
80 DigitalCmsSpreadLeg& withPutATM(bool flag = true);
81 DigitalCmsSpreadLeg& withPutPayoffs(Rate payoff);
82 DigitalCmsSpreadLeg& withPutPayoffs(const std::vector<Rate>& payoffs);
83 DigitalCmsSpreadLeg& withReplication(const ext::shared_ptr<DigitalReplication>&);
84 /*! \deprecated Use the overload that passes a replication instead.
85 Deprecated in version 1.32.
86 */
87 [[deprecated("Use the overload that passes a replication instead")]]
88 DigitalCmsSpreadLeg& withReplication();
89 DigitalCmsSpreadLeg& withNakedOption(bool nakedOption = true);
90
91 operator Leg() const;
92 private:
93 Schedule schedule_;
94 ext::shared_ptr<SwapSpreadIndex> index_;
95 std::vector<Real> notionals_;
96 DayCounter paymentDayCounter_;
97 BusinessDayConvention paymentAdjustment_ = Following;
98 std::vector<Natural> fixingDays_;
99 std::vector<Real> gearings_;
100 std::vector<Spread> spreads_;
101 bool inArrears_ = false;
102 std::vector<Rate> callStrikes_, callPayoffs_;
103 Position::Type longCallOption_ = Position::Long;
104 bool callATM_ = false;
105 std::vector<Rate> putStrikes_, putPayoffs_;
106 Position::Type longPutOption_ = Position::Long;
107 bool putATM_ = false;
108 ext::shared_ptr<DigitalReplication> replication_;
109 bool nakedOption_;
110 };
111
112}
113
114
115#endif
116

source code of quantlib/ql/experimental/coupons/digitalcmsspreadcoupon.hpp