coupon.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2007 StatPro Italia srl
 
 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_coupon_hpp
#define quantlib_coupon_hpp
 
#include <ql/cashflow.hpp>
 
namespace QuantLib {
 
    class DayCounter;
 
 
    class Coupon : public CashFlow {
      public:
        Coupon(const Date& paymentDate,
               Real nominal,
               const Date& accrualStartDate,
               const Date& accrualEndDate,
               const Date& refPeriodStart = Date(),
               const Date& refPeriodEnd = Date(),
               const Date& exCouponDate = Date());
 
        Date date() const override { return paymentDate_; }
 
        Date exCouponDate() const override { return exCouponDate_; }
 
        virtual Real nominal() const;
        const Date& accrualStartDate() const;
        const Date& accrualEndDate() const;
        const Date& referencePeriodStart() const;
        const Date& referencePeriodEnd() const;
        Time accrualPeriod() const;
        Date::serial_type accrualDays() const;
        virtual Rate rate() const = 0;
        virtual DayCounter dayCounter() const = 0;
        Time accruedPeriod(const Date&) const;
        Date::serial_type accruedDays(const Date&) const;
        virtual Real accruedAmount(const Date&) const = 0;
 
        void accept(AcyclicVisitor&) override;
      protected:
        Date paymentDate_;
        Real nominal_;
        Date accrualStartDate_,accrualEndDate_, refPeriodStart_,refPeriodEnd_;
        Date exCouponDate_;
        mutable Real accrualPeriod_;
    };
 
 
    // inline definitions
 
    inline Real Coupon::nominal() const {
        return nominal_;
    }
 
    inline const Date& Coupon::accrualStartDate() const {
        return accrualStartDate_;
    }
 
    inline const Date& Coupon::accrualEndDate() const {
        return accrualEndDate_;
    }
 
    inline const Date& Coupon::referencePeriodStart() const {
        return refPeriodStart_;
    }
 
    inline const Date& Coupon::referencePeriodEnd() const {
        return refPeriodEnd_;
    }
 
}
 
#endif