1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2004 Jeff Yu
5 Copyright (C) 2004 M-Dimension Consulting Inc.
6 Copyright (C) 2005 StatPro Italia srl
7 Copyright (C) 2007, 2008, 2010 Ferdinando Ametrano
8 Copyright (C) 2009 Piter Dias
9
10 This file is part of QuantLib, a free-software/open-source library
11 for financial quantitative analysts and developers - http://quantlib.org/
12
13 QuantLib is free software: you can redistribute it and/or modify it
14 under the terms of the QuantLib license. You should have received a
15 copy of the license along with this program; if not, please email
16 <quantlib-dev@lists.sf.net>. The license is also available online at
17 <http://quantlib.org/license.shtml>.
18
19 This program is distributed in the hope that it will be useful, but WITHOUT
20 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
21 FOR A PARTICULAR PURPOSE. See the license for more details.
22*/
23
24/*! \file fixedratebond.hpp
25 \brief fixed-rate bond
26*/
27
28#ifndef quantlib_fixed_rate_bond_hpp
29#define quantlib_fixed_rate_bond_hpp
30
31#include <ql/instruments/bond.hpp>
32#include <ql/time/dategenerationrule.hpp>
33#include <ql/time/daycounter.hpp>
34#include <ql/interestrate.hpp>
35
36namespace QuantLib {
37
38 class Schedule;
39
40 //! fixed-rate bond
41 /*! \ingroup instruments
42
43 \test calculations are tested by checking results against
44 cached values.
45 */
46 class FixedRateBond : public Bond {
47 public:
48 //! simple annual compounding coupon rates
49 FixedRateBond(Natural settlementDays,
50 Real faceAmount,
51 const Schedule& schedule,
52 const std::vector<Rate>& coupons,
53 const DayCounter& accrualDayCounter,
54 BusinessDayConvention paymentConvention = Following,
55 Real redemption = 100.0,
56 const Date& issueDate = Date(),
57 const Calendar& paymentCalendar = Calendar(),
58 const Period& exCouponPeriod = Period(),
59 const Calendar& exCouponCalendar = Calendar(),
60 BusinessDayConvention exCouponConvention = Unadjusted,
61 bool exCouponEndOfMonth = false,
62 const DayCounter& firstPeriodDayCounter = DayCounter());
63
64 /*! \deprecated Use the constructor taking a schedule.
65 Deprecated in version 1.28.
66 */
67 QL_DEPRECATED
68 FixedRateBond(Natural settlementDays,
69 const Calendar& couponCalendar,
70 Real faceAmount,
71 const Date& startDate,
72 const Date& maturityDate,
73 const Period& tenor,
74 const std::vector<Rate>& coupons,
75 const DayCounter& accrualDayCounter,
76 BusinessDayConvention accrualConvention = Following,
77 BusinessDayConvention paymentConvention = Following,
78 Real redemption = 100.0,
79 const Date& issueDate = Date(),
80 const Date& stubDate = Date(),
81 DateGeneration::Rule rule = DateGeneration::Backward,
82 bool endOfMonth = false,
83 const Calendar& paymentCalendar = Calendar(),
84 const Period& exCouponPeriod = Period(),
85 const Calendar& exCouponCalendar = Calendar(),
86 BusinessDayConvention exCouponConvention = Unadjusted,
87 bool exCouponEndOfMonth = false,
88 const DayCounter& firstPeriodDayCounter = DayCounter());
89
90 /*! \deprecated Build a FixedRateLeg instead and use it
91 to create an instance of the base Bond class.
92 Deprecated in version 1.28.
93 */
94 QL_DEPRECATED
95 FixedRateBond(Natural settlementDays,
96 Real faceAmount,
97 const Schedule& schedule,
98 const std::vector<InterestRate>& coupons,
99 BusinessDayConvention paymentConvention = Following,
100 Real redemption = 100.0,
101 const Date& issueDate = Date(),
102 const Calendar& paymentCalendar = Calendar(),
103 const Period& exCouponPeriod = Period(),
104 const Calendar& exCouponCalendar = Calendar(),
105 BusinessDayConvention exCouponConvention = Unadjusted,
106 bool exCouponEndOfMonth = false);
107 Frequency frequency() const { return frequency_; }
108 const DayCounter& dayCounter() const {return dayCounter_;}
109 const DayCounter& firstPeriodDayCounter() const {return firstPeriodDayCounter_;}
110 protected:
111 Frequency frequency_;
112 DayCounter dayCounter_;
113 DayCounter firstPeriodDayCounter_;
114 };
115
116}
117
118#endif
119

source code of quantlib/ql/instruments/bonds/fixedratebond.hpp