/src/quantlib/ql/cashflows/cashflowvectors.hpp

Source
/* -*- 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) 2006, 2007 Cristina Duminuco
 Copyright (C) 2006, 2007 Giorgio Facchinetti
 Copyright (C) 2006 Mario Pucci
 Copyright (C) 2007 Ferdinando Ametrano
 Copyright (C) 2017 Joseph Jeisman
 Copyright (C) 2017 Fabrice Lecuyer

 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
 <https://www.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.
*/

/*! \file cashflowvectors.hpp
    \brief Cash flow vector builders
*/

#ifndef quantlib_cash_flow_vectors_hpp
#define quantlib_cash_flow_vectors_hpp

#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/cashflows/replication.hpp>
#include <ql/time/schedule.hpp>
#include <ql/utilities/null.hpp>
#include <ql/utilities/vectors.hpp>
#include <ql/position.hpp>
#include <ql/indexes/swapindex.hpp>

namespace QuantLib {

    namespace detail {

        Rate effectiveFixedRate(const std::vector<Spread>& spreads,
                                const std::vector<Rate>& caps,
                                const std::vector<Rate>& floors,
                                Size i);

        bool noOption(const std::vector<Rate>& caps,
                      const std::vector<Rate>& floors,
                      Size i);

    }


    template <typename InterestRateIndexType,
              typename FloatingCouponType,
              typename CappedFlooredCouponType>
    Leg FloatingLeg(const Schedule& schedule,
                    const std::vector<Real>& nominals,
                    const ext::shared_ptr<InterestRateIndexType>& index,
                    const DayCounter& paymentDayCounter,
                    BusinessDayConvention paymentAdj,
                    const std::vector<Natural>& fixingDays,
                    const std::vector<Real>& gearings,
                    const std::vector<Spread>& spreads,
                    const std::vector<Rate>& caps,
                    const std::vector<Rate>& floors,
                    bool isInArrears,
                    bool isZero,
                    Integer paymentLag = 0,
                    Calendar paymentCalendar = Calendar(),
                    Period exCouponPeriod = Period(),
                    Calendar exCouponCalendar = Calendar(),
                    BusinessDayConvention exCouponAdjustment = Unadjusted,
                    bool exCouponEndOfMonth = false) {

        Size n = schedule.size()-1;
        QL_REQUIRE(!nominals.empty(), "no notional given");
        QL_REQUIRE(nominals.size() <= n,
                   "too many nominals (" << nominals.size() <<
                   "), only " << n << " required");
        QL_REQUIRE(gearings.size()<=n,
                   "too many gearings (" << gearings.size() <<
                   "), only " << n << " required");
        QL_REQUIRE(spreads.size()<=n,
                   "too many spreads (" << spreads.size() <<
                   "), only " << n << " required");
        QL_REQUIRE(caps.size()<=n,
                   "too many caps (" << caps.size() <<
                   "), only " << n << " required");
        QL_REQUIRE(floors.size()<=n,
                   "too many floors (" << floors.size() <<
                   "), only " << n << " required");
        QL_REQUIRE(!isZero || !isInArrears,
                   "in-arrears and zero features are not compatible");

        Leg leg; leg.reserve(n);

        // the following is not always correct
        const Calendar& calendar = schedule.calendar();

        if (paymentCalendar.empty()) {
            paymentCalendar = calendar;
        }
        Date refStart, start, refEnd, end;
        Date exCouponDate;
        Date lastPaymentDate = paymentCalendar.advance(schedule.date(n), paymentLag, Days, paymentAdj);

        for (Size i=0; i<n; ++i) {
            refStart = start = schedule.date(i);
            refEnd   =   end = schedule.date(i+1);
            Date paymentDate =
                isZero ? lastPaymentDate : paymentCalendar.advance(end, paymentLag, Days, paymentAdj);
            if (i==0   && (schedule.hasIsRegular() && schedule.hasTenor() && !schedule.isRegular(i+1))) {
                BusinessDayConvention bdc = schedule.businessDayConvention();
                refStart = calendar.adjust(end - schedule.tenor(), bdc);
            }
            if (i==n-1 && (schedule.hasIsRegular() && schedule.hasTenor() && !schedule.isRegular(i+1))) {
                BusinessDayConvention bdc = schedule.businessDayConvention();
                refEnd = calendar.adjust(start + schedule.tenor(), bdc);
            }
            if (exCouponPeriod != Period()) {
                if (exCouponCalendar.empty()) {
                    exCouponCalendar = calendar;
                }
                exCouponDate = exCouponCalendar.advance(paymentDate, -exCouponPeriod,
                                                         exCouponAdjustment, exCouponEndOfMonth);
            }
            if (detail::get(gearings, i, 1.0) == 0.0) { // fixed coupon
                leg.push_back(ext::shared_ptr<CashFlow>(new
                    FixedRateCoupon(paymentDate,
                                    detail::get(nominals, i, 1.0),
                                    detail::effectiveFixedRate(spreads,caps,
                                                               floors,i),
                                    paymentDayCounter,
                                    start, end, refStart, refEnd, 
                        exCouponDate)));
            } else { // floating coupon
                if (detail::noOption(caps, floors, i))
                    leg.push_back(ext::shared_ptr<CashFlow>(new
                        FloatingCouponType(
                            paymentDate,
                            detail::get(nominals, i, 1.0),
                            start, end,
                            detail::get(fixingDays, i, index->fixingDays()),
                            index,
                            detail::get(gearings, i, 1.0),
                            detail::get(spreads, i, 0.0),
                            refStart, refEnd,
                            paymentDayCounter, isInArrears, exCouponDate)));
                else {
                    leg.push_back(ext::shared_ptr<CashFlow>(new
                        CappedFlooredCouponType(
                               paymentDate,
                               detail::get(nominals, i, 1.0),
                               start, end,
                               detail::get(fixingDays, i, index->fixingDays()),
                               index,
                               detail::get(gearings, i, 1.0),
                               detail::get(spreads, i, 0.0),
                               detail::get(caps,   i, Null<Rate>()),
                               detail::get(floors, i, Null<Rate>()),
                               refStart, refEnd,
                               paymentDayCounter,
                               isInArrears, exCouponDate)));
                }
            }
        }
        return leg;
    }


    template <typename InterestRateIndexType,
              typename FloatingCouponType,
              typename DigitalCouponType>
    Leg FloatingDigitalLeg(
                        const Schedule& schedule,
                        const std::vector<Real>& nominals,
                        const ext::shared_ptr<InterestRateIndexType>& index,
                        const DayCounter& paymentDayCounter,
                        BusinessDayConvention paymentAdj,
                        const std::vector<Natural>& fixingDays,
                        const std::vector<Real>& gearings,
                        const std::vector<Spread>& spreads,
                        bool isInArrears,
                        const std::vector<Rate>& callStrikes,
                        Position::Type callPosition,
                        bool isCallATMIncluded,
                        const std::vector<Rate>& callDigitalPayoffs,
                        const std::vector<Rate>& putStrikes,
                        Position::Type putPosition,
                        bool isPutATMIncluded,
                        const std::vector<Rate>& putDigitalPayoffs,
                        const ext::shared_ptr<DigitalReplication>& replication,
                        bool nakedOption = false) {
        Size n = schedule.size()-1;
        QL_REQUIRE(!nominals.empty(), "no notional given");
        QL_REQUIRE(nominals.size() <= n,
                   "too many nominals (" << nominals.size() <<
                   "), only " << n << " required");
        QL_REQUIRE(gearings.size()<=n,
                   "too many gearings (" << gearings.size() <<
                   "), only " << n << " required");
        QL_REQUIRE(spreads.size()<=n,
                   "too many spreads (" << spreads.size() <<
                   "), only " << n << " required");
        QL_REQUIRE(callStrikes.size()<=n,
                   "too many call rates (" << callStrikes.size() <<
                   "), only " << n << " required");
        QL_REQUIRE(putStrikes.size()<=n,
                   "too many put rates (" << putStrikes.size() <<
                   "), only " << n << " required");

        Leg leg; leg.reserve(n);

        // the following is not always correct
        const Calendar& calendar = schedule.calendar();

        Date refStart, start, refEnd, end;
        Date paymentDate;

        for (Size i=0; i<n; ++i) {
            refStart = start = schedule.date(i);
            refEnd   =   end = schedule.date(i+1);
            paymentDate = calendar.adjust(end, paymentAdj);
            if (i==0 && (schedule.hasIsRegular() && schedule.hasTenor() && !schedule.isRegular(i+1))) {
                BusinessDayConvention bdc = schedule.businessDayConvention();
                refStart = calendar.adjust(end - schedule.tenor(), bdc);
            }
            if (i==n-1 && (schedule.hasIsRegular() && schedule.hasTenor() && !schedule.isRegular(i+1))) {
                BusinessDayConvention bdc = schedule.businessDayConvention();
                refEnd = calendar.adjust(start + schedule.tenor(), bdc);
            }
            if (detail::get(gearings, i, 1.0) == 0.0) { // fixed coupon
                leg.push_back(ext::shared_ptr<CashFlow>(new
                    FixedRateCoupon(paymentDate,
                                    detail::get(nominals, i, 1.0),
                                    detail::get(spreads, i, 1.0),
                                    paymentDayCounter,
                                    start, end, refStart, refEnd)));
            } else { // floating digital coupon
                ext::shared_ptr<FloatingCouponType> underlying(new
                    FloatingCouponType(paymentDate,
                                       detail::get(nominals, i, 1.0),
                                       start, end,
                                       detail::get(fixingDays, i, index->fixingDays()),
                                       index,
                                       detail::get(gearings, i, 1.0),
                                       detail::get(spreads, i, 0.0),
                                       refStart, refEnd,
                                       paymentDayCounter, isInArrears));
                leg.push_back(ext::shared_ptr<CashFlow>(new
                    DigitalCouponType(
                             underlying,
                             detail::get(callStrikes, i, Null<Real>()),
                             callPosition,
                             isCallATMIncluded,
                             detail::get(callDigitalPayoffs, i, Null<Real>()),
                             detail::get(putStrikes, i, Null<Real>()),
                             putPosition,
                             isPutATMIncluded,
                             detail::get(putDigitalPayoffs, i, Null<Real>()),
                             replication, nakedOption)));
            }
        }
        return leg;
    }

}

#endif

Coverage Report

Created: 2025-10-14 06:32

Line	Count	Source
1		/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3		/*
4		Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5		Copyright (C) 2003, 2004 StatPro Italia srl
6		Copyright (C) 2006, 2007 Cristina Duminuco
7		Copyright (C) 2006, 2007 Giorgio Facchinetti
8		Copyright (C) 2006 Mario Pucci
9		Copyright (C) 2007 Ferdinando Ametrano
10		Copyright (C) 2017 Joseph Jeisman
11		Copyright (C) 2017 Fabrice Lecuyer
12
13		This file is part of QuantLib, a free-software/open-source library
14		for financial quantitative analysts and developers - http://quantlib.org/
15
16		QuantLib is free software: you can redistribute it and/or modify it
17		under the terms of the QuantLib license. You should have received a
18		copy of the license along with this program; if not, please email
19		<quantlib-dev@lists.sf.net>. The license is also available online at
20		<https://www.quantlib.org/license.shtml>.
21
22		This program is distributed in the hope that it will be useful, but WITHOUT
23		ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
24		FOR A PARTICULAR PURPOSE. See the license for more details.
25		*/
26
27		/*! \file cashflowvectors.hpp
28		\brief Cash flow vector builders
29		*/
30
31		#ifndef quantlib_cash_flow_vectors_hpp
32		#define quantlib_cash_flow_vectors_hpp
33
34		#include <ql/cashflows/fixedratecoupon.hpp>
35		#include <ql/cashflows/replication.hpp>
36		#include <ql/time/schedule.hpp>
37		#include <ql/utilities/null.hpp>
38		#include <ql/utilities/vectors.hpp>
39		#include <ql/position.hpp>
40		#include <ql/indexes/swapindex.hpp>
41
42		namespace QuantLib {
43
44		namespace detail {
45
46		Rate effectiveFixedRate(const std::vector<Spread>& spreads,
47		const std::vector<Rate>& caps,
48		const std::vector<Rate>& floors,
49		Size i);
50
51		bool noOption(const std::vector<Rate>& caps,
52		const std::vector<Rate>& floors,
53		Size i);
54
55		}
56
57
58		template <typename InterestRateIndexType,
59		typename FloatingCouponType,
60		typename CappedFlooredCouponType>
61		Leg FloatingLeg(const Schedule& schedule,
62		const std::vector<Real>& nominals,
63		const ext::shared_ptr<InterestRateIndexType>& index,
64		const DayCounter& paymentDayCounter,
65		BusinessDayConvention paymentAdj,
66		const std::vector<Natural>& fixingDays,
67		const std::vector<Real>& gearings,
68		const std::vector<Spread>& spreads,
69		const std::vector<Rate>& caps,
70		const std::vector<Rate>& floors,
71		bool isInArrears,
72		bool isZero,
73		Integer paymentLag = 0,
74		Calendar paymentCalendar = Calendar(),
75		Period exCouponPeriod = Period(),
76		Calendar exCouponCalendar = Calendar(),
77		BusinessDayConvention exCouponAdjustment = Unadjusted,
78	0	bool exCouponEndOfMonth = false) {
79
80	0	Size n = schedule.size()-1;
81	0	QL_REQUIRE(!nominals.empty(), "no notional given");
82	0	QL_REQUIRE(nominals.size() <= n,
83	0	"too many nominals (" << nominals.size() <<
84	0	"), only " << n << " required");
85	0	QL_REQUIRE(gearings.size()<=n,
86	0	"too many gearings (" << gearings.size() <<
87	0	"), only " << n << " required");
88	0	QL_REQUIRE(spreads.size()<=n,
89	0	"too many spreads (" << spreads.size() <<
90	0	"), only " << n << " required");
91	0	QL_REQUIRE(caps.size()<=n,
92	0	"too many caps (" << caps.size() <<
93	0	"), only " << n << " required");
94	0	QL_REQUIRE(floors.size()<=n,
95	0	"too many floors (" << floors.size() <<
96	0	"), only " << n << " required");
97	0	QL_REQUIRE(!isZero \|\| !isInArrears,
98	0	"in-arrears and zero features are not compatible");
99
100	0	Leg leg; leg.reserve(n);
101
102		// the following is not always correct
103	0	const Calendar& calendar = schedule.calendar();
104
105	0	if (paymentCalendar.empty()) {
106	0	paymentCalendar = calendar;
107	0	}
108	0	Date refStart, start, refEnd, end;
109	0	Date exCouponDate;
110	0	Date lastPaymentDate = paymentCalendar.advance(schedule.date(n), paymentLag, Days, paymentAdj);
111
112	0	for (Size i=0; i<n; ++i) {
113	0	refStart = start = schedule.date(i);
114	0	refEnd = end = schedule.date(i+1);
115	0	Date paymentDate =
116	0	isZero ? lastPaymentDate : paymentCalendar.advance(end, paymentLag, Days, paymentAdj);
117	0	if (i==0 && (schedule.hasIsRegular() && schedule.hasTenor() && !schedule.isRegular(i+1))) {
118	0	BusinessDayConvention bdc = schedule.businessDayConvention();
119	0	refStart = calendar.adjust(end - schedule.tenor(), bdc);
120	0	}
121	0	if (i==n-1 && (schedule.hasIsRegular() && schedule.hasTenor() && !schedule.isRegular(i+1))) {
122	0	BusinessDayConvention bdc = schedule.businessDayConvention();
123	0	refEnd = calendar.adjust(start + schedule.tenor(), bdc);
124	0	}
125	0	if (exCouponPeriod != Period()) {
126	0	if (exCouponCalendar.empty()) {
127	0	exCouponCalendar = calendar;
128	0	}
129	0	exCouponDate = exCouponCalendar.advance(paymentDate, -exCouponPeriod,
130	0	exCouponAdjustment, exCouponEndOfMonth);
131	0	}
132	0	if (detail::get(gearings, i, 1.0) == 0.0) { // fixed coupon
133	0	leg.push_back(ext::shared_ptr<CashFlow>(new
134	0	FixedRateCoupon(paymentDate,
135	0	detail::get(nominals, i, 1.0),
136	0	detail::effectiveFixedRate(spreads,caps,
137	0	floors,i),
138	0	paymentDayCounter,
139	0	start, end, refStart, refEnd,
140	0	exCouponDate)));
141	0	} else { // floating coupon
142	0	if (detail::noOption(caps, floors, i))
143	0	leg.push_back(ext::shared_ptr<CashFlow>(new
144	0	FloatingCouponType(
145	0	paymentDate,
146	0	detail::get(nominals, i, 1.0),
147	0	start, end,
148	0	detail::get(fixingDays, i, index->fixingDays()),
149	0	index,
150	0	detail::get(gearings, i, 1.0),
151	0	detail::get(spreads, i, 0.0),
152	0	refStart, refEnd,
153	0	paymentDayCounter, isInArrears, exCouponDate)));
154	0	else {
155	0	leg.push_back(ext::shared_ptr<CashFlow>(new
156	0	CappedFlooredCouponType(
157	0	paymentDate,
158	0	detail::get(nominals, i, 1.0),
159	0	start, end,
160	0	detail::get(fixingDays, i, index->fixingDays()),
161	0	index,
162	0	detail::get(gearings, i, 1.0),
163	0	detail::get(spreads, i, 0.0),
164	0	detail::get(caps, i, Null<Rate>()),
165	0	detail::get(floors, i, Null<Rate>()),
166	0	refStart, refEnd,
167	0	paymentDayCounter,
168	0	isInArrears, exCouponDate)));
169	0	}
170	0	}
171	0	}
172	0	return leg;
173	0	} Unexecuted instantiation: std::__1::vector<boost::shared_ptr<QuantLib::CashFlow>, std::__1::allocator<boost::shared_ptr<QuantLib::CashFlow> > > QuantLib::FloatingLeg<QuantLib::SwapIndex, QuantLib::CmsCoupon, QuantLib::CappedFlooredCmsCoupon>(QuantLib::Schedule const&, std::__1::vector<double, std::__1::allocator<double> > const&, boost::shared_ptr<QuantLib::SwapIndex> const&, QuantLib::DayCounter const&, QuantLib::BusinessDayConvention, std::__1::vector<unsigned int, std::__1::allocator<unsigned int> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, bool, bool, int, QuantLib::Calendar, QuantLib::Period, QuantLib::Calendar, QuantLib::BusinessDayConvention, bool) Unexecuted instantiation: std::__1::vector<boost::shared_ptr<QuantLib::CashFlow>, std::__1::allocator<boost::shared_ptr<QuantLib::CashFlow> > > QuantLib::FloatingLeg<QuantLib::IborIndex, QuantLib::IborCoupon, QuantLib::CappedFlooredIborCoupon>(QuantLib::Schedule const&, std::__1::vector<double, std::__1::allocator<double> > const&, boost::shared_ptr<QuantLib::IborIndex> const&, QuantLib::DayCounter const&, QuantLib::BusinessDayConvention, std::__1::vector<unsigned int, std::__1::allocator<unsigned int> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, bool, bool, int, QuantLib::Calendar, QuantLib::Period, QuantLib::Calendar, QuantLib::BusinessDayConvention, bool) Unexecuted instantiation: std::__1::vector<boost::shared_ptr<QuantLib::CashFlow>, std::__1::allocator<boost::shared_ptr<QuantLib::CashFlow> > > QuantLib::FloatingLeg<QuantLib::SwapSpreadIndex, QuantLib::CmsSpreadCoupon, QuantLib::CappedFlooredCmsSpreadCoupon>(QuantLib::Schedule const&, std::__1::vector<double, std::__1::allocator<double> > const&, boost::shared_ptr<QuantLib::SwapSpreadIndex> const&, QuantLib::DayCounter const&, QuantLib::BusinessDayConvention, std::__1::vector<unsigned int, std::__1::allocator<unsigned int> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, bool, bool, int, QuantLib::Calendar, QuantLib::Period, QuantLib::Calendar, QuantLib::BusinessDayConvention, bool)
174
175
176		template <typename InterestRateIndexType,
177		typename FloatingCouponType,
178		typename DigitalCouponType>
179		Leg FloatingDigitalLeg(
180		const Schedule& schedule,
181		const std::vector<Real>& nominals,
182		const ext::shared_ptr<InterestRateIndexType>& index,
183		const DayCounter& paymentDayCounter,
184		BusinessDayConvention paymentAdj,
185		const std::vector<Natural>& fixingDays,
186		const std::vector<Real>& gearings,
187		const std::vector<Spread>& spreads,
188		bool isInArrears,
189		const std::vector<Rate>& callStrikes,
190		Position::Type callPosition,
191		bool isCallATMIncluded,
192		const std::vector<Rate>& callDigitalPayoffs,
193		const std::vector<Rate>& putStrikes,
194		Position::Type putPosition,
195		bool isPutATMIncluded,
196		const std::vector<Rate>& putDigitalPayoffs,
197		const ext::shared_ptr<DigitalReplication>& replication,
198	0	bool nakedOption = false) {
199	0	Size n = schedule.size()-1;
200	0	QL_REQUIRE(!nominals.empty(), "no notional given");
201	0	QL_REQUIRE(nominals.size() <= n,
202	0	"too many nominals (" << nominals.size() <<
203	0	"), only " << n << " required");
204	0	QL_REQUIRE(gearings.size()<=n,
205	0	"too many gearings (" << gearings.size() <<
206	0	"), only " << n << " required");
207	0	QL_REQUIRE(spreads.size()<=n,
208	0	"too many spreads (" << spreads.size() <<
209	0	"), only " << n << " required");
210	0	QL_REQUIRE(callStrikes.size()<=n,
211	0	"too many call rates (" << callStrikes.size() <<
212	0	"), only " << n << " required");
213	0	QL_REQUIRE(putStrikes.size()<=n,
214	0	"too many put rates (" << putStrikes.size() <<
215	0	"), only " << n << " required");
216
217	0	Leg leg; leg.reserve(n);
218
219		// the following is not always correct
220	0	const Calendar& calendar = schedule.calendar();
221
222	0	Date refStart, start, refEnd, end;
223	0	Date paymentDate;
224
225	0	for (Size i=0; i<n; ++i) {
226	0	refStart = start = schedule.date(i);
227	0	refEnd = end = schedule.date(i+1);
228	0	paymentDate = calendar.adjust(end, paymentAdj);
229	0	if (i==0 && (schedule.hasIsRegular() && schedule.hasTenor() && !schedule.isRegular(i+1))) {
230	0	BusinessDayConvention bdc = schedule.businessDayConvention();
231	0	refStart = calendar.adjust(end - schedule.tenor(), bdc);
232	0	}
233	0	if (i==n-1 && (schedule.hasIsRegular() && schedule.hasTenor() && !schedule.isRegular(i+1))) {
234	0	BusinessDayConvention bdc = schedule.businessDayConvention();
235	0	refEnd = calendar.adjust(start + schedule.tenor(), bdc);
236	0	}
237	0	if (detail::get(gearings, i, 1.0) == 0.0) { // fixed coupon
238	0	leg.push_back(ext::shared_ptr<CashFlow>(new
239	0	FixedRateCoupon(paymentDate,
240	0	detail::get(nominals, i, 1.0),
241	0	detail::get(spreads, i, 1.0),
242	0	paymentDayCounter,
243	0	start, end, refStart, refEnd)));
244	0	} else { // floating digital coupon
245	0	ext::shared_ptr<FloatingCouponType> underlying(new
246	0	FloatingCouponType(paymentDate,
247	0	detail::get(nominals, i, 1.0),
248	0	start, end,
249	0	detail::get(fixingDays, i, index->fixingDays()),
250	0	index,
251	0	detail::get(gearings, i, 1.0),
252	0	detail::get(spreads, i, 0.0),
253	0	refStart, refEnd,
254	0	paymentDayCounter, isInArrears));
255	0	leg.push_back(ext::shared_ptr<CashFlow>(new
256	0	DigitalCouponType(
257	0	underlying,
258	0	detail::get(callStrikes, i, Null<Real>()),
259	0	callPosition,
260	0	isCallATMIncluded,
261	0	detail::get(callDigitalPayoffs, i, Null<Real>()),
262	0	detail::get(putStrikes, i, Null<Real>()),
263	0	putPosition,
264	0	isPutATMIncluded,
265	0	detail::get(putDigitalPayoffs, i, Null<Real>()),
266	0	replication, nakedOption)));
267	0	}
268	0	}
269	0	return leg;
270	0	} Unexecuted instantiation: std::__1::vector<boost::shared_ptr<QuantLib::CashFlow>, std::__1::allocator<boost::shared_ptr<QuantLib::CashFlow> > > QuantLib::FloatingDigitalLeg<QuantLib::SwapIndex, QuantLib::CmsCoupon, QuantLib::DigitalCmsCoupon>(QuantLib::Schedule const&, std::__1::vector<double, std::__1::allocator<double> > const&, boost::shared_ptr<QuantLib::SwapIndex> const&, QuantLib::DayCounter const&, QuantLib::BusinessDayConvention, std::__1::vector<unsigned int, std::__1::allocator<unsigned int> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, bool, std::__1::vector<double, std::__1::allocator<double> > const&, QuantLib::Position::Type, bool, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, QuantLib::Position::Type, bool, std::__1::vector<double, std::__1::allocator<double> > const&, boost::shared_ptr<QuantLib::DigitalReplication> const&, bool) Unexecuted instantiation: std::__1::vector<boost::shared_ptr<QuantLib::CashFlow>, std::__1::allocator<boost::shared_ptr<QuantLib::CashFlow> > > QuantLib::FloatingDigitalLeg<QuantLib::IborIndex, QuantLib::IborCoupon, QuantLib::DigitalIborCoupon>(QuantLib::Schedule const&, std::__1::vector<double, std::__1::allocator<double> > const&, boost::shared_ptr<QuantLib::IborIndex> const&, QuantLib::DayCounter const&, QuantLib::BusinessDayConvention, std::__1::vector<unsigned int, std::__1::allocator<unsigned int> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, bool, std::__1::vector<double, std::__1::allocator<double> > const&, QuantLib::Position::Type, bool, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, QuantLib::Position::Type, bool, std::__1::vector<double, std::__1::allocator<double> > const&, boost::shared_ptr<QuantLib::DigitalReplication> const&, bool) Unexecuted instantiation: std::__1::vector<boost::shared_ptr<QuantLib::CashFlow>, std::__1::allocator<boost::shared_ptr<QuantLib::CashFlow> > > QuantLib::FloatingDigitalLeg<QuantLib::SwapSpreadIndex, QuantLib::CmsSpreadCoupon, QuantLib::DigitalCmsSpreadCoupon>(QuantLib::Schedule const&, std::__1::vector<double, std::__1::allocator<double> > const&, boost::shared_ptr<QuantLib::SwapSpreadIndex> const&, QuantLib::DayCounter const&, QuantLib::BusinessDayConvention, std::__1::vector<unsigned int, std::__1::allocator<unsigned int> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, bool, std::__1::vector<double, std::__1::allocator<double> > const&, QuantLib::Position::Type, bool, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, QuantLib::Position::Type, bool, std::__1::vector<double, std::__1::allocator<double> > const&, boost::shared_ptr<QuantLib::DigitalReplication> const&, bool)
271
272		}
273
274		#endif