#include <qle/cashflows/durationadjustedcmscoupon.hpp>

Collaboration diagram for DurationAdjustedCmsLeg:

Public Member Functions
	DurationAdjustedCmsLeg (const Schedule &schedule, const QuantLib::ext::shared_ptr< SwapIndex > &swapIndex, const Size duration)

DurationAdjustedCmsLeg &	withNotionals (Real notional)

DurationAdjustedCmsLeg &	withNotionals (const std::vector< Real > &notionals)

DurationAdjustedCmsLeg &	withPaymentDayCounter (const DayCounter &)

DurationAdjustedCmsLeg &	withPaymentAdjustment (BusinessDayConvention)

DurationAdjustedCmsLeg &	withPaymentLag (Natural lag)

DurationAdjustedCmsLeg &	withPaymentCalendar (const Calendar &)

DurationAdjustedCmsLeg &	withFixingDays (Natural fixingDays)

DurationAdjustedCmsLeg &	withFixingDays (const std::vector< Natural > &fixingDays)

DurationAdjustedCmsLeg &	withGearings (Real gearing)

DurationAdjustedCmsLeg &	withGearings (const std::vector< Real > &gearings)

DurationAdjustedCmsLeg &	withSpreads (Spread spread)

DurationAdjustedCmsLeg &	withSpreads (const std::vector< Spread > &spreads)

DurationAdjustedCmsLeg &	withCaps (Rate cap)

DurationAdjustedCmsLeg &	withCaps (const std::vector< Rate > &caps)

DurationAdjustedCmsLeg &	withFloors (Rate floor)

DurationAdjustedCmsLeg &	withFloors (const std::vector< Rate > &floors)

DurationAdjustedCmsLeg &	inArrears (bool flag=true)

DurationAdjustedCmsLeg &	withZeroPayments (bool flag=true)

DurationAdjustedCmsLeg &	withExCouponPeriod (const Period &, const Calendar &, BusinessDayConvention, bool endOfMonth=false)

DurationAdjustedCmsLeg &	withDuration (Size duration)

	operator Leg () const

Private Attributes
Schedule	schedule_

QuantLib::ext::shared_ptr< SwapIndex >	swapIndex_

std::vector< Real >	notionals_

DayCounter	paymentDayCounter_

Natural	paymentLag_

Calendar	paymentCalendar_

BusinessDayConvention	paymentAdjustment_

std::vector< Natural >	fixingDays_

std::vector< Real >	gearings_

std::vector< Spread >	spreads_

std::vector< Rate >	caps_

std::vector< Rate >	floors_

bool	inArrears_

bool	zeroPayments_

Period	exCouponPeriod_

Calendar	exCouponCalendar_

BusinessDayConvention	exCouponAdjustment_

bool	exCouponEndOfMonth_

Size	duration_

Detailed Description

Definition at line 55 of file durationadjustedcmscoupon.hpp.

Constructor & Destructor Documentation

◆ DurationAdjustedCmsLeg()

DurationAdjustedCmsLeg	(	const Schedule &	schedule,
		const QuantLib::ext::shared_ptr< SwapIndex > &	swapIndex,
		const Size	duration
	)

Definition at line 61 of file durationadjustedcmscoupon.cpp.

    : schedule_(schedule), swapIndex_(swapIndex), paymentLag_(0), paymentCalendar_(Calendar()),
      paymentAdjustment_(Following), inArrears_(false), zeroPayments_(false), exCouponPeriod_(Period()),
      exCouponCalendar_(Calendar()), exCouponAdjustment_(Unadjusted), exCouponEndOfMonth_(false), duration_(duration) {}

Member Function Documentation

◆ withNotionals() [1/2]

DurationAdjustedCmsLeg & withNotionals ( Real notional )

Definition at line 67 of file durationadjustedcmscoupon.cpp.

                                                                           {
    notionals_ = std::vector<Real>(1, notional);
    return *this;
}

◆ withNotionals() [2/2]

DurationAdjustedCmsLeg & withNotionals ( const std::vector< Real > & notionals )

Definition at line 72 of file durationadjustedcmscoupon.cpp.

                                                                                              {
    notionals_ = notionals;
    return *this;
}

◆ withPaymentDayCounter()

DurationAdjustedCmsLeg & withPaymentDayCounter ( const DayCounter & dayCounter )

Definition at line 77 of file durationadjustedcmscoupon.cpp.

                                                                                                  {
    paymentDayCounter_ = dayCounter;
    return *this;
}

◆ withPaymentAdjustment()

DurationAdjustedCmsLeg & withPaymentAdjustment ( BusinessDayConvention convention )

Definition at line 82 of file durationadjustedcmscoupon.cpp.

                                                                                                      {
    paymentAdjustment_ = convention;
    return *this;
}

◆ withPaymentLag()

DurationAdjustedCmsLeg & withPaymentLag ( Natural lag )

Definition at line 87 of file durationadjustedcmscoupon.cpp.

                                                                          {
    paymentLag_ = lag;
    return *this;
}

◆ withPaymentCalendar()

DurationAdjustedCmsLeg & withPaymentCalendar ( const Calendar & cal )

Definition at line 92 of file durationadjustedcmscoupon.cpp.

                                                                                       {
    paymentCalendar_ = cal;
    return *this;
}

◆ withFixingDays() [1/2]

DurationAdjustedCmsLeg & withFixingDays ( Natural fixingDays )

Definition at line 97 of file durationadjustedcmscoupon.cpp.

                                                                                 {
    fixingDays_ = std::vector<Natural>(1, fixingDays);
    return *this;
}

◆ withFixingDays() [2/2]

DurationAdjustedCmsLeg & withFixingDays ( const std::vector< Natural > & fixingDays )

Definition at line 102 of file durationadjustedcmscoupon.cpp.

                                                                                                   {
    fixingDays_ = fixingDays;
    return *this;
}

◆ withGearings() [1/2]

DurationAdjustedCmsLeg & withGearings ( Real gearing )

Definition at line 107 of file durationadjustedcmscoupon.cpp.

                                                                         {
    gearings_ = std::vector<Real>(1, gearing);
    return *this;
}

◆ withGearings() [2/2]

DurationAdjustedCmsLeg & withGearings ( const std::vector< Real > & gearings )

Definition at line 112 of file durationadjustedcmscoupon.cpp.

                                                                                            {
    gearings_ = gearings;
    return *this;
}

◆ withSpreads() [1/2]

DurationAdjustedCmsLeg & withSpreads ( Spread spread )

Definition at line 117 of file durationadjustedcmscoupon.cpp.

                                                                         {
    spreads_ = std::vector<Spread>(1, spread);
    return *this;
}

◆ withSpreads() [2/2]

DurationAdjustedCmsLeg & withSpreads ( const std::vector< Spread > & spreads )

Definition at line 122 of file durationadjustedcmscoupon.cpp.

                                                                                            {
    spreads_ = spreads;
    return *this;
}

◆ withCaps() [1/2]

DurationAdjustedCmsLeg & withCaps ( Rate cap )

Definition at line 127 of file durationadjustedcmscoupon.cpp.

                                                                 {
    caps_ = std::vector<Rate>(1, cap);
    return *this;
}

◆ withCaps() [2/2]

DurationAdjustedCmsLeg & withCaps ( const std::vector< Rate > & caps )

Definition at line 132 of file durationadjustedcmscoupon.cpp.

                                                                                    {
    caps_ = caps;
    return *this;
}

◆ withFloors() [1/2]

DurationAdjustedCmsLeg & withFloors ( Rate floor )

Definition at line 137 of file durationadjustedcmscoupon.cpp.

                                                                     {
    floors_ = std::vector<Rate>(1, floor);
    return *this;
}

◆ withFloors() [2/2]

DurationAdjustedCmsLeg & withFloors ( const std::vector< Rate > & floors )

Definition at line 142 of file durationadjustedcmscoupon.cpp.

                                                                                        {
    floors_ = floors;
    return *this;
}

◆ inArrears()

DurationAdjustedCmsLeg & inArrears ( bool flag = true )

Definition at line 147 of file durationadjustedcmscoupon.cpp.

                                                                   {
    inArrears_ = flag;
    return *this;
}

◆ withZeroPayments()

DurationAdjustedCmsLeg & withZeroPayments ( bool flag = true )

Definition at line 152 of file durationadjustedcmscoupon.cpp.

                                                                          {
    zeroPayments_ = flag;
    return *this;
}

◆ withExCouponPeriod()

DurationAdjustedCmsLeg & withExCouponPeriod	(	const Period &	period,
		const Calendar &	cal,
		BusinessDayConvention	convention,
		bool	endOfMonth = `false`
	)

Definition at line 162 of file durationadjustedcmscoupon.cpp.

                                                                                                                      {
    exCouponPeriod_ = period;
    exCouponCalendar_ = cal;
    exCouponAdjustment_ = convention;
    exCouponEndOfMonth_ = endOfMonth;
    return *this;
}

◆ withDuration()

DurationAdjustedCmsLeg & withDuration ( Size duration )

Definition at line 157 of file durationadjustedcmscoupon.cpp.

                                                                          {
    duration_ = duration;
    return *this;
}

◆ operator Leg()

operator Leg ( ) const

Definition at line 171 of file durationadjustedcmscoupon.cpp.

                                           {
    Size n = schedule_.size() - 1;
 
    QL_REQUIRE(!notionals_.empty(), "no notional given");
    QL_REQUIRE(notionals_.size() <= n, "too many notionals (" << notionals_.size() << "), only " << n << " required");
    QL_REQUIRE(gearings_.size() <= n, "too many gearings (" << gearings_.size() << "), only " << n << " required");
    QL_REQUIRE(spreads_.size() <= n, "too many spreads (" << spreads_.size() << "), only " << n << " required");
    QL_REQUIRE(caps_.size() <= n, "too many caps (" << caps_.size() << "), only " << n << " required");
    QL_REQUIRE(floors_.size() <= n, "too many floors (" << floors_.size() << "), only " << n << " required");
    QL_REQUIRE(!zeroPayments_ || !inArrears_, "in-arrears and zero features are not compatible");
 
    Leg leg;
    leg.reserve(n);
 
    Calendar calendar = schedule_.calendar();
    Calendar paymentCalendar = schedule_.calendar();
 
    if (!paymentCalendar_.empty()) {
        paymentCalendar = paymentCalendar_;
    }
 
    Date refStart, start, refEnd, end;
    Date exCouponDate;
    Date lastPaymentDate = paymentCalendar.advance(schedule_.date(n), paymentLag_, Days, paymentAdjustment_);
 
    for (Size i = 0; i < n; ++i) {
        refStart = start = schedule_.date(i);
        refEnd = end = schedule_.date(i + 1);
        Date paymentDate =
            zeroPayments_ ? lastPaymentDate : paymentCalendar.advance(end, paymentLag_, Days, paymentAdjustment_);
        if (i == 0 && (schedule_.hasIsRegular() && schedule_.hasTenor() && !schedule_.isRegular(i + 1))) {
            BusinessDayConvention bdc = schedule_.businessDayConvention();
            refStart = calendar.adjust(end - schedule_.tenor(), bdc);
        }
        if (i == n - 1 && (schedule_.hasIsRegular() && schedule_.hasTenor() && !schedule_.isRegular(i + 1))) {
            BusinessDayConvention bdc = schedule_.businessDayConvention();
            refEnd = calendar.adjust(start + schedule_.tenor(), bdc);
        }
        if (exCouponPeriod_ != Period()) {
            Calendar exCouponCalendar = calendar;
            if (!exCouponCalendar_.empty()) {
                exCouponCalendar = exCouponCalendar_;
            }
            exCouponDate =
                exCouponCalendar_.advance(paymentDate, -exCouponPeriod_, exCouponAdjustment_, exCouponEndOfMonth_);
        }
        auto cpn = QuantLib::ext::make_shared<DurationAdjustedCmsCoupon>(
            paymentDate, detail::get(notionals_, i, 1.0), start, end,
            detail::get(fixingDays_, i, swapIndex_->fixingDays()), swapIndex_, duration_,
            detail::get(gearings_, i, 1.0), detail::get(spreads_, i, 0.0), refStart, refEnd, paymentDayCounter_,
            inArrears_, exCouponDate);
        if (detail::noOption(caps_, floors_, i)) {
            leg.push_back(cpn);
        } else {
            leg.push_back(QuantLib::ext::make_shared<CappedFlooredCoupon>(cpn, detail::get(caps_, i, Null<Rate>()),
                                                                  detail::get(floors_, i, Null<Rate>())));
        }
    }
    return leg;
}