RcppExport SEXP cfamounts(SEXP params){
SEXP rl=R_NilValue;
char* exceptionMesg=NULL;
try{
RcppParams rparam(params);
QuantLib::Date maturity(dateFromR(rparam.getDateValue("Maturity")));
QuantLib::Date settle(dateFromR(rparam.getDateValue("Settle")));
QuantLib::Date issue(dateFromR(rparam.getDateValue("IssueDate")));
double rate = rparam.getDoubleValue("CouponRate");
std::vector<double> rateVec(1, rate);
double faceAmount = rparam.getDoubleValue("Face");
double period = rparam.getDoubleValue("Period");
double basis = rparam.getDoubleValue("Basis");
DayCounter dayCounter = getDayCounter(basis);
Frequency freq = getFrequency(period);
Period p(freq);
double EMR = rparam.getDoubleValue("EMR");
Calendar calendar=UnitedStates(UnitedStates::GovernmentBond);
Schedule sch(settle, maturity, p, calendar,
Unadjusted, Unadjusted, DateGeneration::Backward,
(EMR == 1)? true : false);
FixedRateBond bond(1, faceAmount, sch, rateVec, dayCounter, Following,
100, issue);
//cashflow
int numCol = 2;
std::vector<std::string> colNames(numCol);
colNames[0] = "Date";
colNames[1] = "Amount";
RcppFrame frame(colNames);
Leg bondCashFlow = bond.cashflows();
for (unsigned int i = 0; i< bondCashFlow.size(); i++){
std::vector<ColDatum> row(numCol);
Date d = bondCashFlow[i]->date();
row[0].setDateValue(RcppDate(d.month(), d.dayOfMonth(), d.year()));
row[1].setDoubleValue(bondCashFlow[i]->amount());
frame.addRow(row);
}
RcppResultSet rs;
rs.add("cashFlow", frame);
rl = rs.getReturnList();
} catch(std::exception& ex) {
exceptionMesg = copyMessageToR(ex.what());
} catch(...) {
exceptionMesg = copyMessageToR("unknown reason");
}
if(exceptionMesg != NULL)
Rf_error(exceptionMesg);
return rl;
}
int main()
{
Robot *hexapode = new Robot();
hexapode->addLeg(100);
std::cout << hexapode->nbLegs() << std::endl;
Leg *leg = new Leg();
leg->generateOrders(100);
hexapode->addLeg(leg);
std::cout << hexapode->nbLegs() << std::endl;
hexapode->addLeg(100);
hexapode->addLeg(100);
hexapode->addLeg(100);
hexapode->addLeg(100);
std::cout << hexapode->nbLegs() << std::endl;
return 0;
}
void setCouponPricer(
const Leg& leg,
const boost::shared_ptr<FloatingRateCouponPricer>& pricer) {
PricerSetter setter(pricer);
for (Size i=0; i<leg.size(); ++i) {
leg[i]->accept(setter);
}
}
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;
}
void Draw()
{
BeginDraw();
model.Draw();
leg.Draw();
EndDraw();
}
Leg FixedRateLeg::load_fixedRateLeg(const std::string& legID)
{
// load ÂÞ¿í.
Leg leg = Leg();
clsMAST_CF_FIXED_TB clstb = clsMAST_CF_FIXED_TB();
clstb.LEG_ID = legID;
clstb._LEG_IDSelectFlag = true;
std::vector<boost::shared_ptr<clsMAST_CF_FIXED_TB>> cfList
= clstb.create(clstb.selectQuery_raw());
QL_REQUIRE(cfList.size() > 0, "fixedRate cash-flow does not exist : " + legID);
Size cashflow_num = cfList.size();
for (Size i = 0; i < cashflow_num ; i++)
{
const Date& paymentDate = DateParser::parseDB(cfList[i]->PAYMENT_DT);
Real nominal = cfList[i]->NOTIONAL;
Real rate = cfList[i]->FIXED_RATE;
const DayCounter& dayCounter = DayCounterFactory::load_dayCounter("act/365f");
const Date& startDate = DateParser::parseDB(cfList[i]->CALC_START_DT);
const Date& endDate = DateParser::parseDB(cfList[i]->CALC_END_DT);
boost::shared_ptr<FixedRateCoupon> frc
= boost::shared_ptr<FixedRateCoupon>(
new FixedRateCoupon(paymentDate,
nominal,
rate,
dayCounter,
startDate,
endDate));
leg.push_back(frc);
}
// sort ?
return leg;
}
AverageBMALeg::operator Leg() const {
QL_REQUIRE(!notionals_.empty(), "no notional given");
Leg cashflows;
// the following is not always correct
Calendar calendar = schedule_.calendar();
Date refStart, start, refEnd, end;
Date paymentDate;
Size n = schedule_.size()-1;
for (Size i=0; i<n; ++i) {
refStart = start = schedule_.date(i);
refEnd = end = schedule_.date(i+1);
paymentDate = calendar.adjust(end, paymentAdjustment_);
if (i == 0 && schedule_.hasIsRegular() && !schedule_.isRegular(i+1)
&& schedule_.hasTenor())
refStart = calendar.adjust(end - schedule_.tenor(),
paymentAdjustment_);
if (i == n-1 && schedule_.hasIsRegular() && !schedule_.isRegular(i+1)
&& schedule_.hasTenor())
refEnd = calendar.adjust(start + schedule_.tenor(),
paymentAdjustment_);
cashflows.push_back(ext::shared_ptr<CashFlow>(new
AverageBMACoupon(paymentDate,
detail::get(notionals_, i, notionals_.back()),
start, end,
index_,
detail::get(gearings_, i, 1.0),
detail::get(spreads_, i, 0.0),
refStart, refEnd,
paymentDayCounter_)));
}
return cashflows;
}
MakeYoYInflationCapFloor::operator ext::shared_ptr<YoYInflationCapFloor>() const {
Date startDate;
if (effectiveDate_ != Date()) {
startDate = effectiveDate_;
} else {
Date referenceDate = Settings::instance().evaluationDate();
Date spotDate = calendar_.advance(referenceDate,
fixingDays_*Days);
startDate = spotDate+forwardStart_;
}
Date endDate = calendar_.advance(startDate,length_*Years,Unadjusted);
Schedule schedule(startDate, endDate, Period(Annual), calendar_,
Unadjusted, Unadjusted, // ref periods & acc periods
DateGeneration::Forward, false);
Leg leg = yoyInflationLeg(schedule, calendar_, index_,
observationLag_)
.withPaymentAdjustment(roll_)
.withPaymentDayCounter(dayCounter_)
.withNotionals(nominal_)
;
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>()) {
// ATM on the forecasting curve
Handle<YieldTermStructure> fc;
if (!nominalTermStructure_.empty()) {
fc = nominalTermStructure_;
} else {
QL_REQUIRE(!index_->yoyInflationTermStructure().empty(),
"no forecasting yoy term structure set for " <<
index_->name());
fc = index_->yoyInflationTermStructure()->nominalTermStructure();
}
strikeVector[0] = CashFlows::atmRate(leg,**fc,
false, fc->referenceDate());
}
ext::shared_ptr<YoYInflationCapFloor> capFloor(new
YoYInflationCapFloor(capFloorType_, leg, strikeVector));
capFloor->setPricingEngine(engine_);
return capFloor;
}
void setCouponPricers(
const Leg& leg,
const std::vector<boost::shared_ptr<FloatingRateCouponPricer> >&
pricers) {
Size nCashFlows = leg.size();
QL_REQUIRE(nCashFlows>0, "no cashflows");
Size nPricers = pricers.size();
QL_REQUIRE(nCashFlows >= nPricers,
"mismatch between leg size (" << nCashFlows <<
") and number of pricers (" << nPricers << ")");
for (Size i=0; i<nCashFlows; ++i) {
PricerSetter setter(i<nPricers ? pricers[i] : pricers[nPricers-1]);
leg[i]->accept(setter);
}
}
FixedRateLeg::operator Leg() const {
QL_REQUIRE(!couponRates_.empty(), "no coupon rates given");
QL_REQUIRE(!notionals_.empty(), "no notional given");
Leg leg;
leg.reserve(schedule_.size()-1);
Calendar schCalendar = schedule_.calendar();
// first period might be short or long
Date start = schedule_.date(0), end = schedule_.date(1);
Date paymentDate = calendar_.adjust(end, paymentAdjustment_);
Date exCouponDate;
InterestRate rate = couponRates_[0];
Real nominal = notionals_[0];
if (exCouponPeriod_ != Period())
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if (schedule_.isRegular(1)) {
QL_REQUIRE(firstPeriodDC_.empty() ||
firstPeriodDC_ == rate.dayCounter(),
"regular first coupon "
"does not allow a first-period day count");
shared_ptr<CashFlow> temp(new
FixedRateCoupon(paymentDate, nominal, rate,
start, end, start, end, exCouponDate));
leg.push_back(temp);
} else {
Date ref = end - schedule_.tenor();
ref = schCalendar.adjust(ref, schedule_.businessDayConvention());
InterestRate r(rate.rate(),
firstPeriodDC_.empty() ? rate.dayCounter()
: firstPeriodDC_,
rate.compounding(), rate.frequency());
leg.push_back(shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, r,
start, end, ref, end, exCouponDate)));
}
// regular periods
for (Size i=2; i<schedule_.size()-1; ++i) {
start = end; end = schedule_.date(i);
paymentDate = calendar_.adjust(end, paymentAdjustment_);
if (exCouponPeriod_ != Period())
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if ((i-1) < couponRates_.size())
rate = couponRates_[i-1];
else
rate = couponRates_.back();
if ((i-1) < notionals_.size())
nominal = notionals_[i-1];
else
nominal = notionals_.back();
leg.push_back(shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, rate,
start, end, start, end, exCouponDate)));
}
if (schedule_.size() > 2) {
// last period might be short or long
Size N = schedule_.size();
start = end; end = schedule_.date(N-1);
paymentDate = calendar_.adjust(end, paymentAdjustment_);
if (exCouponPeriod_ != Period())
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if ((N-2) < couponRates_.size())
rate = couponRates_[N-2];
else
rate = couponRates_.back();
if ((N-2) < notionals_.size())
nominal = notionals_[N-2];
else
nominal = notionals_.back();
if (schedule_.isRegular(N-1)) {
leg.push_back(shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, rate,
start, end, start, end, exCouponDate)));
} else {
Date ref = start + schedule_.tenor();
ref = schCalendar.adjust(ref, schedule_.businessDayConvention());
leg.push_back(shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, rate,
start, end, start, ref, exCouponDate)));
}
}
return leg;
}
/* TODO: Instrument interface
- swaps: euro swaps, usd
- bonds: UST, corp, tax-exempt munis
*/
int main ()
{
cout << "QuantLib Version #: " << QL_VERSION << endl ;
Calendar calendar = TARGET();
// Date todaysDate = TARGET().adjust( Date(20, September, 2004) );
Date todaysDate = TARGET().adjust( Date(28, May, 2012) );
Settings::instance().evaluationDate() = todaysDate;
cout << "settings: " << &Settings::instance() << endl;
cout << "\n\nToday: " << todaysDate << endl;
string futtenors[] = {"ED1", "ED2", "ED3", "ED4", "ED5", "ED6", "ED7", "ED8"};
double futspots[] = {96.2875, 96.7875, 96.9875, 96.6875, 96.4875, 96.3875, 96.2875, 96.0875};
string depotenors[] = {"1W", "1M", "3M", "6M", "9M", "1y"};
double depospots[] = {.0382, 0.0372, 0.0363, 0.0353, 0.0348, 0.0345};
string swaptenors[] = {"2y", "3y", "5y", "10Y", "15Y"};
double swapspots[] = {0.037125, 0.0398, 0.0443, 0.05165, 0.055175};
cout << "test sc1" << endl;
RateHelperCurve acurve = RateHelperCurve(EURiborCurve("6M"));
acurve.update(depotenors, depospots, 6,
swaptenors, swapspots, 5,
todaysDate);
cout << "quote: " << acurve.tenorquote("10Y") << endl;
cout << "test tenors\n" << Period(6, Months) << " | " << Tenor("6M") << endl;
cout << "fixing calendar: " << acurve.calendar() << endl;
/*********************
* SWAPS TO BE PRICED *
**********************/
RelinkableHandle<YieldTermStructure>forecastingTermStructure = acurve.forecastingTermStructure();
// constant nominal 1,000,000 Euro
Real nominal = 1000000.0;
// fixed leg
Frequency fixedLegFrequency = Annual;
BusinessDayConvention fixedLegConvention = Unadjusted;
BusinessDayConvention floatingLegConvention = ModifiedFollowing;
DayCounter fixedLegDayCounter = Thirty360(Thirty360::European);
Rate fixedRate = 0.04;
DayCounter floatingLegDayCounter = Actual360();
// floating leg
Frequency floatingLegFrequency = Semiannual;
boost::shared_ptr<IborIndex> euriborIndex(new Euribor6M(forecastingTermStructure));
Spread spread = 0.0;
Integer lenghtInYears = 5;
VanillaSwap::Type swapType = VanillaSwap::Payer;
Date settlementDate = acurve.referenceDate();
Date maturity = acurve.referenceDate() + lenghtInYears*Years;
Schedule fixedSchedule(settlementDate, maturity,
Period(fixedLegFrequency),
calendar, fixedLegConvention,
fixedLegConvention,
DateGeneration::Forward, false);
Schedule floatSchedule(settlementDate, maturity,
Period(floatingLegFrequency),
calendar, floatingLegConvention,
floatingLegConvention,
DateGeneration::Forward, false);
VanillaSwap spot5YearSwap(swapType, nominal,
fixedSchedule, fixedRate, fixedLegDayCounter,
floatSchedule, euriborIndex, spread,
floatingLegDayCounter);
Date fwdStart = calendar.advance(settlementDate, 1, Years);
Date fwdMaturity = fwdStart + lenghtInYears*Years;
Schedule fwdFixedSchedule(fwdStart, fwdMaturity,
Period(fixedLegFrequency),
calendar, fixedLegConvention,
fixedLegConvention,
DateGeneration::Forward, false);
Schedule fwdFloatSchedule(fwdStart, fwdMaturity,
Period(floatingLegFrequency),
calendar, floatingLegConvention,
floatingLegConvention,
DateGeneration::Forward, false);
VanillaSwap oneYearForward5YearSwap(swapType, nominal,
fwdFixedSchedule, fixedRate, fixedLegDayCounter,
fwdFloatSchedule, euriborIndex, spread,
floatingLegDayCounter);
cout << "swap." << endl;
boost::shared_ptr<PricingEngine> swapEngine = createPriceEngine<DiscountingSwapEngine>(
acurve.discountingTermStructure()
);
spot5YearSwap.setPricingEngine(swapEngine);
oneYearForward5YearSwap.setPricingEngine(swapEngine);
Real NPV;
Rate fairRate;
Spread fairSpread;
cout << "spot " << endl;
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"NPV : " << NPV <<
" | Fair Spread: " << io::rate(fairSpread) <<
" | Fair Rate: " << io::rate(fairRate) << endl;
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"fx NPV : " << spot5YearSwap.fixedLegNPV() <<
" | fx NPV : " << spot5YearSwap.floatingLegNPV() << endl;
cout << "forward " << endl;
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"NPV : " << NPV <<
" | Fair Spread: " << io::rate(fairSpread) <<
" | Fair Rate: " << io::rate(fairRate) << endl;
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"fx NPV : " << oneYearForward5YearSwap.fixedLegNPV() <<
" | fx NPV : " << oneYearForward5YearSwap.floatingLegNPV() << endl;
cout << "test libor clone" << endl;
RelinkableHandle<YieldTermStructure> indexTermStructure;
boost::shared_ptr<IborIndex> libor3m(new USDLibor(Period(3, Months),
indexTermStructure));
Handle<YieldTermStructure>testTS = acurve.forecastingTermStructure();
boost::shared_ptr<IborIndex> newlib = libor3m->clone(testTS);
// If one wanted a USD Libor index....
USDLiborBase testIndex;
cout << "\n\nSwap to compare to first swap " << endl;
cout << "Qswap" << endl;
cout << "mty: " << maturity << " | cpn: " << io::rate(fixedRate) << endl;
EuriborBase euribor(6, Months);
FixedFloatSwap qswp(settlementDate,
maturity,
fixedRate,
euribor(acurve.yieldTermStructurePtr()),
FixedPayer,
0.0,
1000000.0,
Annual,
Thirty360(Thirty360::European),
Unadjusted,
Semiannual,
Actual360(),
ModifiedFollowing,
TARGET()
);
qswp.setPricingEngine(swapEngine);
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"NPV : " << qswp.NPV() <<
" | Fair Spread: " << io::rate(qswp.fairSpread()) <<
" | Fair Rate: " << io::rate(qswp.fairRate()) << endl;
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"fx NPV : " << qswp.fixedLegNPV() <<
" | fl NPV : " << qswp.floatingLegNPV() << endl;
cout << "Inspect Legs" << endl << endl;
Leg fixedLeg = qswp.fixedLeg();
Leg floatingLeg = qswp.floatingLeg();
cout << "Fixed: " << endl;
Leg::iterator fxIt;
int cfCount =0;
Date cfDate;
double cfAmt;
double cfDF;
double cfNPV = 0.0;
for (fxIt=fixedLeg.begin(); fxIt < fixedLeg.end(); fxIt++) {
cfDate = (*fxIt)->date();
cfAmt = (*fxIt)->amount();
cfDF = acurve.discount((*fxIt)->date());
cfNPV += cfAmt*cfDF;
cout << cfCount++ << ") "
<< std::setw(24) << cfDate << " | " << std::setw(12)
<< cfAmt << " | "
<< std::setprecision(6) << cfDF << " | "
<< std::setprecision(2) << cfNPV
<< endl;
}
cout << "Floating: " << endl;
Leg::iterator flIt;
cfCount =0;
cfNPV = 0.0;
for (flIt=floatingLeg.begin(); flIt < floatingLeg.end(); flIt++) {
cfDate = (*flIt)->date();
cfAmt = (*flIt)->amount();
cfDF = acurve.discount((*flIt)->date());
cfNPV += cfAmt*cfDF;
cout << cfCount++ << ") "
<< std::setw(24) << cfDate << " | " << std::setw(12)
<< cfAmt << " | "
<< std::setprecision(6) << cfDF << " | "
<< std::setprecision(2) << cfNPV
<< endl;
}
cout << "swp2 " << endl;
SwapType<Euribor> euriborswaps(Annual,
Thirty360(Thirty360::European),
Unadjusted,
Semiannual,
Actual360(),
ModifiedFollowing,
TARGET()
);
cout << "create" << endl;
boost::shared_ptr<FixedFloatSwap> qswp2 = euriborswaps.create(settlementDate,
maturity,
fixedRate);
cout << "pricing" << endl;
qswp2->setEngine(acurve);
cout << "link" << endl;
euriborswaps.linkIndex(acurve);
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"NPV : " << qswp2->NPV() <<
" | Fair Spread: " << io::rate(qswp2->fairSpread()) <<
" | Fair Rate: " << io::rate(qswp2->fairRate()) << endl;
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"fx NPV : " << qswp2->fixedLegNPV() <<
" | fx NPV : " << qswp2->floatingLegNPV() << endl;
cout << "\nSwap 3: forward" << endl;
boost::shared_ptr<FixedFloatSwap> qswp3 = euriborswaps.create(fwdStart,
fwdMaturity,
fixedRate);
cout << "fixed rate: " << qswp3->fixedRate() << endl;
qswp3->setPricingEngine(swapEngine);
euriborswaps.linkIndexTo(acurve.yieldTermStructurePtr());
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"NPV : " << qswp3->NPV() <<
" | Fair Spread: " << io::rate(qswp3->fairSpread()) <<
" | Fair Rate: " << io::rate(qswp3->fairRate()) << endl;
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"fx NPV : " << qswp3->fixedLegNPV() <<
" | fx NPV : " << qswp3->floatingLegNPV() << endl;
cout << "\n\nBonds" << endl;
boost::shared_ptr<BulletBond> bond1(new BulletBond(.045,
Date(15, May, 2017),
Date(15, May, 2003))
);
cout << "mty: " << bond1->maturityDate() << endl;
cout << "stl: " << bond1->settlementDate() << endl;
cout << "test" << endl;
bond1->setEngine(acurve);
cout << "bondprice: " ;
double prc = bond1->cleanPrice();
cout << std::setprecision(3) << prc << endl;
cout << "Yield: " ;
double yld = bond1->yield(prc, bond1->dayCounter(), Compounded, bond1->frequency());
cout << io::rate(yld) << endl;
cout << "\n\nIMM Stuff\n";
cout << "settle: " << settlementDate << endl;
Date imm = IMM::nextDate(settlementDate);
string immcode = IMM::code(imm);
Date imm2 = imm_nextDate(imm);
string immcode2 = imm_nextCode(immcode);
cout << "date: " << imm << " | code: " << immcode << endl;
cout << "date: " << imm2 << " | code: " << immcode2 << endl;
cout << "ED3: " << FuturesTenor("ED3") << endl;
CurveMap depocurve;
CurveMap futscurve;
CurveMap swapcurve;
RateHelperCurve rhcurve( EURiborCurve("6M", Annual) );
if (futscurve.empty()) {
cout << "futscurve empty " << endl;
} else {
cout << "futscurve not empty: " << endl;
}
for (int i=0; i<2; i++)
depocurve[depotenors[i]] = depospots[i];
for (int i=0; i<6; i++)
futscurve[futtenors[i]] = futspots[i];
for (int i=0; i<5; i++)
swapcurve[swaptenors[i]] = swapspots[i];
rhcurve.update(depocurve, futscurve, swapcurve);
cout << "\n10Y: " << io::rate(rhcurve.tenorquote("10Y")) << endl;
cout << "discount: " << rhcurve.discount(10.0) << endl;
return 0;
}
yoyInflationLeg::operator Leg() const {
Size n = schedule_.size()-1;
QL_REQUIRE(!notionals_.empty(), "no notional given");
QL_REQUIRE(notionals_.size() <= n,
"too many nominals (" << notionals_.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");
Leg leg; leg.reserve(n);
Calendar calendar = paymentCalendar_;
Date refStart, start, refEnd, end;
for (Size i=0; i<n; ++i) {
refStart = start = schedule_.date(i);
refEnd = end = schedule_.date(i+1);
Date paymentDate = calendar.adjust(end, paymentAdjustment_);
if (i==0 && schedule_.hasIsRegular() && !schedule_.isRegular(i+1)) {
BusinessDayConvention bdc = schedule_.businessDayConvention();
refStart = schedule_.calendar().adjust(end - schedule_.tenor(), bdc);
}
if (i==n-1 && schedule_.hasIsRegular() && !schedule_.isRegular(i+1)) {
BusinessDayConvention bdc = schedule_.businessDayConvention();
refEnd = schedule_.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(notionals_, i, 1.0),
detail::effectiveFixedRate(spreads_,caps_,
floors_,i),
paymentDayCounter_,
start, end, refStart, refEnd)));
} else { // yoy inflation coupon
if (detail::noOption(caps_, floors_, i)) { // just swaplet
ext::shared_ptr<YoYInflationCoupon> coup(new
YoYInflationCoupon(
paymentDate,
detail::get(notionals_, i, 1.0),
start, end,
detail::get(fixingDays_, i, 0),
index_,
observationLag_,
paymentDayCounter_,
detail::get(gearings_, i, 1.0),
detail::get(spreads_, i, 0.0),
refStart, refEnd));
// in this case you can set a pricer
// straight away because it only provides computation - not data
ext::shared_ptr<YoYInflationCouponPricer> pricer(
new YoYInflationCouponPricer);
coup->setPricer(pricer);
leg.push_back(ext::dynamic_pointer_cast<CashFlow>(coup));
} else { // cap/floorlet
leg.push_back(ext::shared_ptr<CashFlow>(new
CappedFlooredYoYInflationCoupon(
paymentDate,
detail::get(notionals_, i, 1.0),
start, end,
detail::get(fixingDays_, i, 0),
index_,
observationLag_,
paymentDayCounter_,
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)));
}
}
}
return leg;
}
void SL::parsereply(QNetworkReply *reply) {
if (reply->error() != QNetworkReply::NoError) {
qDebug() << "An error occured";
emit replyready("No connection");
sender()->deleteLater();
return;
}
trips->clear();
QTextCodec *cod = QTextCodec::codecForName("iso-8859-1");
QString bytes = cod->toUnicode(reply->readAll());
//qDebug() << bytes;
QJsonParseError err;
QJsonDocument jsondoc;
jsondoc = QJsonDocument::fromJson(bytes.toUtf8(),&err);
//qDebug() << jsondoc.isObject() << jsondoc.isArray();
QJsonObject root = jsondoc.object();
//qDebug() << root.keys();
QJsonObject hafas = root.value("HafasResponse").toObject();
//qDebug() << hafas.keys();
QJsonArray triplist;
int lentrips;
if (hafas.value("Trip").isObject()) {
lentrips = 1;
} else {
triplist = hafas.value("Trip").toArray();
lentrips = triplist.size();
}
for (int i = 0; i < triplist.size(); i++) {
//qDebug() << "######################### NEW TRIP" << i << "/" << triplist.size();
Trip *strip = new Trip();
strip->setParent(this);
strip->valid = true;
strip->passed = false;
strip->errmsg = "";
//Check if there is only one trip
QJsonObject trip;
if (lentrips == 1) {
trip = hafas.value("Trip").toObject();
} else {
trip = triplist.at(i).toObject();
}
QJsonObject summary = trip.value("Summary").toObject();
strip->depdate = toappdate(summary.value("DepartureDate").toString());
strip->deprtdate = strip->depdate;
strip->deptime = summary.value("DepartureTime").toObject().value("#text").toString();
strip->deprttime = strip->deptime;
strip->arivdate = toappdate(summary.value("ArrivalDate").toString());
strip->arivrtdate = strip->arivdate;
strip->arivtime = summary.value("ArrivalTime").toObject().value("#text").toString();
strip->arivrttime = strip->arivtime;
//qDebug() << strip->depdate << strip->deptime << strip->arivdate << strip->arivrttime;
//See if the subtrips are in a list
int len;
QJsonArray subtriplist;
if(trip.value("SubTrip").isObject()) {
len = 1;
} else {
subtriplist = trip.value("SubTrip").toArray();
len = subtriplist.size();
}
Leg *leg = NULL;
for (int j = 0; j < len; j++) {
//qDebug() << "######################### NEW SUBTRIP" << j << "/" << subtriplist.size();
leg = new Leg();
leg->setParent(strip);
//Check if the Subtrips are in a list
QJsonObject subtrip;
if (len == 1) {
subtrip = trip.value("SubTrip").toObject();
} else {
subtrip = subtriplist.at(j).toObject();
}
QJsonObject transport = subtrip.value("Transport").toObject();
//Add leg info
leg->mline = transport.value("Line").toString();
leg->mdir = transport.value("Towards").toString();
//qDebug() << leg->mline << leg->mdir;
QString type = transport.value("Type").toString();
//qDebug() << "Type" << type;
if (type == "MET") {
if (leg->mline == "10" || leg->mline == "11") {
leg->mfgcolour = blue;
} else if (leg->mline == "13" || leg->mline == "14") {
leg->mfgcolour = red;
} else if (leg->mline == "17" || leg->mline == "18" || leg->mline == "19") {
leg->mfgcolour = green;
}
leg->mbgcolour = "#ffffff";
leg->mline = "T" + leg->mline;
} else if (type == "BUS") {
leg->mfgcolour = "#ffffff";
leg->mbgcolour = "#00abe5";
} else if (type == "SHP") {
leg->mfgcolour = "#00abe5";
leg->mbgcolour = "#ffffff";
} else if (type == "TRN") {
leg->mfgcolour = "#000000";
leg->mbgcolour = "#ffffff";
} else if (type == "TRM") {
leg->mfgcolour = "#ffe600";
leg->mbgcolour = "#00abe5";
} else {
leg->mfgcolour = "#ffffff";
leg->mbgcolour = "#00abe5";
}
QJsonObject origin = subtrip.value("Origin").toObject();
//Add origin info
leg->mfrom = origin.value("#text").toString();
leg->mfromid = "null";
leg->mfromtrack = "";
leg->mdepdate = toappdate(subtrip.value("DepartureDate").toString());
leg->mdeprtdate = leg->mdepdate;
leg->mdeptime = subtrip.value("DepartureTime").toObject().value("#text").toString();
leg->mdeprttime = leg->mdeptime;
//qDebug() << leg->mfrom << leg->mdepdate << leg->mdeptime;
QJsonObject destination = subtrip.value("Destination").toObject();
//Add destination info
leg->mto = destination.value("#text").toString();
leg->mtoid = "null";
leg->mtotrack = "";
leg->marivdate = toappdate(subtrip.value("ArrivalDate").toString());
leg->marivrtdate = leg->marivdate;
leg->marivtime = subtrip.value("ArrivalTime").toObject().value("#text").toString();
leg->marivrttime = leg->marivtime;
//qDebug() << leg->mto << leg->marivdate << leg->marivtime;
//Add it
leg->calculatetimes();
strip->addleg(leg);
}
//Check if the departure time has passed, if so notify by setting errmsg.
if (Timehelper::beforenow(strip->deprtdate, strip->deprttime)) {
strip->passed = true;
strip->errmsg = tr("Departed");
}
//Add it
strip->calculatetimes();
trips->append(strip);
}
qDebug() << "Parsing done, no errors!";
emit replyready("");
sender()->deleteLater();
}
bool AngularMotor::moveLeg(side s, Leg leg){
if( s == right_side ){
effect << " (" << "rle1 " << leg.getlj1() << ") ";
effect << " (" << "rle2 " << leg.getlj2() << ") ";
effect << " (" << "rle3 " << leg.getlj3() << ") ";
effect << " (" << "rle4 " << leg.getlj4() << ") ";
effect << " (" << "rle5 " << leg.getlj5() << ") ";
effect << " (" << "rle6 " << leg.getlj6() << ") ";
}else if ( s == left_side ){
effect << " (" << "lle1 " << leg.getlj1() << ") ";
effect << " (" << "lle2 " << leg.getlj2() << ") ";
effect << " (" << "lle3 " << leg.getlj3() << ") ";
effect << " (" << "lle4 " << leg.getlj4() << ") ";
effect << " (" << "lle5 " << leg.getlj5() << ") ";
effect << " (" << "lle6 " << leg.getlj6() << ") ";
}
return true;
}
void BendLeg(float amount)
{
leg.Rotate(Quaternion::FromAxisAngleDegrees(Vector3(1, 0, 0), 90 * amount));
}
int main( int argc, const char** argv )
{
try
{
cout << "DEMO STEROWNIKA NOGI" << endl;
Leg* legModel;
vector<float_type> config;
legModel = createInsectLeg("../resources/legModel.xml");
cout << "Leg type: " << legModel->getName() << endl << endl;
Mat34 linkPose, linkPose_l;
linkPose(0, 0) = 0; linkPose(0, 1) = 0; linkPose(0, 2) = 1; linkPose(0, 3) = 0.164;
linkPose(1, 0) = 0; linkPose(1, 1) = 1; linkPose(1, 2) = 0; linkPose(1, 3) = 0.0;
linkPose(2, 0) = -1; linkPose(2, 1) = 0; linkPose(2, 2) = 0; linkPose(2, 3) = -0.119;
int linksNo = legModel->getLinksNo();
cout << "Destination Position" << endl;
for (int i = 0; i < 3; ++i)
{
for (int j = 0; j < 4; ++j)
{
cout << linkPose(i, j) << " ";
}
cout << endl;
}
cout << endl << "Configuration" << endl;\
config = legModel->inverseKinematic(linkPose, linksNo, false);
cout << config[0] << ", " << config[1] << ", " << config[2] << endl;
linkPose = legModel->forwardKinematic(config, linksNo, false);
cout << endl << "Forward Kinematic" << endl;
for (int i = 0; i < 3; ++i)
{
for (int j = 0; j < 4; ++j)
{
cout << linkPose(i, j) << " ";
}
cout << endl;
}
Vec3 sila(0,3,1);
vector<float_type> qload;
qload = legModel->computLoad(sila, config, true);
cout << endl << "Computed loads: " << qload[0] << ", " << qload[1] << ", " << qload[2] << endl;
cout << endl << "If Leg is left: " << endl;
cout << endl << "Configuration" << endl;
config = legModel->inverseKinematic(linkPose, linksNo, true);
cout << config[0] << ", " << config[1] << ", " << config[2] << endl;
linkPose = legModel->forwardKinematic(config, linksNo, true);
cout << endl << "Forward Kinematic" << endl;
for (int i = 0; i < 3; ++i)
{
for (int j = 0; j < 4; ++j)
{
cout << linkPose(i, j) << " ";
}
cout << endl;
}
config.clear();
config.push_back(10 * M_PI / 180);//10*M_PI/180;
config.push_back(24 * M_PI / 180);//24*M_PI/180;
config.push_back(-114 * M_PI / 180);//-114*M_PI/180;
linkPose = legModel->forwardKinematic(config, linksNo, false);
cout << endl << "Test Inverse Kinematic" << endl;
cout << "testowa konfiguracja: " << config[0] << ", " << config[1] << ", " << config[2] << endl;
cout << " Pozycja prawa noga:" << endl;
for (int i = 0; i < 3; ++i)
{
cout << " ";
for (int j = 0; j < 4; ++j)
{
cout << linkPose(i, j) << " ";
}
cout << endl;
}
linkPose_l = legModel->forwardKinematic(config, linksNo, true);
cout << " Pozycja lewa noga:" << endl;
for (int i = 0; i < 3; ++i)
{
cout << " ";
for (int j = 0; j < 4; ++j)
{
cout << linkPose_l(i, j) << " ";
}
cout << endl;
}
config = legModel->inverseKinematic(linkPose, linksNo, false);
cout << "otrzymana konfiguracja prawa: " << config[0] << ", " << config[1] << ", " << config[2] << endl;
config = legModel->inverseKinematic(linkPose_l, linksNo, true);
cout << "otrzymana konfiguracja lewa: " << config[0] << ", " << config[1] << ", " << config[2] << endl;
getchar();
}
catch (const std::exception& ex)
{
std::cerr << ex.what() << std::endl;
return 1;
}
return 0;
}
// GLUT callback. Called to draw the scene.
void My_Display()
{
glClear(GL_COLOR_BUFFER_BIT | GL_DEPTH_BUFFER_BIT);
//GLfloat angleX = ((GLfloat)windowRotateX / ((GLfloat)window_width / 2)) * 180;
//GLfloat angleY = ((GLfloat)windowRotateY / ((GLfloat)window_height / 2)) * 180;
//Arm left_up_arm(1, -1, 1);
//Arm right_up_arm(-1,-1,1);
//initial matrix
glMatrixMode(GL_MODELVIEW);
glLoadIdentity();
glLightfv(GL_LIGHT0, GL_POSITION, lightPos);
gluLookAt(0.0, 0.0, nRange, 0.0, 0.0, 0.0, 0.0, 0.1, 0.0);
{
glutSolidCube(0.08f*nRange/10.0f);
}
glMultMatrixf(World_Matrix);
SpotlightPos[0] = 0.0f;
SpotlightPos[1] = -13.5f;
SpotlightPos[2] = 8.0f;
SpotlightPos[3] = 1.0f;
glLightfv(GL_LIGHT1, GL_AMBIENT, ambientLight);
glLightfv(GL_LIGHT1, GL_DIFFUSE, diffuseLight);
glLightfv(GL_LIGHT1, GL_SPECULAR, specular);
glLightfv(GL_LIGHT1, GL_POSITION, SpotlightPos);
glLightfv(GL_LIGHT1, GL_SPOT_DIRECTION, Vector3<GLfloat>(0.0f, 13.5f, -0.8f).toArray());
glLighti(GL_LIGHT1, GL_SPOT_CUTOFF, 30);
glLightf(GL_LIGHT1, GL_SPOT_EXPONENT, 1000.0f);
SpotlightPos[0] = 0.0f;
SpotlightPos[1] = -9.5f;
SpotlightPos[2] = 0.0f;
SpotlightPos[3] = 1.0f;
glLightfv(GL_LIGHT2, GL_AMBIENT, ambientLight);
glLightfv(GL_LIGHT2, GL_DIFFUSE, diffuseLight);
glLightfv(GL_LIGHT2, GL_SPECULAR, specular);
glLightfv(GL_LIGHT2, GL_POSITION, SpotlightPos);
glLightfv(GL_LIGHT2, GL_SPOT_DIRECTION, Vector3<GLfloat>(0.0f, -1.0f, 0.0f).toArray());
glLighti(GL_LIGHT2, GL_SPOT_CUTOFF, 60);
glLightf(GL_LIGHT2, GL_SPOT_EXPONENT, 1000.0f);
glPushMatrix();
{
//glRotatef(angleX, 0.0, 1.0, 0.0);
//glRotatef(angleY, 1.0, 0.0, 0.0);
//glRotatef(angle,0.0f,1.0f,0.0f);
glPushMatrix();
{
glPushMatrix();
{
glTranslatef(0.0f,-13.5f,0.0f);
magiccircle.draw();
}
glPopMatrix();
glTranslatef(0.0f, body.torso_pos, 0.0f);
glPushMatrix();
{
glRotateXYZ(body.torso_tilt);
body.draw(); //body
glPushMatrix(); //left wing
{
glTranslatef(1.3f, 3.0f, -1.1f);
glRotatef(25.0f, 0.0f, 1.0f, 0.0f);
glRotatef(-5.0f, 0.0f, 0.0f, 1.0f);
left_wing.draw();
}
glPopMatrix();
glPushMatrix(); //right wing
{
glTranslatef(-1.3f, 3.0f, -1.1f);
glRotatef(-25.0f, 0.0f, 1.0f, 0.0f);
glRotatef(5.0f, 0.0f, 0.0f, 1.0f);
right_wing.draw();
}
glPopMatrix();
glPushMatrix(); //head
{
glTranslatef(0.0f, 4.0f, 0.0f);
head.draw();
}
glPopMatrix();
glPushMatrix(); //left arm
{
glTranslatef(3.0f, 2.6f, 0.0f);
left_arm.draw();
}
glPopMatrix();
glPushMatrix(); //right arm
{
glTranslatef(-3.0f, 2.6f, 0.0f);
right_arm.draw();
}
glPopMatrix();
glPushMatrix(); //left leg
{
glTranslatef(1.7f, -4.0f, 0.0f);
glRotateXYZ(-body.torso_tilt[0], 0.0f, 0.0f);
left_leg.draw();
}
glPopMatrix();
glPushMatrix(); //right leg
{
glTranslatef(-1.7f, -4.0f, 0.0f);
glRotateXYZ(-body.torso_tilt[0], 0.0f, 0.0f);
right_leg.draw();
}
glPopMatrix();
}
glPopMatrix();
}
glPopMatrix();
/*
glPushMatrix();
{
glTranslatef(2.2f, 0.7f, 0.0f);
left_up_arm.draw();
}
glPopMatrix();
glPushMatrix();
{
glTranslatef(-2.2f, 0.7f, 0.0f);
right_up_arm.draw();
}
glPopMatrix();*/
}
glPopMatrix();
glutSwapBuffers();
}
void Robot::addLeg(int nbOrders)
{
Leg *leg = new Leg();
leg->generateOrders(nbOrders);
legs->push_back(leg);
}
CPILeg::operator Leg() const {
QL_REQUIRE(!notionals_.empty(), "no notional given");
Size n = schedule_.size()-1;
Calendar calendar = schedule_.calendar();
Leg leg;
leg.reserve(n+1); // +1 for notional, we always have some sort ...
if (n>0) {
QL_REQUIRE(!fixedRates_.empty() || !spreads_.empty(),
"no fixedRates or spreads given");
Date refStart, start, refEnd, end;
for (Size i=0; i<n; ++i) {
refStart = start = schedule_.date(i);
refEnd = end = schedule_.date(i+1);
Date paymentDate = calendar.adjust(end, paymentAdjustment_);
if (i==0 && !schedule_.isRegular(i+1)) {
BusinessDayConvention bdc = schedule_.businessDayConvention();
refStart = schedule_.calendar().adjust(end - schedule_.tenor(), bdc);
}
if (i==n-1 && !schedule_.isRegular(i+1)) {
BusinessDayConvention bdc = schedule_.businessDayConvention();
refEnd = schedule_.calendar().adjust(start + schedule_.tenor(), bdc);
}
if (detail::get(fixedRates_, i, 1.0) == 0.0) { // fixed coupon
leg.push_back(boost::shared_ptr<CashFlow>
(new FixedRateCoupon
(paymentDate, detail::get(notionals_, i, 0.0),
detail::effectiveFixedRate(spreads_,caps_,floors_,i),
paymentDayCounter_, start, end, refStart, refEnd)));
} else { // zero inflation coupon
if (detail::noOption(caps_, floors_, i)) { // just swaplet
boost::shared_ptr<CPICoupon> coup;
coup = boost::shared_ptr<CPICoupon>
(new CPICoupon(baseCPI_, // all have same base for ratio
paymentDate,
detail::get(notionals_, i, 0.0),
start, end,
detail::get(fixingDays_, i, 0.0),
index_, observationLag_,
observationInterpolation_,
paymentDayCounter_,
detail::get(fixedRates_, i, 0.0),
detail::get(spreads_, i, 0.0),
refStart, refEnd));
// in this case you can set a pricer
// straight away because it only provides computation - not data
boost::shared_ptr<CPICouponPricer> pricer
(new CPICouponPricer);
coup->setPricer(pricer);
leg.push_back(boost::dynamic_pointer_cast<CashFlow>(coup));
} else { // cap/floorlet
QL_FAIL("caps/floors on CPI coupons not implemented.");
}
}
}
}
// in CPI legs you always have a notional flow of some sort
Date paymentDate = calendar.adjust(schedule_.date(n), paymentAdjustment_);
Date fixingDate = paymentDate - observationLag_;
boost::shared_ptr<CashFlow> xnl(new CPICashFlow
(detail::get(notionals_, n, 0.0), index_,
Date(), // is fake, i.e. you do not have one
baseCPI_, fixingDate, paymentDate,
subtractInflationNominal_, observationInterpolation_,
index_->frequency())
);
leg.push_back(xnl);
return leg;
}
FixedRateLeg::operator Leg() const {
QL_REQUIRE(!couponRates_.empty(), "no coupon rates given");
QL_REQUIRE(!notionals_.empty(), "no notional given");
Leg leg;
leg.reserve(schedule_.size()-1);
// first period might be short or long
Date start = schedule_.date(0), end = schedule_.date(1);
Date paymentDate = paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_);
Date exCouponDate;
InterestRate rate = couponRates_[0];
Real nominal = notionals_[0];
if (exCouponPeriod_ != Period())
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
Date ref = schedule_.hasTenor() &&
schedule_.hasIsRegular() && !schedule_.isRegular(1) ?
schedule_.calendar().advance(end,
-schedule_.tenor(),
schedule_.businessDayConvention(),
schedule_.endOfMonth())
: start;
InterestRate r(rate.rate(),
firstPeriodDC_.empty() ? rate.dayCounter()
: firstPeriodDC_,
rate.compounding(), rate.frequency());
leg.push_back(ext::shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, r,
start, end, ref, end, exCouponDate)));
// regular periods
for (Size i=2; i<schedule_.size()-1; ++i) {
start = end; end = schedule_.date(i);
Date paymentDate = paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_);
if (exCouponPeriod_ != Period())
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if ((i-1) < couponRates_.size())
rate = couponRates_[i-1];
else
rate = couponRates_.back();
if ((i-1) < notionals_.size())
nominal = notionals_[i-1];
else
nominal = notionals_.back();
leg.push_back(ext::shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, rate,
start, end, start, end, exCouponDate)));
}
if (schedule_.size() > 2) {
// last period might be short or long
Size N = schedule_.size();
start = end; end = schedule_.date(N-1);
Date paymentDate = paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_);
if (exCouponPeriod_ != Period())
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if ((N-2) < couponRates_.size())
rate = couponRates_[N-2];
else
rate = couponRates_.back();
if ((N-2) < notionals_.size())
nominal = notionals_[N-2];
else
nominal = notionals_.back();
InterestRate r( rate.rate(), lastPeriodDC_.empty() ?
rate.dayCounter() :
lastPeriodDC_ , rate.compounding(), rate.frequency() );
if ((schedule_.hasIsRegular() && schedule_.isRegular(N - 1)) ||
!schedule_.hasTenor()) {
leg.push_back(ext::shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, r,
start, end, start, end, exCouponDate)));
} else {
Date ref = schedule_.calendar().advance(
start,
schedule_.tenor(),
schedule_.businessDayConvention(),
schedule_.endOfMonth());
leg.push_back(ext::shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, r,
start, end, start, ref, exCouponDate)));
}
}
return leg;
}
