/*
Copyright (C) 2009 Ueli Hofstetter
Copyright (C) 2009 John Nichol
This source code is release under the BSD License.
This file is part of JQuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://jquantlib.org/
JQuantLib is free software: you can redistribute it and/or modify it
under the terms of the JQuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
JQuantLib is based on QuantLib. http://quantlib.org/
When applicable, the original copyright notice follows this notice.
*/
package org.jquantlib.cashflow;
import org.jquantlib.daycounters.DayCounter;
import org.jquantlib.termstructures.Compounding;
import org.jquantlib.termstructures.InterestRate;
import org.jquantlib.time.Date;
import org.jquantlib.util.PolymorphicVisitor;
import org.jquantlib.util.Visitor;
/**
*
* @author Zahid Hussain
*
*/
// TODO: code review :: Please review this class! :S
public class FixedRateCoupon extends Coupon {
private final InterestRate rate;
private final DayCounter dayCounter;
//
// constructors
//
public FixedRateCoupon(final double nominal, final Date paymentDate,
final double rate, final DayCounter dayCounter,
final Date accrualStartDate, final Date accrualEndDate) {
this(nominal, paymentDate, rate, dayCounter, accrualStartDate,
accrualEndDate, new Date(), new Date());
}
public FixedRateCoupon(final double nominal, final Date paymentDate,
final double rate, final DayCounter dayCounter,
final Date accrualStartDate, final Date accrualEndDate,
final Date refPeriodStart, final Date refPeriodEnd) {
super(nominal, paymentDate, accrualStartDate, accrualEndDate,
refPeriodStart, refPeriodEnd);
this.rate = new InterestRate(rate, dayCounter, Compounding.Simple);
this.dayCounter = dayCounter;
}
public FixedRateCoupon(final double nominal, final Date paymentDate,
final InterestRate interestRate, final DayCounter dayCounter,
final Date accrualStartDate, final Date accrualEndDate) {
this(nominal, paymentDate, interestRate, dayCounter, accrualStartDate,
accrualEndDate, new Date(), new Date());
}
public FixedRateCoupon(final double nominal, final Date paymentDate,
final InterestRate interestRate, final DayCounter dayCounter,
final Date accrualStartDate, final Date accrualEndDate,
final Date refPeriodStart, final Date refPeriodEnd) {
super(nominal, paymentDate, accrualStartDate, accrualEndDate,
refPeriodStart, refPeriodEnd);
this.rate = interestRate;
this.dayCounter = dayCounter;
}
//
// public methods
//
public InterestRate interestRate() {
return rate;
}
//
// Overrides Coupon
//
@Override
public DayCounter dayCounter() {
return dayCounter;
}
@Override
public double rate() {
return rate.rate();
}
@Override
public double accruedAmount(final Date d) {
if (d.le(accrualStartDate_) || d.gt(paymentDate_))
return 0.0;
else {
final Date minD = d.le(accrualEndDate_) ? d : accrualEndDate_;
return nominal()
* (rate.compoundFactor(accrualStartDate_, minD,
refPeriodStart_, refPeriodEnd_) - 1.0);
}
}
//
// Overrides CashFlow
//
@Override
public double amount() {
return nominal()
* (rate.compoundFactor(accrualStartDate_, accrualEndDate_,
refPeriodStart_, refPeriodEnd_) - 1.0);
}
//
// implements PolymorphicVisitable
//
@Override
public void accept(final PolymorphicVisitor pv) {
final Visitor v = (pv!=null) ? pv.visitor(this.getClass()) : null;
if (v != null) {
v.visit(this);
} else {
super.accept(pv);
}
}
}
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