1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ 2 3 /* 4 Copyright (C) 2007 Roland Lichters 5 Copyright (C) 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 <http://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 /*! \file averagebmacoupon.hpp 22 \brief coupon paying a weighted average of BMA-index fixings 23 */ 24 25 #ifndef quantlib_bma_coupon_hpp 26 #define quantlib_bma_coupon_hpp 27 28 #include <ql/cashflows/floatingratecoupon.hpp> 29 #include <ql/indexes/bmaindex.hpp> 30 31 namespace QuantLib { 32 33 //! Average BMA coupon 34 /*! %Coupon paying a BMA index, where the coupon rate is a 35 weighted average of relevant fixings. 36 37 The weighted average is computed based on the 38 actual calendar days for which a given fixing is valid and 39 contributing to the given interest period. 40 41 Before weights are computed, the fixing schedule is adjusted 42 for the index's fixing day gap. See rate() method for details. 43 */ 44 class AverageBMACoupon : public FloatingRateCoupon { 45 public: 46 AverageBMACoupon(const Date& paymentDate, 47 Real nominal, 48 const Date& startDate, 49 const Date& endDate, 50 const ext::shared_ptr<BMAIndex>& index, 51 Real gearing = 1.0, 52 Spread spread = 0.0, 53 const Date& refPeriodStart = Date(), 54 const Date& refPeriodEnd = Date(), 55 const DayCounter& dayCounter = DayCounter()); 56 57 //! \name FloatingRateCoupon interface 58 //@{ 59 //! not applicable here; use fixingDates() instead 60 Date fixingDate() const; 61 //! fixing dates of the rates to be averaged 62 std::vector<Date> fixingDates() const; 63 64 //! not applicable here; use indexFixings() instead 65 Rate indexFixing() const; 66 //! fixings of the underlying index to be averaged 67 std::vector<Rate> indexFixings() const; 68 69 //! not applicable here 70 Rate convexityAdjustment() const; 71 //@} 72 73 //! \name Visitability 74 //@{ 75 void accept(AcyclicVisitor&); 76 //@} 77 private: 78 Schedule fixingSchedule_; 79 }; 80 81 82 //! helper class building a sequence of average BMA coupons 83 class AverageBMALeg { 84 public: 85 AverageBMALeg(const Schedule& schedule, 86 const ext::shared_ptr<BMAIndex>& index); 87 AverageBMALeg& withNotionals(Real notional); 88 AverageBMALeg& withNotionals(const std::vector<Real>& notionals); 89 AverageBMALeg& withPaymentDayCounter(const DayCounter&); 90 AverageBMALeg& withPaymentAdjustment(BusinessDayConvention); 91 AverageBMALeg& withGearings(Real gearing); 92 AverageBMALeg& withGearings(const std::vector<Real>& gearings); 93 AverageBMALeg& withSpreads(Spread spread); 94 AverageBMALeg& withSpreads(const std::vector<Spread>& spreads); 95 operator Leg() const; 96 private: 97 Schedule schedule_; 98 ext::shared_ptr<BMAIndex> index_; 99 std::vector<Real> notionals_; 100 DayCounter paymentDayCounter_; 101 BusinessDayConvention paymentAdjustment_; 102 std::vector<Real> gearings_; 103 std::vector<Spread> spreads_; 104 }; 105 106 } 107 108 109 #endif 110