MakeCapFloor::operator shared_ptr<CapFloor>() const {
VanillaSwap swap = makeVanillaSwap_;
Leg leg = swap.floatingLeg();
if (firstCapletExcluded_)
leg.erase(leg.begin());
// only leaves the last coupon
if (asOptionlet_ && leg.size() > 1) {
Leg::iterator end = leg.end(); // Sun Studio needs an lvalue
leg.erase(leg.begin(), --end);
}
std::vector<Rate> strikeVector(1, strike_);
if (strike_ == Null<Rate>()) {
// temporary patch...
// should be fixed for every CapFloor::Engine
shared_ptr<BlackCapFloorEngine> temp =
dynamic_pointer_cast<BlackCapFloorEngine>(engine_);
QL_REQUIRE(temp,
"cannot calculate ATM without a BlackCapFloorEngine");
Handle<YieldTermStructure> discountCurve = temp->termStructure();
strikeVector[0] = CashFlows::atmRate(leg,
**discountCurve,
false,
discountCurve->referenceDate());
}
shared_ptr<CapFloor> capFloor(new
CapFloor(capFloorType_, leg, strikeVector));
capFloor->setPricingEngine(engine_);
return capFloor;
}
NonstandardSwap::NonstandardSwap(const VanillaSwap &fromVanilla)
: Swap(2), type_((VanillaSwap::Type)fromVanilla.type()),
fixedNominal_(std::vector<Real>(fromVanilla.fixedLeg().size(),
fromVanilla.nominal())),
floatingNominal_(std::vector<Real>(fromVanilla.floatingLeg().size(),
fromVanilla.nominal())),
fixedSchedule_(fromVanilla.fixedSchedule()),
fixedRate_(std::vector<Real>(fromVanilla.fixedLeg().size(),
fromVanilla.fixedRate())),
fixedDayCount_(fromVanilla.fixedDayCount()),
floatingSchedule_(fromVanilla.floatingSchedule()),
iborIndex_(fromVanilla.iborIndex()),
spread_(std::vector<Real>(fromVanilla.floatingLeg().size(), fromVanilla.spread())),
gearing_(std::vector<Real>(fromVanilla.floatingLeg().size(), 1.0)),
singleSpreadAndGearing_(true),
floatingDayCount_(fromVanilla.floatingDayCount()),
paymentConvention_(fromVanilla.paymentConvention()),
intermediateCapitalExchange_(false), finalCapitalExchange_(false) {
init();
}