zerofixedcoupon.hpp

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/*
 Copyright (C) 2021 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 zerofixedcoupon.hpp
    \brief Nominal flow associated with a floating annuity coupon
    \ingroup cashflows
*/
 
#ifndef quantext_zero_fixed_coupon_hpp
#define quantext_zero_fixed_coupon_hpp
 
#include <ql/cashflows/coupon.hpp>
#include <ql/time/schedule.hpp>
#include <ql/time/businessdayconvention.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/patterns/visitor.hpp>
#include <ql/compounding.hpp>
#include <vector>
 
namespace QuantExt {
 
using namespace QuantLib;
 
//! \ingroup cashflows
class ZeroFixedCoupon : public Coupon {
public:
    ZeroFixedCoupon(const Date& paymentDate,
                    double notional,
                    double rate,
                    const DayCounter& dc,
                    const std::vector<Date>& dates,
                    const Compounding& comp,
                    bool subtractNotional);
 
    //! \name 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;
    //@}
 
    //! \name Visitability
    //@{
    void accept(AcyclicVisitor&) override;
    //@}
 
private:
 
    double notional_;
    double rate_;
    DayCounter dc_;
    std::vector<Date> dates_;
    Compounding comp_;
    bool subtractNotional_;
 
    double amount_;
};
 
} // namespace QuantExt
 
#endif