equitycashflow.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2023 Marcin Rybacki
 
 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.
*/
 
/*! \file equitycashflow.hpp
    \brief equity cash flow
*/
 
#ifndef quantlib_equity_cash_flow_hpp
#define quantlib_equity_cash_flow_hpp
 
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/termstructures/yield/zeroyieldstructure.hpp>
#include <ql/cashflows/indexedcashflow.hpp>
#include <ql/patterns/visitor.hpp>
 
namespace QuantLib {
    
    class EquityIndex;
    class EquityCashFlowPricer;
    
    class EquityCashFlow : public IndexedCashFlow {
       public:
        EquityCashFlow(Real notional,
                       ext::shared_ptr<EquityIndex> index,
                       const Date& baseDate,
                       const Date& fixingDate,
                       const Date& paymentDate,
                       bool growthOnly = true);
        //! \name CashFlow interface
        //@{
        Real amount() const override;
        //@}
        //! \name Visitability
        //@{
        void accept(AcyclicVisitor&) override;
        //@}
        void setPricer(const ext::shared_ptr<EquityCashFlowPricer>&);
        const ext::shared_ptr<EquityCashFlowPricer>& pricer() const { return pricer_; };
 
      private:
        ext::shared_ptr<EquityCashFlowPricer> pricer_;
    };
 
    inline void EquityCashFlow::accept(AcyclicVisitor& v) {
        auto* v1 = dynamic_cast<Visitor<EquityCashFlow>*>(&v);
        if (v1 != nullptr)
            v1->visit(*this);
        else
            IndexedCashFlow::accept(v);
    }
 
    void setCouponPricer(const Leg& leg, const ext::shared_ptr<EquityCashFlowPricer>&);
 
    class EquityCashFlowPricer : public virtual Observer, public virtual Observable {
      public:
        EquityCashFlowPricer() = default;
        //! \name Interface
        //@{
        virtual Real price() const = 0;
        virtual void initialize(const EquityCashFlow&) = 0;
        //@}
 
        //! \name Observer interface
        //@{
        void update() override { notifyObservers(); }
        //@}
      protected:
        ext::shared_ptr<EquityIndex> index_;
        Date baseDate_, fixingDate_;
        bool growthOnlyPayoff_;
    };
 
    class EquityQuantoCashFlowPricer : public EquityCashFlowPricer {
      public:
        EquityQuantoCashFlowPricer(Handle<YieldTermStructure> quantoCurrencyTermStructure,
                                   Handle<BlackVolTermStructure> equityVolatility,
                                   Handle<BlackVolTermStructure> fxVolatility,
                                   Handle<Quote> correlation);
        //! \name Interface
        //@{
        Real price() const override;
        void initialize(const EquityCashFlow&) override;
        //@}
      private:
        Handle<YieldTermStructure> quantoCurrencyTermStructure_, quantoTermStructure;
        Handle<BlackVolTermStructure> equityVolatility_, fxVolatility_;
        Handle<Quote> correlation_;
    };
}
 
#endif