shared_ptr<CapFloor> CapFloor::optionlet(const Size i) const {
QL_REQUIRE(i < floatingLeg().size(),
io::ordinal(i+1) << " optionlet does not exist, only " <<
floatingLeg().size());
Leg cf(1, floatingLeg()[i]);
std::vector<Rate> cap, floor;
if (type() == Cap || type() == Collar)
cap.push_back(capRates()[i]);
if (type() == Floor || type() == Collar)
floor.push_back(floorRates()[i]);
return shared_ptr<CapFloor>(new CapFloor(type(), cf, cap, floor));
}
void crosscurrencyswap::setupArguments(PricingEngine::arguments* args) const {
Swap::setupArguments(args);
crosscurrencyswap::arguments* arguments =
dynamic_cast<crosscurrencyswap::arguments*>(args);
if (!arguments) // it's a swap engine...
return;
arguments->type = type_;
arguments->fixedCurrency=fixedCurrency_;
arguments->floatCurrency=floatCurrency_;
arguments->fixedLegnominal=Fixedlegnominal_;
arguments->floatLegnominal=Floatlegnominal_;
const Leg& fixedCoupons = fixedLeg();
arguments->fixedResetDates = arguments->fixedPayDates =
std::vector<Date>(fixedCoupons.size());
arguments->fixedCoupons = std::vector<Real>(fixedCoupons.size());
for (Size i=0; i<fixedCoupons.size(); ++i) {
boost::shared_ptr<FixedRateCoupon> coupon =
boost::dynamic_pointer_cast<FixedRateCoupon>(fixedCoupons[i]);
arguments->fixedPayDates[i] = coupon->date();
arguments->fixedResetDates[i] = coupon->accrualStartDate();
arguments->fixedCoupons[i] = coupon->amount();
}
const Leg& floatingCoupons = floatingLeg();
arguments->floatingResetDates = arguments->floatingPayDates =
arguments->floatingFixingDates =
std::vector<Date>(floatingCoupons.size());
arguments->floatingAccrualTimes =
std::vector<Time>(floatingCoupons.size());
arguments->floatingSpreads =
std::vector<Spread>(floatingCoupons.size());
arguments->floatingCoupons = std::vector<Real>(floatingCoupons.size());
for (Size i=0; i<floatingCoupons.size(); ++i) {
boost::shared_ptr<IborCoupon> coupon =
boost::dynamic_pointer_cast<IborCoupon>(floatingCoupons[i]);
arguments->floatingResetDates[i] = coupon->accrualStartDate();
arguments->floatingPayDates[i] = coupon->date();
arguments->floatingFixingDates[i] = coupon->fixingDate();
arguments->floatingAccrualTimes[i] = coupon->accrualPeriod();
arguments->floatingSpreads[i] = coupon->spread();
try {
arguments->floatingCoupons[i] = coupon->amount();
} catch (Error&) {
arguments->floatingCoupons[i] = Null<Real>();
}
}
}
void AssetSwap::setupArguments(PricingEngine::arguments* args) const {
Swap::setupArguments(args);
AssetSwap::arguments* arguments =
dynamic_cast<AssetSwap::arguments*>(args);
if (!arguments) // it's a swap engine...
return;
const Leg& fixedCoupons = bondLeg();
arguments->fixedResetDates = arguments->fixedPayDates =
vector<Date>(fixedCoupons.size());
arguments->fixedCoupons = vector<Real>(fixedCoupons.size());
for (Size i=0; i<fixedCoupons.size(); ++i) {
shared_ptr<FixedRateCoupon> coupon =
dynamic_pointer_cast<FixedRateCoupon>(fixedCoupons[i]);
arguments->fixedPayDates[i] = coupon->date();
arguments->fixedResetDates[i] = coupon->accrualStartDate();
arguments->fixedCoupons[i] = coupon->amount();
}
const Leg& floatingCoupons = floatingLeg();
arguments->floatingResetDates = arguments->floatingPayDates =
arguments->floatingFixingDates =
vector<Date>(floatingCoupons.size());
arguments->floatingAccrualTimes =
vector<Time>(floatingCoupons.size());
arguments->floatingSpreads =
vector<Spread>(floatingCoupons.size());
for (Size i=0; i<floatingCoupons.size(); ++i) {
shared_ptr<FloatingRateCoupon> coupon =
dynamic_pointer_cast<FloatingRateCoupon>(floatingCoupons[i]);
arguments->floatingResetDates[i] = coupon->accrualStartDate();
arguments->floatingPayDates[i] = coupon->date();
arguments->floatingFixingDates[i] = coupon->fixingDate();
arguments->floatingAccrualTimes[i] = coupon->accrualPeriod();
arguments->floatingSpreads[i] = coupon->spread();
}
}
void NonstandardSwap::setupArguments(PricingEngine::arguments *args) const {
Swap::setupArguments(args);
NonstandardSwap::arguments *arguments =
dynamic_cast<NonstandardSwap::arguments *>(args);
if (!arguments)
return; // swap engine ... // QL_FAIL("argument types do not
// match");
arguments->type = type_;
arguments->fixedNominal = fixedNominal_;
arguments->floatingNominal = floatingNominal_;
arguments->fixedRate = fixedRate_;
const Leg &fixedCoupons = fixedLeg();
arguments->fixedResetDates = arguments->fixedPayDates =
std::vector<Date>(fixedCoupons.size());
arguments->fixedCoupons = std::vector<Real>(fixedCoupons.size());
arguments->fixedIsRedemptionFlow =
std::vector<bool>(fixedCoupons.size(), false);
for (Size i = 0; i < fixedCoupons.size(); ++i) {
boost::shared_ptr<FixedRateCoupon> coupon =
boost::dynamic_pointer_cast<FixedRateCoupon>(fixedCoupons[i]);
if (coupon) {
arguments->fixedPayDates[i] = coupon->date();
arguments->fixedResetDates[i] = coupon->accrualStartDate();
arguments->fixedCoupons[i] = coupon->amount();
} else {
boost::shared_ptr<CashFlow> cashflow =
boost::dynamic_pointer_cast<CashFlow>(fixedCoupons[i]);
std::vector<Date>::const_iterator j =
std::find(arguments->fixedPayDates.begin(),
arguments->fixedPayDates.end(), cashflow->date());
QL_REQUIRE(j != arguments->fixedPayDates.end(),
"nominal redemption on "
<< cashflow->date()
<< "has no corresponding coupon");
Size jIdx = j - arguments->fixedPayDates.begin();
arguments->fixedIsRedemptionFlow[i] = true;
arguments->fixedCoupons[i] = cashflow->amount();
arguments->fixedResetDates[i] =
arguments->fixedResetDates[jIdx];
arguments->fixedPayDates[i] = cashflow->date();
}
}
const Leg &floatingCoupons = floatingLeg();
arguments->floatingResetDates = arguments->floatingPayDates =
arguments->floatingFixingDates =
std::vector<Date>(floatingCoupons.size());
arguments->floatingAccrualTimes =
std::vector<Time>(floatingCoupons.size());
arguments->floatingSpreads =
std::vector<Spread>(floatingCoupons.size());
arguments->floatingGearings = std::vector<Real>(floatingCoupons.size());
arguments->floatingCoupons = std::vector<Real>(floatingCoupons.size());
arguments->floatingIsRedemptionFlow =
std::vector<bool>(floatingCoupons.size(), false);
for (Size i = 0; i < floatingCoupons.size(); ++i) {
boost::shared_ptr<IborCoupon> coupon =
boost::dynamic_pointer_cast<IborCoupon>(floatingCoupons[i]);
if (coupon) {
arguments->floatingResetDates[i] = coupon->accrualStartDate();
arguments->floatingPayDates[i] = coupon->date();
arguments->floatingFixingDates[i] = coupon->fixingDate();
arguments->floatingAccrualTimes[i] = coupon->accrualPeriod();
arguments->floatingSpreads[i] = coupon->spread();
arguments->floatingGearings[i] = coupon->gearing();
try {
arguments->floatingCoupons[i] = coupon->amount();
}
catch (Error &) {
arguments->floatingCoupons[i] = Null<Real>();
}
} else {
boost::shared_ptr<CashFlow> cashflow =
boost::dynamic_pointer_cast<CashFlow>(floatingCoupons[i]);
std::vector<Date>::const_iterator j = std::find(
arguments->floatingPayDates.begin(),
arguments->floatingPayDates.end(), cashflow->date());
QL_REQUIRE(j != arguments->floatingPayDates.end(),
"nominal redemption on "
<< cashflow->date()
<< "has no corresponding coupon");
Size jIdx = j - arguments->floatingPayDates.begin();
arguments->floatingIsRedemptionFlow[i] = true;
arguments->floatingCoupons[i] = cashflow->amount();
arguments->floatingResetDates[i] =
arguments->floatingResetDates[jIdx];
arguments->floatingFixingDates[i] =
arguments->floatingFixingDates[jIdx];
arguments->floatingAccrualTimes[i] = 0.0;
arguments->floatingSpreads[i] = 0.0;
arguments->floatingGearings[i] = 1.0;
arguments->floatingPayDates[i] = cashflow->date();
}
}
arguments->iborIndex = iborIndex();
}