/src/quantlib/ql/cashflows/coupon.cpp
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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, 2007 StatPro Italia srl |
6 | | |
7 | | This file is part of QuantLib, a free-software/open-source library |
8 | | for financial quantitative analysts and developers - http://quantlib.org/ |
9 | | |
10 | | QuantLib is free software: you can redistribute it and/or modify it |
11 | | under the terms of the QuantLib license. You should have received a |
12 | | copy of the license along with this program; if not, please email |
13 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
14 | | <https://www.quantlib.org/license.shtml>. |
15 | | |
16 | | This program is distributed in the hope that it will be useful, but WITHOUT |
17 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
18 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
19 | | */ |
20 | | |
21 | | #include <ql/cashflows/coupon.hpp> |
22 | | #include <ql/patterns/visitor.hpp> |
23 | | #include <ql/time/daycounter.hpp> |
24 | | |
25 | | namespace QuantLib { |
26 | | |
27 | | Coupon::Coupon(const Date& paymentDate, |
28 | | Real nominal, |
29 | | const Date& accrualStartDate, |
30 | | const Date& accrualEndDate, |
31 | | const Date& refPeriodStart, |
32 | | const Date& refPeriodEnd, |
33 | | const Date& exCouponDate) |
34 | 25.2M | : paymentDate_(paymentDate), nominal_(nominal), |
35 | 25.2M | accrualStartDate_(accrualStartDate), accrualEndDate_(accrualEndDate), |
36 | 25.2M | refPeriodStart_(refPeriodStart), refPeriodEnd_(refPeriodEnd), |
37 | 25.2M | exCouponDate_(exCouponDate), accrualPeriod_(Null<Real>()) { |
38 | 25.2M | if (refPeriodStart_ == Date()) |
39 | 0 | refPeriodStart_ = accrualStartDate_; |
40 | 25.2M | if (refPeriodEnd_ == Date()) |
41 | 0 | refPeriodEnd_ = accrualEndDate_; |
42 | 25.2M | } |
43 | | |
44 | 1.47k | Time Coupon::accrualPeriod() const { |
45 | 1.47k | if (accrualPeriod_ == Null<Real>()) |
46 | 1.47k | accrualPeriod_ = |
47 | 1.47k | dayCounter().yearFraction(accrualStartDate_, accrualEndDate_, |
48 | 1.47k | refPeriodStart_, refPeriodEnd_); |
49 | 1.47k | return accrualPeriod_; |
50 | 1.47k | } |
51 | | |
52 | 0 | Date::serial_type Coupon::accrualDays() const { |
53 | 0 | return dayCounter().dayCount(accrualStartDate_, |
54 | 0 | accrualEndDate_); |
55 | 0 | } |
56 | | |
57 | 0 | Time Coupon::accruedPeriod(const Date& d) const { |
58 | 0 | if (d <= accrualStartDate_ || d > paymentDate_) { |
59 | 0 | return 0.0; |
60 | 0 | } else if (tradingExCoupon(d)) { |
61 | 0 | return -dayCounter().yearFraction(d, std::max(d, accrualEndDate_), |
62 | 0 | refPeriodStart_, refPeriodEnd_); |
63 | 0 | } else { |
64 | 0 | return dayCounter().yearFraction(accrualStartDate_, |
65 | 0 | std::min(d, accrualEndDate_), |
66 | 0 | refPeriodStart_, |
67 | 0 | refPeriodEnd_); |
68 | 0 | } |
69 | 0 | } |
70 | | |
71 | 0 | Date::serial_type Coupon::accruedDays(const Date& d) const { |
72 | 0 | if (d <= accrualStartDate_ || d > paymentDate_) { |
73 | 0 | return 0; |
74 | 0 | } else { |
75 | 0 | return dayCounter().dayCount(accrualStartDate_, |
76 | 0 | std::min(d, accrualEndDate_)); |
77 | 0 | } |
78 | 0 | } |
79 | | |
80 | 0 | void Coupon::accept(AcyclicVisitor& v) { |
81 | 0 | auto* v1 = dynamic_cast<Visitor<Coupon>*>(&v); |
82 | 0 | if (v1 != nullptr) |
83 | 0 | v1->visit(*this); |
84 | 0 | else |
85 | 0 | CashFlow::accept(v); |
86 | 0 | } |
87 | | |
88 | 25.3M | ext::shared_ptr<Coupon> coupon_cast(const ext::shared_ptr<CashFlow>& cf) { |
89 | 25.3M | return cf->isCoupon() ? ext::static_pointer_cast<Coupon>(cf) : nullptr; |
90 | 25.3M | } |
91 | | } |