ZeroFixedCoupon Class Reference

#include <qle/cashflows/zerofixedcoupon.hpp>

Inheritance diagram for ZeroFixedCoupon:

Collaboration diagram for ZeroFixedCoupon:

Public Member Functions
	ZeroFixedCoupon (const Date &paymentDate, double notional, double rate, const DayCounter &dc, const std::vector< Date > &dates, const Compounding &comp, bool subtractNotional)
Coupon interface
Real	amount () const override
Real	nominal () const override
Real	rate () const override
DayCounter	dayCounter () const override
Real	accruedAmount (const Date &accrualEnd) const override

Visitability
double	notional_
double	rate_
DayCounter	dc_
std::vector< Date >	dates_
Compounding	comp_
bool	subtractNotional_
double	amount_
void	accept (AcyclicVisitor &) override

Detailed Description

Definition at line 40 of file zerofixedcoupon.hpp.

Constructor & Destructor Documentation

ZeroFixedCoupon()

ZeroFixedCoupon	(	const Date &	paymentDate,
		double	notional,
		double	rate,
		const DayCounter &	dc,
		const std::vector< Date > &	dates,
		const Compounding &	comp,
		bool	subtractNotional
	)

Definition at line 23 of file zerofixedcoupon.cpp.

                                                           :
                    Coupon(paymentDate, notional, dates.front(), dates.back()),
                    notional_(notional), rate_(rate), dc_(dc), dates_(dates),
                    comp_(comp), subtractNotional_(subtractNotional)
                    {
 
                        QL_REQUIRE(comp_ == QuantLib::Compounded || comp_ == QuantLib::Simple,
                            "Compounding method " << comp_ << " not supported");
 
                        QL_REQUIRE(dates_.size() >= 2, "Number of schedule dates expected at least 2, got " << dates_.size());
 
                        amount_ = accruedAmount(dates_.back());
 
                    }//ctor

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Member Function Documentation

amount()

Real amount ( ) const

override

Definition at line 44 of file zerofixedcoupon.cpp.

{ return amount_; }

nominal()

Real nominal ( ) const

override

Definition at line 46 of file zerofixedcoupon.cpp.

{ return notional_; }

rate()

Real rate ( ) const

override

Definition at line 48 of file zerofixedcoupon.cpp.

{ return rate_; }

dayCounter()

DayCounter dayCounter ( ) const

override

Definition at line 50 of file zerofixedcoupon.cpp.

{ return dc_; }

accruedAmount()

Real accruedAmount ( const Date &  accrualEnd ) const

override

Definition at line 52 of file zerofixedcoupon.cpp.

                                                                {
 
    //outside this period, return zero
    if(dates_.front() > accrualEnd || dates_.back() < accrualEnd)
        return 0.0;
 
    double totalDCF = 0.0;
    double compoundFactor = 1.0;
 
    // we loop over the dates in the schedule, computing the compound factor.
    // For the Compounded rule:
    // (1+r)^dcf_0 *  (1+r)^dcf_1 * ... = (1+r)^(dcf_0 + dcf_1 + ...)
    // So we compute the sum of all DayCountFractions in the loop.
    // For the Simple rule:
    // (1 + r * dcf_0) * (1 + r * dcf_1)...
 
    for (Size i = 0; i < dates_.size() - 1; i++) {
 
        Date startDate = dates_[i];
        Date endDate = dates_[i+1];
 
        if(startDate > accrualEnd)
            break;
 
        if(endDate > accrualEnd)
            endDate = accrualEnd;
 
        double dcf = dc_.yearFraction(startDate, endDate);
 
        if (comp_ == QuantLib::Simple)
            compoundFactor *= (1 + rate_ * dcf);
 
        totalDCF += dcf;
    }
 
    if (comp_ == QuantLib::Compounded)
        compoundFactor = pow(1.0 + rate_, totalDCF);
 
    return notional_ * (subtractNotional_ ? compoundFactor - 1.0 : compoundFactor);
 
 
 
}

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accept()

void accept ( AcyclicVisitor &  v )

override

Definition at line 98 of file zerofixedcoupon.cpp.

                                              {
    Visitor<ZeroFixedCoupon>* v1 = dynamic_cast<Visitor<ZeroFixedCoupon>*>(&v);
    if (v1 != 0)
        v1->visit(*this);
    else
        Coupon::accept(v);
}

Member Data Documentation

notional_

double notional_

private

Definition at line 66 of file zerofixedcoupon.hpp.

rate_

double rate_

private

Definition at line 67 of file zerofixedcoupon.hpp.

dc_

DayCounter dc_

private

Definition at line 68 of file zerofixedcoupon.hpp.

dates_

std::vector<Date> dates_

private

Definition at line 69 of file zerofixedcoupon.hpp.

comp_

Compounding comp_

private

Definition at line 70 of file zerofixedcoupon.hpp.

subtractNotional_

bool subtractNotional_

private

Definition at line 71 of file zerofixedcoupon.hpp.

amount_

double amount_

private

Definition at line 73 of file zerofixedcoupon.hpp.