| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2008 Simon Ibbotson |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | #include <ql/instruments/bonds/amortizingcmsratebond.hpp> |
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| 21 | #include <ql/cashflows/cmscoupon.hpp> |
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| 22 | #include <ql/cashflows/simplecashflow.hpp> |
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| 23 | #include <ql/indexes/swapindex.hpp> |
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| 24 | #include <ql/time/schedule.hpp> |
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| 25 | |
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| 26 | namespace QuantLib { |
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| 27 | |
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| 28 | AmortizingCmsRateBond::AmortizingCmsRateBond( |
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| 29 | Natural settlementDays, |
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| 30 | const std::vector<Real>& notionals, |
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| 31 | const Schedule& schedule, |
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| 32 | const ext::shared_ptr<SwapIndex>& index, |
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| 33 | const DayCounter& paymentDayCounter, |
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| 34 | BusinessDayConvention paymentConvention, |
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| 35 | Natural fixingDays, |
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| 36 | const std::vector<Real>& gearings, |
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| 37 | const std::vector<Spread>& spreads, |
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| 38 | const std::vector<Rate>& caps, |
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| 39 | const std::vector<Rate>& floors, |
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| 40 | bool inArrears, |
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| 41 | const Date& issueDate, |
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| 42 | const std::vector<Real>& redemptions) |
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| 43 | : Bond(settlementDays, schedule.calendar(), issueDate) { |
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| 44 | |
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| 45 | maturityDate_ = schedule.endDate(); |
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| 46 | |
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| 47 | cashflows_ = CmsLeg(schedule, index) |
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| 48 | .withNotionals(notionals) |
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| 49 | .withPaymentDayCounter(paymentDayCounter) |
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| 50 | .withPaymentAdjustment(paymentConvention) |
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| 51 | .withFixingDays(fixingDays) |
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| 52 | .withGearings(gearings) |
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| 53 | .withSpreads(spreads) |
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| 54 | .withCaps(caps) |
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| 55 | .withFloors(floors) |
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| 56 | .inArrears(flag: inArrears); |
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| 57 | |
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| 58 | addRedemptionsToCashflows(redemptions); |
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| 59 | |
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| 60 | QL_ENSURE(!cashflows().empty(), "bond with no cashflows!" ); |
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| 61 | |
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| 62 | registerWith(h: index); |
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| 63 | } |
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| 64 | |
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| 65 | } |
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| 66 | |
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