makecds.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.
*/
 
/*
  Copyright (C) 2014 Jose Aparicio
  Copyright (C) 2014 Peter Caspers
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
 
  QuantLib is free software: you can redistribute it and/or modify it
  under the terms of the QuantLib license.  You should have received a
  copy of the license along with this program; if not, please email
  <quantlib-dev@lists.sf.net>. The license is also available online at
  <http://quantlib.org/license.shtml>.
 
  This program is distributed in the hope that it will be useful, but WITHOUT
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
/*! \file makecds.hpp
    \brief Helper class to instantiate standard market cds.
    \ingroup instruments
*/
 
#ifndef quantext_makecds_hpp
#define quantext_makecds_hpp
 
#include <boost/optional.hpp>
#include <ql/instruments/creditdefaultswap.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
//! helper class
/*! This class provides a more comfortable way
    to instantiate standard cds.
    \bug support last period dc
    \ingroup instruments
*/
class MakeCreditDefaultSwap {
public:
    MakeCreditDefaultSwap(const Period& tenor, const Real couponRate);
    MakeCreditDefaultSwap(const Date& termDate, const Real couponRate);
 
    operator CreditDefaultSwap() const;
    operator QuantLib::ext::shared_ptr<CreditDefaultSwap>() const;
 
    MakeCreditDefaultSwap& withUpfrontRate(Real);
    MakeCreditDefaultSwap& withSide(Protection::Side);
    MakeCreditDefaultSwap& withNominal(Real);
    MakeCreditDefaultSwap& withCouponTenor(Period);
    MakeCreditDefaultSwap& withDayCounter(const DayCounter&);
    MakeCreditDefaultSwap& withLastPeriodDayCounter(const DayCounter&);
    MakeCreditDefaultSwap& withDateGenerationRule(DateGeneration::Rule rule);
    MakeCreditDefaultSwap& withCashSettlementDays(Natural cashSettlementDays);
    MakeCreditDefaultSwap& withPricingEngine(const QuantLib::ext::shared_ptr<PricingEngine>&);
    MakeCreditDefaultSwap& withSettlesAccrual(bool);
    MakeCreditDefaultSwap& withPaysAtDefaultTime(bool);
    MakeCreditDefaultSwap& withRebatesAccrual(bool);
 
private:
    Protection::Side side_;
    Real nominal_;
    boost::optional<Period> tenor_;
    boost::optional<Date> termDate_;
    Period couponTenor_;
    Real couponRate_;
    Real upfrontRate_;
    DayCounter dayCounter_;
    DayCounter lastPeriodDayCounter_;
    DateGeneration::Rule rule_;
    Natural cashSettlementDays_;
    bool settlesAccrual_;
    bool paysAtDefaultTime_;
    bool rebatesAccrual_;
    QuantLib::ext::shared_ptr<PricingEngine> engine_;
};
} // namespace QuantExt
 
#endif