floatingannuitynominal.hpp

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/*
 Copyright (C) 2017 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file floatingannuitynominal.hpp
    \brief Nominal flow associated with a floating annuity coupon
    \ingroup cashflows
*/
 
#ifndef quantext_floating_annuity_nominal_hpp
#define quantext_floating_annuity_nominal_hpp
 
#include <ql/cashflow.hpp>
#include <qle/cashflows/floatingannuitycoupon.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
//! Nominal flows associated with the FloatingAnnuityCoupon
//! \ingroup cashflows
class FloatingAnnuityNominal : public CashFlow {
public:
    FloatingAnnuityNominal(const QuantLib::ext::shared_ptr<FloatingAnnuityCoupon>& floatingAnnuityCoupon)
        : coupon_(floatingAnnuityCoupon) {}
 
    //! \name Cashflow interface
    Rate amount() const override;
    Date date() const override;
 
private:
    QuantLib::ext::shared_ptr<FloatingAnnuityCoupon> coupon_;
};
 
inline Date FloatingAnnuityNominal::date() const { return coupon_->accrualStartDate(); }
 
inline Real FloatingAnnuityNominal::amount() const { return coupon_->previousNominal() - coupon_->nominal(); }
 
Leg makeFloatingAnnuityNominalLeg(const Leg& floatingAnnuityLeg);
 
} // namespace QuantExt
 
#endif