floatingratebond.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 Ferdinando Ametrano
 Copyright (C) 2007 Chiara Fornarola
 
 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.
*/
 
#include <ql/instruments/bonds/floatingratebond.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/time/schedule.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/indexes/iborindex.hpp>
 
namespace QuantLib {
 
    FloatingRateBond::FloatingRateBond(
                           Natural settlementDays,
                           Real faceAmount,
                           const Schedule& schedule,
                           const ext::shared_ptr<IborIndex>& iborIndex,
                           const DayCounter& paymentDayCounter,
                           BusinessDayConvention paymentConvention,
                           Natural fixingDays,
                           const std::vector<Real>& gearings,
                           const std::vector<Spread>& spreads,
                           const std::vector<Rate>& caps,
                           const std::vector<Rate>& floors,
                           bool inArrears,
                           Real redemption,
                           const Date& issueDate,
                           const Period& exCouponPeriod,
                           const Calendar& exCouponCalendar,
                           const BusinessDayConvention exCouponConvention,
                           bool exCouponEndOfMonth)
    : Bond(settlementDays, schedule.calendar(), issueDate) {
 
        maturityDate_ = schedule.endDate();
 
        cashflows_ = IborLeg(schedule, iborIndex)
            .withNotionals(faceAmount)
            .withPaymentDayCounter(paymentDayCounter)
            .withPaymentAdjustment(paymentConvention)
            .withFixingDays(fixingDays)
            .withGearings(gearings)
            .withSpreads(spreads)
            .withCaps(caps)
            .withFloors(floors)
            .inArrears(inArrears)
            .withExCouponPeriod(exCouponPeriod, exCouponCalendar, exCouponConvention, exCouponEndOfMonth);
 
        addRedemptionsToCashflows(std::vector<Real>(1, redemption));
 
        QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
        QL_ENSURE(redemptions_.size() == 1, "multiple redemptions created");
 
        registerWith(iborIndex);
    }
 
}