Added first stub dayCounter to FixedRateBond

lballabio · Jul 22, 2020 · 4d89058 · 4d89058
1 parent 0366583
commit 4d89058
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Showing 2 changed files with 26 additions and 7 deletions.
diff --git a/ql/instruments/bonds/fixedratebond.cpp b/ql/instruments/bonds/fixedratebond.cpp
@@ -40,18 +40,21 @@ namespace QuantLib {
                                  const Period& exCouponPeriod,
                                  const Calendar& exCouponCalendar,
                                  const BusinessDayConvention exCouponConvention,
-                                 bool exCouponEndOfMonth)
+                                 bool exCouponEndOfMonth,
+                                 const DayCounter& stubAccrualDayCounter)
      : Bond(settlementDays,
             paymentCalendar==Calendar() ? schedule.calendar() : paymentCalendar,
             issueDate),
        frequency_(schedule.hasTenor() ? schedule.tenor().frequency() : NoFrequency),
-       dayCounter_(accrualDayCounter) {
+       dayCounter_(accrualDayCounter),
+       stubDayCounter_(stubAccrualDayCounter) {
 
         maturityDate_ = schedule.endDate();
 
         cashflows_ = FixedRateLeg(schedule)
             .withNotionals(faceAmount)
             .withCouponRates(coupons, accrualDayCounter)
+            .withFirstPeriodDayCounter(stubAccrualDayCounter==DayCounter() ? accrualDayCounter : stubAccrualDayCounter)
             .withPaymentCalendar(calendar_)
             .withPaymentAdjustment(paymentConvention)
             .withExCouponPeriod(exCouponPeriod,
@@ -84,11 +87,13 @@ namespace QuantLib {
                                  const Period& exCouponPeriod,
                                  const Calendar& exCouponCalendar,
                                  const BusinessDayConvention exCouponConvention,
-                                 bool exCouponEndOfMonth)
+                                 bool exCouponEndOfMonth,
+                                 const DayCounter& stubAccrualDayCounter)
      : Bond(settlementDays,
             paymentCalendar==Calendar() ? calendar : paymentCalendar,
             issueDate),
-      frequency_(tenor.frequency()), dayCounter_(accrualDayCounter) {
+      frequency_(tenor.frequency()), dayCounter_(accrualDayCounter),
+      stubDayCounter_(stubAccrualDayCounter) {
 
         maturityDate_ = maturityDate;
 
@@ -120,6 +125,7 @@ namespace QuantLib {
         cashflows_ = FixedRateLeg(schedule)
             .withNotionals(faceAmount)
             .withCouponRates(coupons, accrualDayCounter)
+            .withFirstPeriodDayCounter(stubAccrualDayCounter==DayCounter() ? accrualDayCounter : stubAccrualDayCounter)
             .withPaymentCalendar(calendar_)
             .withPaymentAdjustment(paymentConvention)
             .withExCouponPeriod(exCouponPeriod,
@@ -168,5 +174,15 @@ namespace QuantLib {
         QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
         QL_ENSURE(redemptions_.size() == 1, "multiple redemptions created");
     }
+    const DayCounter& FixedRateBond::dayCounter(const Date& d){
+        if (stubDayCounter_==DayCounter())
+            return dayCounter_;
+        else
+            QL_ENSURE(d!=Date(),"No Date given for bond with short stub dayCounter");
+            if(d<(cashflows()[1])->date())
+                return stubDayCounter_;
+            else
+                return dayCounter_;
+    }
 
 }
diff --git a/ql/instruments/bonds/fixedratebond.hpp b/ql/instruments/bonds/fixedratebond.hpp
@@ -58,7 +58,8 @@ namespace QuantLib {
                       const Period& exCouponPeriod = Period(),
                       const Calendar& exCouponCalendar = Calendar(),
                       BusinessDayConvention exCouponConvention = Unadjusted,
-                      bool exCouponEndOfMonth = false);
+                      bool exCouponEndOfMonth = false,
+                      const DayCounter& stubDayCounter = DayCounter());
         /*! simple annual compounding coupon rates
             with internal schedule calculation */
         FixedRateBond(Natural settlementDays,
@@ -80,7 +81,8 @@ namespace QuantLib {
                       const Period& exCouponPeriod = Period(),
                       const Calendar& exCouponCalendar = Calendar(),
                       BusinessDayConvention exCouponConvention = Unadjusted,
-                      bool exCouponEndOfMonth = false);
+                      bool exCouponEndOfMonth = false,
+                      const DayCounter& stubDayCounter = DayCounter());
         //! generic compounding and frequency InterestRate coupons
         FixedRateBond(Natural settlementDays,
                       Real faceAmount,
@@ -95,10 +97,11 @@ namespace QuantLib {
                       BusinessDayConvention exCouponConvention = Unadjusted,
                       bool exCouponEndOfMonth = false);
         Frequency frequency() const { return frequency_; }
-        const DayCounter& dayCounter() const { return dayCounter_; }
+        const DayCounter& dayCounter(const Date& d=Date());
       protected:
         Frequency frequency_;
         DayCounter dayCounter_;
+        DayCounter stubDayCounter_;
     };
 
 }