FormulaBasedLeg Class Reference

helper class building a sequence of formula based coupons More...

#include <qle/cashflows/formulabasedcoupon.hpp>

Collaboration diagram for FormulaBasedLeg:

Public Member Functions
	FormulaBasedLeg (const Currency &paymentCurrency, const Schedule &schedule, const QuantLib::ext::shared_ptr< FormulaBasedIndex > &index)
FormulaBasedLeg &	withNotionals (Real notional)
FormulaBasedLeg &	withNotionals (const std::vector< Real > &notionals)
FormulaBasedLeg &	withPaymentDayCounter (const DayCounter &)
FormulaBasedLeg &	withPaymentAdjustment (BusinessDayConvention)
FormulaBasedLeg &	withPaymentLag (Natural lag)
FormulaBasedLeg &	withPaymentCalendar (const Calendar &)
FormulaBasedLeg &	withFixingDays (Natural fixingDays)
FormulaBasedLeg &	withFixingDays (const std::vector< Natural > &fixingDays)
FormulaBasedLeg &	inArrears (bool flag=true)
FormulaBasedLeg &	withZeroPayments (bool flag=true)
	operator Leg () const

Private Attributes
Currency	paymentCurrency_
Schedule	schedule_
QuantLib::ext::shared_ptr< FormulaBasedIndex >	index_
std::vector< Real >	notionals_
DayCounter	paymentDayCounter_
BusinessDayConvention	paymentAdjustment_
Natural	paymentLag_
Calendar	paymentCalendar_
std::vector< Natural >	fixingDays_
bool	inArrears_
bool	zeroPayments_

Detailed Description

helper class building a sequence of formula based coupons

Definition at line 60 of file formulabasedcoupon.hpp.

Constructor & Destructor Documentation

FormulaBasedLeg()

FormulaBasedLeg	(	const Currency &	paymentCurrency,
		const Schedule &	schedule,
		const QuantLib::ext::shared_ptr< FormulaBasedIndex > &	index
	)

Definition at line 43 of file formulabasedcoupon.cpp.

    : paymentCurrency_(paymentCurrency), schedule_(schedule), index_(index), paymentAdjustment_(Following),
      paymentLag_(0), inArrears_(false), zeroPayments_(false) {}

Member Function Documentation

withNotionals() [1/2]

FormulaBasedLeg & withNotionals

(

Real

notional

)

Definition at line 48 of file formulabasedcoupon.cpp.

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

withNotionals() [2/2]

FormulaBasedLeg & withNotionals

(

const std::vector< Real > &

notionals

)

Definition at line 53 of file formulabasedcoupon.cpp.

                                                                                {
    notionals_ = notionals;
    return *this;
}

withPaymentDayCounter()

FormulaBasedLeg & withPaymentDayCounter

(

const DayCounter &

)

Definition at line 58 of file formulabasedcoupon.cpp.

                                                                                    {
    paymentDayCounter_ = dayCounter;
    return *this;
}

withPaymentAdjustment()

FormulaBasedLeg & withPaymentAdjustment

(

BusinessDayConvention

convention

)

Definition at line 63 of file formulabasedcoupon.cpp.

                                                                                        {
    paymentAdjustment_ = convention;
    return *this;
}

withPaymentLag()

FormulaBasedLeg & withPaymentLag

(

Natural

lag

)

Definition at line 68 of file formulabasedcoupon.cpp.

                                                            {
    paymentLag_ = lag;
    return *this;
}

withPaymentCalendar()

FormulaBasedLeg & withPaymentCalendar

(

const Calendar &

)

Definition at line 73 of file formulabasedcoupon.cpp.

                                                                         {
    paymentCalendar_ = cal;
    return *this;
}

withFixingDays() [1/2]

FormulaBasedLeg & withFixingDays

(

Natural

fixingDays

)

Definition at line 78 of file formulabasedcoupon.cpp.

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

withFixingDays() [2/2]

FormulaBasedLeg & withFixingDays

(

const std::vector< Natural > &

fixingDays

)

Definition at line 83 of file formulabasedcoupon.cpp.

                                                                                     {
    fixingDays_ = fixingDays;
    return *this;
}

inArrears()

FormulaBasedLeg & inArrears

(

bool

flag = true

)

Definition at line 88 of file formulabasedcoupon.cpp.

                                                     {
    inArrears_ = flag;
    return *this;
}

withZeroPayments()

FormulaBasedLeg & withZeroPayments

(

bool

flag = true

)

Definition at line 93 of file formulabasedcoupon.cpp.

                                                            {
    zeroPayments_ = flag;
    return *this;
}

operator Leg()

operator Leg

(

)

const

Definition at line 98 of file formulabasedcoupon.cpp.

                                    {
 
    // unfortunately we have to copy this from ql/cashflows/cashflowvectors and modify it to
    // match the formula based coupon ctor, which is a bit different from other flr coupons
 
    Size n = schedule_.size() - 1;
    QL_REQUIRE(!notionals_.empty(), "no notional given");
    QL_REQUIRE(notionals_.size() <= n, "too many nominals (" << notionals_.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().empty() ? NullCalendar() : schedule_.calendar();
    Calendar paymentCalendar = paymentCalendar_.empty() ? calendar : paymentCalendar_;
 
    Date refStart, start, refEnd, end;
    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_.isRegular(i + 1)) {
            BusinessDayConvention bdc = schedule_.businessDayConvention();
            refStart = calendar.adjust(end - schedule_.tenor(), bdc);
        }
        if (i == n - 1 && schedule_.hasIsRegular() && !schedule_.isRegular(i + 1)) {
            BusinessDayConvention bdc = schedule_.businessDayConvention();
            refEnd = calendar.adjust(start + schedule_.tenor(), bdc);
        }
        leg.push_back(QuantLib::ext::shared_ptr<CashFlow>(
            new FormulaBasedCoupon(paymentCurrency_, paymentDate, detail::get(notionals_, i, 1.0), start, end,
                                   detail::get(fixingDays_, i, index_->fixingDays()), index_, refStart, refEnd,
                                   paymentDayCounter_, inArrears_)));
    }
    return leg;
}

Member Data Documentation

paymentCurrency_

Currency paymentCurrency_

private

Definition at line 77 of file formulabasedcoupon.hpp.

schedule_

Schedule schedule_

private

Definition at line 78 of file formulabasedcoupon.hpp.

index_

QuantLib::ext::shared_ptr<FormulaBasedIndex> index_

private

Definition at line 79 of file formulabasedcoupon.hpp.

notionals_

std::vector<Real> notionals_

private

Definition at line 80 of file formulabasedcoupon.hpp.

paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 81 of file formulabasedcoupon.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_

private

Definition at line 82 of file formulabasedcoupon.hpp.

paymentLag_

Natural paymentLag_

private

Definition at line 83 of file formulabasedcoupon.hpp.

paymentCalendar_

Calendar paymentCalendar_

private

Definition at line 84 of file formulabasedcoupon.hpp.

fixingDays_

std::vector<Natural> fixingDays_

private

Definition at line 85 of file formulabasedcoupon.hpp.

inArrears_

bool inArrears_

private

Definition at line 86 of file formulabasedcoupon.hpp.

zeroPayments_

bool zeroPayments_

private

Definition at line 86 of file formulabasedcoupon.hpp.