QuantLib: a free/open-source library for quantitative finance
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fixedratebondforward.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2006 Allen Kuo
5 Copyright (C) 2022 Marcin Rybacki
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file fixedratebondforward.hpp
22 \brief forward contract on a fixed-rate bond
23*/
24
25#ifndef quantlib_fixed_rate_bond_forward_hpp
26#define quantlib_fixed_rate_bond_forward_hpp
27
30
31namespace QuantLib {
32
33 //! %Forward contract on a fixed-rate bond
34 /*! \deprecated Use BondForward instead. */
36 public:
38 const Date& valueDate,
39 const Date& maturityDate,
40 Position::Type type,
41 Real strike,
42 Natural settlementDays,
43 const DayCounter& dayCounter,
44 const Calendar& calendar,
45 BusinessDayConvention businessDayConvention,
46 const ext::shared_ptr<FixedRateBond>& fixedRateBond,
48 const Handle<YieldTermStructure>& incomeDiscountCurve = Handle<YieldTermStructure>())
49 : BondForward(valueDate,
50 maturityDate,
51 type,
52 strike,
53 settlementDays,
54 dayCounter,
55 calendar,
56 businessDayConvention,
57 fixedRateBond,
58 discountCurve,
59 incomeDiscountCurve) {}
60 };
61}
62
63#endif
forward contract on a bond
Forward contract on a bond
Definition: bondforward.hpp:69
calendar class
Definition: calendar.hpp:61
Concrete date class.
Definition: date.hpp:125
day counter class
Definition: daycounter.hpp:44
Forward contract on a fixed-rate bond
FixedRateBondForward(const Date &valueDate, const Date &maturityDate, Position::Type type, Real strike, Natural settlementDays, const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, const ext::shared_ptr< FixedRateBond > &fixedRateBond, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &incomeDiscountCurve=Handle< YieldTermStructure >())
Shared handle to an observable.
Definition: handle.hpp:41
fixed-rate bond
BusinessDayConvention
Business Day conventions.
QL_REAL Real
real number
Definition: types.hpp:50
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
Definition: any.hpp:35
#define QL_DEPRECATED
Definition: qldefines.hpp:215