floatingRateBond.hpp

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#ifndef JULIAN_FLOATINGRATEBOND_HPP
#define JULIAN_FLOATINGRATEBOND_HPP

#include <instruments/bonds/bond.hpp>
#include <instruments/CashFlowVector.hpp>
#include <interestRates/interestRate.hpp>
#include <dates/timeUnit.hpp>

namespace julian {
  class FloatingRateBond: public Bond {
  public:
    
    FloatingRateBond(){};

    FloatingRateBond(Date issue_date, Date maturity_date, double principal, double margin,
             InterestRate rate, CashFlowVector cash_flows, Frequency payment_frequency):
      issue_date_(issue_date), maturity_date_(maturity_date), principal_(principal), margin_(margin),
      rate_(rate), cash_flows_(cash_flows), payment_frequency_(payment_frequency) {}

    virtual void valuation(const SmartPointer<ir::Curve>& curve) const override;
    virtual void valuation(const SmartPointer<ir::Curve>& discounting_curve,
               const SmartPointer<ir::Curve>& projection_curve) const override;

    virtual double prize(const SmartPointer<ir::Curve>& curve) const override;
    virtual double prize(const SmartPointer<ir::Curve>& curve,
             const SmartPointer<ir::Curve>& ) const override;
    virtual double getPrincipal() const override;
    virtual Date getDate() const override;
    virtual FloatingRateBond* clone() const;
    
    virtual ~FloatingRateBond(){};
      
    friend std::ostream& operator<<(std::ostream&, FloatingRateBond&);
  
  private:
    Date issue_date_;            
    Date maturity_date_;         
    double principal_;           
    double margin_;              
    InterestRate rate_;          
    CashFlowVector cash_flows_;  
    Frequency payment_frequency_;
  };
}

#endif