| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
|---|---|
| 2 | |
| 3 | /* |
| 4 | Copyright (C) 2008 StatPro Italia srl |
| 5 | |
| 6 | This file is part of QuantLib, a free-software/open-source library |
| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
| 8 | |
| 9 | QuantLib is free software: you can redistribute it and/or modify it |
| 10 | under the terms of the QuantLib license. You should have received a |
| 11 | copy of the license along with this program; if not, please email |
| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
| 13 | <http://quantlib.org/license.shtml>. |
| 14 | |
| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
| 18 | */ |
| 19 | |
| 20 | #include <ql/instruments/claim.hpp> |
| 21 | |
| 22 | namespace QuantLib { |
| 23 | |
| 24 | Real FaceValueClaim::amount(const Date&, |
| 25 | Real notional, |
| 26 | Real recoveryRate) const { |
| 27 | return notional * (1.0-recoveryRate); |
| 28 | } |
| 29 | |
| 30 | |
| 31 | |
| 32 | FaceValueAccrualClaim::FaceValueAccrualClaim( |
| 33 | const ext::shared_ptr<Bond>& referenceSecurity) |
| 34 | : referenceSecurity_(referenceSecurity) { |
| 35 | registerWith(h: referenceSecurity); |
| 36 | } |
| 37 | |
| 38 | Real FaceValueAccrualClaim::amount(const Date& d, |
| 39 | Real notional, |
| 40 | Real recoveryRate) const { |
| 41 | Real accrual = referenceSecurity_->accruedAmount(d) |
| 42 | / referenceSecurity_->notional(d); |
| 43 | return notional * (1.0-recoveryRate-accrual); |
| 44 | } |
| 45 | |
| 46 | } |
| 47 | |
| 48 |