SubPeriodsLeg1 Class Reference

helper class building a sequence of sub-period coupons More...

#include <qle/cashflows/subperiodscoupon.hpp>

Collaboration diagram for SubPeriodsLeg1:

Public Member Functions
	SubPeriodsLeg1 (const Schedule &schedule, const QuantLib::ext::shared_ptr< InterestRateIndex > &index)
SubPeriodsLeg1 &	withNotional (Real notional)
SubPeriodsLeg1 &	withNotionals (const std::vector< Real > &notionals)
SubPeriodsLeg1 &	withPaymentDayCounter (const DayCounter &dayCounter)
SubPeriodsLeg1 &	withPaymentAdjustment (BusinessDayConvention convention)
SubPeriodsLeg1 &	withGearing (Real gearing)
SubPeriodsLeg1 &	withGearings (const std::vector< Real > &gearings)
SubPeriodsLeg1 &	withSpread (Spread spread)
SubPeriodsLeg1 &	withSpreads (const std::vector< Spread > &spreads)
SubPeriodsLeg1 &	withPaymentCalendar (const Calendar &calendar)
SubPeriodsLeg1 &	withType (SubPeriodsCoupon1::Type type)
SubPeriodsLeg1 &	includeSpread (bool includeSpread)
	operator Leg () const

Private Attributes
Schedule	schedule_
QuantLib::ext::shared_ptr< InterestRateIndex >	index_
std::vector< Real >	notionals_
DayCounter	paymentDayCounter_
BusinessDayConvention	paymentAdjustment_
std::vector< Real >	gearings_
std::vector< Spread >	spreads_
Calendar	paymentCalendar_
SubPeriodsCoupon1::Type	type_
bool	includeSpread_

Detailed Description

helper class building a sequence of sub-period coupons

Definition at line 93 of file subperiodscoupon.hpp.

Constructor & Destructor Documentation

SubPeriodsLeg1()

SubPeriodsLeg1	(	const Schedule &	schedule,
		const QuantLib::ext::shared_ptr< InterestRateIndex > &	index
	)

Definition at line 88 of file subperiodscoupon.cpp.

    : schedule_(schedule), index_(index), notionals_(std::vector<Real>(1, 1.0)), paymentAdjustment_(Following),
      paymentCalendar_(Calendar()), type_(SubPeriodsCoupon1::Compounding) {}

Member Function Documentation

withNotional()

SubPeriodsLeg1 & withNotional

(

Real

notional

)

Definition at line 92 of file subperiodscoupon.cpp.

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

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withNotionals()

SubPeriodsLeg1 & withNotionals

(

const std::vector< Real > &

notionals

)

Definition at line 97 of file subperiodscoupon.cpp.

                                                                              {
    notionals_ = notionals;
    return *this;
}

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withPaymentDayCounter()

SubPeriodsLeg1 & withPaymentDayCounter

(

const DayCounter &

dayCounter

)

Definition at line 102 of file subperiodscoupon.cpp.

                                                                                  {
    paymentDayCounter_ = dayCounter;
    return *this;
}

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withPaymentAdjustment()

SubPeriodsLeg1 & withPaymentAdjustment

(

BusinessDayConvention

convention

)

Definition at line 107 of file subperiodscoupon.cpp.

                                                                                      {
    paymentAdjustment_ = convention;
    return *this;
}

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withGearing()

SubPeriodsLeg1 & withGearing

(

Real

gearing

)

Definition at line 112 of file subperiodscoupon.cpp.

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

withGearings()

SubPeriodsLeg1 & withGearings

(

const std::vector< Real > &

gearings

)

Definition at line 117 of file subperiodscoupon.cpp.

                                                                            {
    gearings_ = gearings;
    return *this;
}

withSpread()

SubPeriodsLeg1 & withSpread

(

Spread

spread

)

Definition at line 122 of file subperiodscoupon.cpp.

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

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withSpreads()

SubPeriodsLeg1 & withSpreads

(

const std::vector< Spread > &

spreads

)

Definition at line 127 of file subperiodscoupon.cpp.

                                                                            {
    spreads_ = spreads;
    return *this;
}

withPaymentCalendar()

SubPeriodsLeg1 & withPaymentCalendar

(

const Calendar &

calendar

)

Definition at line 132 of file subperiodscoupon.cpp.

                                                                            {
    paymentCalendar_ = calendar;
    return *this;
}

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withType()

SubPeriodsLeg1 & withType

(

SubPeriodsCoupon1::Type

type

)

Definition at line 137 of file subperiodscoupon.cpp.

                                                                   {
    type_ = type;
    return *this;
}

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includeSpread()

SubPeriodsLeg1 & includeSpread

(

bool

includeSpread

)

Definition at line 142 of file subperiodscoupon.cpp.

                                                                {
    includeSpread_ = includeSpread;
    return *this;
}

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operator Leg()

operator Leg

(

)

const

Definition at line 147 of file subperiodscoupon.cpp.

                                   {
 
    Leg cashflows;
    Date startDate;
    Date endDate;
    Date paymentDate;
 
    Calendar calendar;
    if (!paymentCalendar_.empty()) {
        calendar = paymentCalendar_;
    } else {
        calendar = schedule_.calendar();
    }
 
    Size numPeriods = schedule_.size() - 1;
    if (numPeriods == 0)
        return cashflows;
 
    startDate = schedule_.date(0);
    for (Size i = 0; i < numPeriods; ++i) {
        endDate = schedule_.date(i + 1);
        paymentDate = calendar.adjust(endDate, paymentAdjustment_);
        // the sub periods coupon might produce degenerated schedules, in this
        // case we just join the current period with the next one
        // we catch all QL exceptions here, although we should only pick the one
        // that is thrown in case of a degenerated schedule, but there is no way
        // of identifying it except parsing the exception text, which isn't a
        // clean solution either
        try {
            QuantLib::ext::shared_ptr<SubPeriodsCoupon1> cashflow(
                new SubPeriodsCoupon1(paymentDate, detail::get(notionals_, i, notionals_.back()), startDate, endDate,
                                     index_, type_, paymentAdjustment_, detail::get(spreads_, i, 0.0),
                                     paymentDayCounter_, includeSpread_, detail::get(gearings_, i, 1.0)));
 
            cashflows.push_back(cashflow);
            startDate = endDate;
        } catch (const QuantLib::Error&) {
        }
    }
 
    QuantLib::ext::shared_ptr<SubPeriodsCouponPricer1> pricer(new SubPeriodsCouponPricer1);
    QuantExt::setCouponPricer(cashflows, pricer);
 
    return cashflows;
}

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Member Data Documentation

schedule_

Schedule schedule_

private

Definition at line 110 of file subperiodscoupon.hpp.

index_

QuantLib::ext::shared_ptr<InterestRateIndex> index_

private

Definition at line 111 of file subperiodscoupon.hpp.

notionals_

std::vector<Real> notionals_

private

Definition at line 112 of file subperiodscoupon.hpp.

paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 113 of file subperiodscoupon.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_

private

Definition at line 114 of file subperiodscoupon.hpp.

gearings_

std::vector<Real> gearings_

private

Definition at line 115 of file subperiodscoupon.hpp.

spreads_

std::vector<Spread> spreads_

private

Definition at line 116 of file subperiodscoupon.hpp.

paymentCalendar_

Calendar paymentCalendar_

private

Definition at line 117 of file subperiodscoupon.hpp.

type_

SubPeriodsCoupon1::Type type_

private

Definition at line 118 of file subperiodscoupon.hpp.

includeSpread_

bool includeSpread_

private

Definition at line 119 of file subperiodscoupon.hpp.