forwardrateagreement.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 Allen Kuo
 
 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.
*/
 
#ifndef quantlib_forward_rate_agreement_hpp
#define quantlib_forward_rate_agreement_hpp
 
#include <ql/instruments/forward.hpp>
 
namespace QuantLib {
 
    class IborIndex;
 
 
    class ForwardRateAgreement: public Instrument {
      public:
        QL_DEPRECATED
        ForwardRateAgreement(
            const Date& valueDate,
            const Date& maturityDate,
            Position::Type type,
            Rate strikeForwardRate,
            Real notionalAmount,
            const ext::shared_ptr<IborIndex>& index,
            Handle<YieldTermStructure> discountCurve = {},
            bool useIndexedCoupon = true);
 
        QL_DEPRECATED
        ForwardRateAgreement(
            const Date& valueDate,
            Position::Type type,
            Rate strikeForwardRate,
            Real notionalAmount,
            const ext::shared_ptr<IborIndex>& index,
            Handle<YieldTermStructure> discountCurve = {});
 
        ForwardRateAgreement(
            const ext::shared_ptr<IborIndex>& index,
            const Date& valueDate,
            Position::Type type,
            Rate strikeForwardRate,
            Real notionalAmount,
            Handle<YieldTermStructure> discountCurve = {});
 
        ForwardRateAgreement(
            const ext::shared_ptr<IborIndex>& index,
            const Date& valueDate,
            const Date& maturityDate,
            Position::Type type,
            Rate strikeForwardRate,
            Real notionalAmount,
            Handle<YieldTermStructure> discountCurve = {});
 
 
 
        bool isExpired() const override;
        Real amount() const;
 
        const Calendar& calendar() const;
        BusinessDayConvention businessDayConvention() const;
        const DayCounter& dayCounter() const;
        Handle<YieldTermStructure> discountCurve() const;
 
        Date fixingDate() const;
 
        InterestRate forwardRate() const;
 
      protected:
        void setupExpired() const override;
        void performCalculations() const override;
        Position::Type fraType_;
        mutable InterestRate forwardRate_;
        InterestRate strikeForwardRate_;
        Real notionalAmount_;
        ext::shared_ptr<IborIndex> index_;
        bool useIndexedCoupon_;
 
        DayCounter dayCounter_;
        Calendar calendar_;
        BusinessDayConvention businessDayConvention_;
 
        Date valueDate_;
        Date maturityDate_;
        Handle<YieldTermStructure> discountCurve_;
 
      private:
        void calculateForwardRate() const;
        void calculateAmount() const;
        mutable Real amount_;
    };
 
    inline const Calendar& ForwardRateAgreement::calendar() const { return calendar_; }
 
    inline BusinessDayConvention ForwardRateAgreement::businessDayConvention() const {
        return businessDayConvention_;
    }
 
    inline const DayCounter& ForwardRateAgreement::dayCounter() const { return dayCounter_; }
 
    inline Handle<YieldTermStructure> ForwardRateAgreement::discountCurve() const {
        return discountCurve_;
    }
 
}
 
 
#endif