| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl |
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| 5 | Copyright (C) 2003, 2004, 2005 StatPro Italia srl |
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| 6 | Copyright (C) 2006, 2007 Cristina Duminuco |
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| 7 | Copyright (C) 2006, 2007 Giorgio Facchinetti |
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| 8 | Copyright (C) 2006 Mario Pucci |
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| 9 | Copyright (C) 2007 Ferdinando Ametrano |
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| 10 | |
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| 11 | This file is part of QuantLib, a free-software/open-source library |
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| 12 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 13 | |
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| 14 | QuantLib is free software: you can redistribute it and/or modify it |
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| 15 | under the terms of the QuantLib license. You should have received a |
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| 16 | copy of the license along with this program; if not, please email |
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| 17 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 18 | <http://quantlib.org/license.shtml>. |
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| 19 | |
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| 20 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 21 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 22 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 23 | */ |
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| 24 | |
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| 25 | #include <ql/cashflows/cashflowvectors.hpp> |
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| 26 | #include <ql/cashflows/fixedratecoupon.hpp> |
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| 27 | #include <ql/cashflows/capflooredcoupon.hpp> |
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| 28 | #include <ql/cashflows/rangeaccrual.hpp> |
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| 29 | #include <ql/indexes/iborindex.hpp> |
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| 30 | #include <ql/time/schedule.hpp> |
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| 31 | |
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| 32 | namespace QuantLib { |
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| 33 | |
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| 34 | namespace detail { |
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| 35 | |
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| 36 | Rate effectiveFixedRate(const std::vector<Spread>& spreads, |
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| 37 | const std::vector<Rate>& caps, |
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| 38 | const std::vector<Rate>& floors, |
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| 39 | Size i) { |
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| 40 | Rate result = get(v: spreads, i, defaultValue: 0.0); |
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| 41 | Rate floor = get(v: floors, i, defaultValue: Null<Rate>()); |
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| 42 | if (floor!=Null<Rate>()) |
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| 43 | result = std::max(a: floor, b: result); |
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| 44 | Rate cap = get(v: caps, i, defaultValue: Null<Rate>()); |
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| 45 | if (cap!=Null<Rate>()) |
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| 46 | result = std::min(a: cap, b: result); |
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| 47 | return result; |
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| 48 | } |
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| 49 | |
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| 50 | bool noOption(const std::vector<Rate>& caps, |
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| 51 | const std::vector<Rate>& floors, |
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| 52 | Size i) { |
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| 53 | return (get(v: caps, i, defaultValue: Null<Rate>()) == Null<Rate>()) && |
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| 54 | (get(v: floors, i, defaultValue: Null<Rate>()) == Null<Rate>()); |
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| 55 | } |
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| 56 | |
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| 57 | } |
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| 58 | |
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| 59 | } |
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| 60 | |
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