zerocouponswap.hpp

/* -*- 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.
 */
 
#ifndef quantlib_zerocouponswap_hpp
#define quantlib_zerocouponswap_hpp
 
#include <ql/instruments/swap.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>
 
namespace QuantLib {
    class IborIndex;
 
 
    class ZeroCouponSwap : public Swap {
      public:
        ZeroCouponSwap(Type type,
                       Real baseNominal,
                       const Date& startDate,
                       const Date& maturityDate,
                       Real fixedPayment,
                       ext::shared_ptr<IborIndex> iborIndex,
                       const Calendar& paymentCalendar,
                       BusinessDayConvention paymentConvention = Following,
                       Natural paymentDelay = 0);
 
        ZeroCouponSwap(Type type,
                       Real baseNominal,
                       const Date& startDate,
                       const Date& maturityDate,
                       Rate fixedRate,
                       const DayCounter& fixedDayCounter,
                       ext::shared_ptr<IborIndex> iborIndex,
                       const Calendar& paymentCalendar,
                       BusinessDayConvention paymentConvention = Following,
                       Natural paymentDelay = 0);
 
 
 
        Type type() const { return type_; }
        Real baseNominal() const { return baseNominal_; }
        Date startDate() const override { return startDate_; }
        Date maturityDate() const override { return maturityDate_; }
        const ext::shared_ptr<IborIndex>& iborIndex() const { return iborIndex_; }
 
        const Leg& fixedLeg() const;
        const Leg& floatingLeg() const;
 
        Real fixedPayment() const;
 
 
        Real fixedLegNPV() const;
        Real floatingLegNPV() const;
        Real fairFixedPayment() const;
        Rate fairFixedRate(const DayCounter& dayCounter) const;
 
      private:
        ZeroCouponSwap(Type type,
                       Real baseNominal,
                       const Date& startDate,
                       const Date& maturityDate,
                       ext::shared_ptr<IborIndex> iborIndex,
                       const Calendar& paymentCalendar,
                       BusinessDayConvention paymentConvention,
                       Natural paymentDelay);
 
        Type type_;
        Real baseNominal_;
        ext::shared_ptr<IborIndex> iborIndex_;
        Date startDate_;
        Date maturityDate_;
        Date paymentDate_;
    };
}
 
#endif