rateaveraging.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2021 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 rateaveraging.hpp
    \brief rate-averaging method
*/
 
#ifndef quantlib_rate_averaging_hpp
#define quantlib_rate_averaging_hpp
 
#include <ql/qldefines.hpp>
 
namespace QuantLib {
 
    //! rate averaging method
    /*! It allows to configure how interest is accrued in multi-fixing
        coupons or futures.
    */
    struct RateAveraging {
        enum Type {
            Simple,  /*!< Under the simple convention the amount of
                          interest is calculated by applying the
                          sub-rate to the principal, and the payment
                          due at the end of the period is the sum of
                          those amounts. */
            Compound /*!< Under the compound convention, the
                          additional amount of interest owed each
                          period is calculated by applying the rate
                          both to the principal and the accumulated
                          unpaid interest. */
        };
    };
 
}
 
#endif