Logo Search packages:      
Sourcecode: quantlib version File versions  Download package


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

 Copyright (C) 2007 Ferdinando Ametrano
 Copyright (C) 2006, 2007 Chiara Fornarola
 Copyright (C) 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

 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/instruments/bonds/cmsratebond.hpp>
#include <ql/cashflows/cmscoupon.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/time/schedule.hpp>

namespace QuantLib {

                           Natural settlementDays,
                           Real faceAmount,
                           const Schedule& schedule,
                           const boost::shared_ptr<SwapIndex>& index,
                           const DayCounter& paymentDayCounter,
                           BusinessDayConvention paymentConvention,
                           Natural fixingDays,
                           const std::vector<Real>& gearings,
                           const std::vector<Spread>& spreads,
                           const std::vector<Rate>& caps,
                           const std::vector<Rate>& floors,
                           bool inArrears,
                           Real redemption,
                           const Date& issueDate)
    : Bond(settlementDays, schedule.calendar(), issueDate) {

        maturityDate_ = schedule.endDate();

        cashflows_ = CmsLeg(schedule, index)

        addRedemptionsToCashflows(std::vector<Real>(1, redemption));

        QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
        QL_ENSURE(redemptions_.size() == 1, "multiple redemptions created");



Generated by  Doxygen 1.6.0   Back to index