averagebmacoupon.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 Roland Lichters
 Copyright (C) 2007 StatPro Italia srl
 
 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_bma_coupon_hpp
#define quantlib_bma_coupon_hpp
 
#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/indexes/bmaindex.hpp>
 
namespace QuantLib {
 
 
    class AverageBMACoupon : public FloatingRateCoupon {
      public:
        AverageBMACoupon(const Date& paymentDate,
                         Real nominal,
                         const Date& startDate,
                         const Date& endDate,
                         const ext::shared_ptr<BMAIndex>& index,
                         Real gearing = 1.0,
                         Spread spread = 0.0,
                         const Date& refPeriodStart = Date(),
                         const Date& refPeriodEnd = Date(),
                         const DayCounter& dayCounter = DayCounter());
 
 
 
        Date fixingDate() const override;
        std::vector<Date> fixingDates() const;
 
        Rate indexFixing() const override;
        std::vector<Rate> indexFixings() const;
 
        Rate convexityAdjustment() const override;
 
 
        void accept(AcyclicVisitor&) override;
      private:
        Schedule fixingSchedule_;
    };
 
 
    class AverageBMALeg {
      public:
        AverageBMALeg(Schedule schedule, ext::shared_ptr<BMAIndex> index);
        AverageBMALeg& withNotionals(Real notional);
        AverageBMALeg& withNotionals(const std::vector<Real>& notionals);
        AverageBMALeg& withPaymentDayCounter(const DayCounter&);
        AverageBMALeg& withPaymentAdjustment(BusinessDayConvention);
        AverageBMALeg& withGearings(Real gearing);
        AverageBMALeg& withGearings(const std::vector<Real>& gearings);
        AverageBMALeg& withSpreads(Spread spread);
        AverageBMALeg& withSpreads(const std::vector<Spread>& spreads);
        operator Leg() const;
      private:
        Schedule schedule_;
        ext::shared_ptr<BMAIndex> index_;
        std::vector<Real> notionals_;
        DayCounter paymentDayCounter_;
        BusinessDayConvention paymentAdjustment_ = Following;
        std::vector<Real> gearings_;
        std::vector<Spread> spreads_;
    };
 
}
 
 
#endif