public CatBond(int settlementDays,
Calendar calendar,
Date issueDate,
NotionalRisk notionalRisk)
: base(settlementDays, calendar, issueDate)
{
notionalRisk_ = notionalRisk;
}
public FloatingCatBond(int settlementDays,
double faceAmount,
Schedule schedule,
IborIndex iborIndex,
DayCounter paymentDayCounter,
NotionalRisk notionalRisk,
BusinessDayConvention paymentConvention = QLNet.BusinessDayConvention.Following,
int fixingDays = 0,
List <double> gearings = null,
List <double> spreads = null,
List <double?> caps = null,
List <double?> floors = null,
bool inArrears = false,
double redemption = 100.0,
Date issueDate = null)
: base(settlementDays, schedule.calendar(), issueDate, notionalRisk)
{
maturityDate_ = schedule.endDate();
cashflows_ = new IborLeg(schedule, iborIndex)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.withCaps(caps)
.withFloors(floors)
.inArrears(inArrears)
.withPaymentDayCounter(paymentDayCounter)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new InitializedList <double>(1, redemption));
Utils.QL_REQUIRE(!cashflows().empty(), () => "bond with no cashflows!");
Utils.QL_REQUIRE(redemptions_.Count == 1, () => "multiple redemptions created");
iborIndex.registerWith(update);
}
public FloatingCatBond(int settlementDays,
double faceAmount,
Date startDate,
Date maturityDate,
Frequency couponFrequency,
Calendar calendar,
IborIndex iborIndex,
DayCounter accrualDayCounter,
NotionalRisk notionalRisk,
BusinessDayConvention accrualConvention = BusinessDayConvention.Following,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
int fixingDays = 0,
List <double> gearings = null,
List <double> spreads = null,
List <double?> caps = null,
List <double?> floors = null,
bool inArrears = false,
double redemption = 100.0,
Date issueDate = null,
Date stubDate = null,
DateGeneration.Rule rule = DateGeneration.Rule.Backward,
bool endOfMonth = false)
: base(settlementDays, calendar, issueDate, notionalRisk)
{
maturityDate_ = maturityDate;
Date firstDate = null, nextToLastDate = null;
switch (rule)
{
case DateGeneration.Rule.Backward:
firstDate = new Date();
nextToLastDate = stubDate;
break;
case DateGeneration.Rule.Forward:
firstDate = stubDate;
nextToLastDate = new Date();
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.ThirdWednesday:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
Utils.QL_FAIL("stub date (" + stubDate + ") not allowed with " +
rule + " DateGeneration.Rule");
break;
default:
Utils.QL_FAIL("unknown DateGeneration::Rule (" + rule + ")");
break;
}
Schedule schedule = new Schedule(startDate, maturityDate_, new Period(couponFrequency),
calendar_, accrualConvention, accrualConvention,
rule, endOfMonth, firstDate, nextToLastDate);
cashflows_ = new IborLeg(schedule, iborIndex)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.withCaps(caps)
.withFloors(floors)
.inArrears(inArrears)
.withPaymentDayCounter(accrualDayCounter)
.withPaymentAdjustment(paymentConvention)
.withNotionals(faceAmount);
addRedemptionsToCashflows(new InitializedList <double>(1, redemption));
Utils.QL_REQUIRE(!cashflows().empty(), () => "bond with no cashflows!");
Utils.QL_REQUIRE(redemptions_.Count == 1, () => "multiple redemptions created");
iborIndex.registerWith(update);
}
