floatingratecoupon.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 StatPro Italia srl
 Copyright (C) 2003 Nicolas Di Césaré
 Copyright (C) 2006, 2007 Cristina Duminuco
 Copyright (C) 2006 Ferdinando Ametrano
 Copyright (C) 2007 Giorgio Facchinetti
 
 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_floating_rate_coupon_hpp
#define quantlib_floating_rate_coupon_hpp
 
#include <ql/cashflows/coupon.hpp>
#include <ql/patterns/visitor.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/handle.hpp>
 
namespace QuantLib {
 
    class InterestRateIndex;
    class YieldTermStructure;
    class FloatingRateCouponPricer;
 
    class FloatingRateCoupon : public Coupon {
      public:
        FloatingRateCoupon(const Date& paymentDate,
                           Real nominal,
                           const Date& startDate,
                           const Date& endDate,
                           Natural fixingDays,
                           const ext::shared_ptr<InterestRateIndex>& index,
                           Real gearing = 1.0,
                           Spread spread = 0.0,
                           const Date& refPeriodStart = Date(),
                           const Date& refPeriodEnd = Date(),
                           DayCounter dayCounter = DayCounter(),
                           bool isInArrears = false,
                           const Date& exCouponDate = Date());
 
 
        void performCalculations() const override;
 
        Real amount() const override { return rate() * accrualPeriod() * nominal(); }
 
 
        Rate rate() const override;
        Real price(const Handle<YieldTermStructure>& discountingCurve) const;
        DayCounter dayCounter() const override { return dayCounter_; }
        Real accruedAmount(const Date&) const override;
 
 
 
        const ext::shared_ptr<InterestRateIndex>& index() const;
        Natural fixingDays() const { return fixingDays_; }
        virtual Date fixingDate() const;
        Real gearing() const { return gearing_; }
        Spread spread() const { return spread_; }
        virtual Rate indexFixing() const;
        virtual Rate convexityAdjustment() const;
        virtual Rate adjustedFixing() const;
        bool isInArrears() const { return isInArrears_; }
 
 
        void accept(AcyclicVisitor&) override;
 
        virtual void setPricer(const ext::shared_ptr<FloatingRateCouponPricer>&);
        ext::shared_ptr<FloatingRateCouponPricer> pricer() const;
      protected:
        Rate convexityAdjustmentImpl(Rate fixing) const;
        ext::shared_ptr<InterestRateIndex> index_;
        DayCounter dayCounter_;
        Natural fixingDays_;
        Real gearing_;
        Spread spread_;
        bool isInArrears_;
        ext::shared_ptr<FloatingRateCouponPricer> pricer_;
        mutable Real rate_;
    };
 
    // inline definitions
 
    inline const ext::shared_ptr<InterestRateIndex>&
    FloatingRateCoupon::index() const {
        return index_;
    }
 
    inline Rate FloatingRateCoupon::convexityAdjustment() const {
        return convexityAdjustmentImpl(indexFixing());
    }
 
    inline Rate FloatingRateCoupon::adjustedFixing() const {
        return (rate()-spread())/gearing();
    }
 
    inline ext::shared_ptr<FloatingRateCouponPricer>
    FloatingRateCoupon::pricer() const {
        return pricer_;
    }
 
    inline Rate
    FloatingRateCoupon::convexityAdjustmentImpl(Rate fixing) const {
        return (gearing() == 0.0 ? Rate(0.0) : Rate(adjustedFixing()-fixing));
    }
 
    inline void FloatingRateCoupon::accept(AcyclicVisitor& v) {
        auto* v1 = dynamic_cast<Visitor<FloatingRateCoupon>*>(&v);
        if (v1 != nullptr)
            v1->visit(*this);
        else
            Coupon::accept(v);
    }
 
}
 
#endif