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floatingratecoupon.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2007 Giorgio Facchinetti
 Copyright (C) 2006, 2007 Cristina Duminuco
 Copyright (C) 2006 Ferdinando Ametrano
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004 StatPro Italia srl
 Copyright (C) 2003 Nicolas Di Césaré

 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.
*/

#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/indexes/interestrateindex.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>

namespace QuantLib {

    FloatingRateCoupon::FloatingRateCoupon(
                         const Date& paymentDate, const Real nominal,
                         const Date& startDate, const Date& endDate,
                         const Natural fixingDays,
                         const boost::shared_ptr<InterestRateIndex>& index,
                         const Real gearing, const Spread spread,
                         const Date& refPeriodStart, const Date& refPeriodEnd,
                         const DayCounter& dayCounter,
                         bool isInArrears)
    : Coupon(nominal, paymentDate,
             startDate, endDate, refPeriodStart, refPeriodEnd),
      index_(index), dayCounter_(dayCounter),
      fixingDays_(fixingDays==Null<Size>() ? index->fixingDays() : fixingDays),
      gearing_(gearing), spread_(spread),
      isInArrears_(isInArrears) {
        QL_REQUIRE(gearing_!=0, "Null gearing not allowed");

        if (dayCounter_.empty())
            dayCounter_ = index_->dayCounter();

        registerWith(index_);
        registerWith(Settings::instance().evaluationDate());
    }


    void FloatingRateCoupon::setPricer(
                const boost::shared_ptr<FloatingRateCouponPricer>& pricer) {
        if (pricer_)
            unregisterWith(pricer_);
        pricer_ = pricer;
        if (pricer_)
            registerWith(pricer_);
        update();
    }

    boost::shared_ptr<FloatingRateCouponPricer>
    FloatingRateCoupon::pricer() const {
        return pricer_;
    }

00072     Real FloatingRateCoupon::amount() const {
        return rate() * accrualPeriod() * nominal();
    }

00076     Real FloatingRateCoupon::accruedAmount(const Date& d) const {
        if (d <= accrualStartDate_ || d > paymentDate_) {
            return 0.0;
        } else {
            return nominal() * rate() *
                dayCounter().yearFraction(accrualStartDate_,
                                          std::min(d,accrualEndDate_),
                                          refPeriodStart_,
                                          refPeriodEnd_);
        }
    }

    Real
    FloatingRateCoupon::price(const Handle<YieldTermStructure>& yts) const {
        return amount() * yts->discount(date());
    }

00093     DayCounter FloatingRateCoupon::dayCounter() const {
        return dayCounter_;
    }

    const boost::shared_ptr<InterestRateIndex>&
00098     FloatingRateCoupon::index() const {
        return index_;
    }

00102     Natural FloatingRateCoupon::fixingDays() const {
        return fixingDays_;
    }

00106     Date FloatingRateCoupon::fixingDate() const {
        // if isInArrears_ fix at the end of period
        Date refDate = isInArrears_ ? accrualEndDate_ : accrualStartDate_;
        return index_->fixingCalendar().advance(refDate,
            -static_cast<Integer>(fixingDays_), Days, Preceding);
    }

00113     Real FloatingRateCoupon::gearing() const {
        return gearing_;
    }

00117     Spread FloatingRateCoupon::spread() const {
        return spread_;
    }

00121     Rate FloatingRateCoupon::indexFixing() const {
        return index_->fixing(fixingDate());
    }

00125     Rate FloatingRateCoupon::rate() const {
        QL_REQUIRE(pricer_, "pricer not set");
        pricer_->initialize(*this);
        return pricer_->swapletRate();
    }

00131     Rate FloatingRateCoupon::adjustedFixing() const {
        return (rate()-spread())/gearing();
    }

00135     bool FloatingRateCoupon::isInArrears() const {
        return isInArrears_;
    }

00139     Rate FloatingRateCoupon::convexityAdjustmentImpl(Rate f) const {
       return (gearing() == 0.0 ? 0.0 : adjustedFixing()-f);
    }

00143     Rate FloatingRateCoupon::convexityAdjustment() const {
        return convexityAdjustmentImpl(indexFixing());
    }

00147     void FloatingRateCoupon::update() {
        notifyObservers();
    }

    void FloatingRateCoupon::accept(AcyclicVisitor& v) {
        Visitor<FloatingRateCoupon>* v1 =
            dynamic_cast<Visitor<FloatingRateCoupon>*>(&v);
        if (v1 != 0)
            v1->visit(*this);
        else
            Coupon::accept(v);
    }

}

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