cashflows.hpp

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/*
 Copyright (C) 2020 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 qle/utilities/cashflows.hpp
    \brief some cashflow related utilities.
*/
 
#pragma once
 
#include <qle/cashflows/overnightindexedcoupon.hpp>
#include <qle/utilities/time.hpp>
 
#include <ql/cashflows/averagebmacoupon.hpp>
 
namespace QuantExt {
 
/*! Utility function for calculating the atm strike level to a given \p fixingDate based on a given ois index,
    \p on, and a given irate computation period, \p rateComputationPeriod.
 
\ingroup utilities
*/
 
Real getOisAtmLevel(const QuantLib::ext::shared_ptr<OvernightIndex>& on, const Date& fixingDate,
                    const Period& rateComputationPeriod);
 
/*! Utility function for calculating the atm strike level to a given \p fixingDate based on a given BMA index,
    \p on, and a given irate computation period, \p rateComputationPeriod.
 
\ingroup utilities
*/
Real getBMAAtmLevel(const QuantLib::ext::shared_ptr<BMAIndex>& bma, const Date& fixingDate,
                    const Period& rateComputationPeriod);
 
} // namespace QuantExt