QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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amortizingfloatingratebond.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008 Simon Ibbotson
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
23#include <ql/time/schedule.hpp>
25
26namespace QuantLib {
27
29 Natural settlementDays,
30 const std::vector<Real>& notionals,
31 Schedule schedule,
32 const ext::shared_ptr<IborIndex>& index,
33 const DayCounter& paymentDayCounter,
34 BusinessDayConvention paymentConvention,
35 Natural fixingDays,
36 const std::vector<Real>& gearings,
37 const std::vector<Spread>& spreads,
38 const std::vector<Rate>& caps,
39 const std::vector<Rate>& floors,
40 bool inArrears,
41 const Date& issueDate,
42 const Period& exCouponPeriod,
43 const Calendar& exCouponCalendar,
44 const BusinessDayConvention exCouponConvention,
45 bool exCouponEndOfMonth,
46 const std::vector<Real>& redemptions,
47 Integer paymentLag)
48 : Bond(settlementDays, schedule.calendar(), issueDate) {
49
50 maturityDate_ = schedule.endDate();
51
52 cashflows_ = IborLeg(std::move(schedule), index)
54 .withPaymentDayCounter(paymentDayCounter)
55 .withPaymentAdjustment(paymentConvention)
56 .withFixingDays(fixingDays)
57 .withPaymentLag(paymentLag)
58 .withGearings(gearings)
59 .withSpreads(spreads)
60 .withCaps(caps)
61 .withFloors(floors)
62 .withExCouponPeriod(exCouponPeriod,
63 exCouponCalendar,
64 exCouponConvention,
65 exCouponEndOfMonth)
66 .inArrears(inArrears);
67
69
70 QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
71
72 registerWith(index);
73 }
74
75}
amortizing floating-rate bond
AmortizingFloatingRateBond(Natural settlementDays, const std::vector< Real > &notional, Schedule schedule, const ext::shared_ptr< IborIndex > &index, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings={ 1.0 }, const std::vector< Spread > &spreads={ 0.0 }, const std::vector< Rate > &caps={}, const std::vector< Rate > &floors={}, bool inArrears=false, const Date &issueDate=Date(), const Period &exCouponPeriod=Period(), const Calendar &exCouponCalendar=Calendar(), BusinessDayConvention exCouponConvention=Unadjusted, bool exCouponEndOfMonth=false, const std::vector< Real > &redemptions={ 100.0 }, Integer paymentLag=0)
Base bond class.
Definition: bond.hpp:59
const std::vector< Real > & notionals() const
Definition: bond.hpp:340
void addRedemptionsToCashflows(const std::vector< Real > &redemptions=std::vector< Real >())
Definition: bond.cpp:315
const Leg & cashflows() const
Definition: bond.hpp:344
Leg cashflows_
Definition: bond.hpp:302
const Leg & redemptions() const
Definition: bond.hpp:348
Date maturityDate_
Definition: bond.hpp:305
calendar class
Definition: calendar.hpp:61
Concrete date class.
Definition: date.hpp:125
day counter class
Definition: daycounter.hpp:44
helper class building a sequence of capped/floored ibor-rate coupons
Definition: iborcoupon.hpp:134
IborLeg & withSpreads(Spread spread)
Definition: iborcoupon.cpp:212
IborLeg & withPaymentAdjustment(BusinessDayConvention)
Definition: iborcoupon.cpp:177
IborLeg & withPaymentDayCounter(const DayCounter &)
Definition: iborcoupon.cpp:172
IborLeg & inArrears(bool flag=true)
Definition: iborcoupon.cpp:242
IborLeg & withFloors(Rate floor)
Definition: iborcoupon.cpp:232
IborLeg & withNotionals(Real notional)
Definition: iborcoupon.cpp:162
IborLeg & withGearings(Real gearing)
Definition: iborcoupon.cpp:202
IborLeg & withPaymentLag(Integer lag)
Definition: iborcoupon.cpp:182
IborLeg & withExCouponPeriod(const Period &, const Calendar &, BusinessDayConvention, bool endOfMonth=false)
Definition: iborcoupon.cpp:252
IborLeg & withCaps(Rate cap)
Definition: iborcoupon.cpp:222
IborLeg & withFixingDays(Natural fixingDays)
Definition: iborcoupon.cpp:192
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
Definition: observable.hpp:228
Payment schedule.
Definition: schedule.hpp:40
const Date & endDate() const
Definition: schedule.hpp:184
#define QL_ENSURE(condition, message)
throw an error if the given post-condition is not verified
Definition: errors.hpp:130
BusinessDayConvention
Business Day conventions.
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
QL_INTEGER Integer
integer number
Definition: types.hpp:35
Coupon paying a Libor-type index.
base class for Inter-Bank-Offered-Rate indexes
Definition: any.hpp:35
date schedule
Predetermined cash flow.