Move amortizing bonds from experimental to core (#1488)

lballabio · Sep 23, 2022 · 508cc5d · 508cc5d
2 parents 5517289 + f820442
commit 508cc5d
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Showing 18 changed files with 521 additions and 439 deletions.
diff --git a/QuantLib.vcxproj b/QuantLib.vcxproj
@@ -903,6 +903,9 @@
     <ClInclude Include="ql\instruments\bond.hpp" />
     <ClInclude Include="ql\instruments\bondforward.hpp" />
     <ClInclude Include="ql\instruments\bonds\all.hpp" />
+    <ClInclude Include="ql\instruments\bonds\amortizingcmsratebond.hpp" />
+    <ClInclude Include="ql\instruments\bonds\amortizingfixedratebond.hpp" />
+    <ClInclude Include="ql\instruments\bonds\amortizingfloatingratebond.hpp" />
     <ClInclude Include="ql\instruments\bonds\btp.hpp" />
     <ClInclude Include="ql\instruments\bonds\cmsratebond.hpp" />
     <ClInclude Include="ql\instruments\bonds\convertiblebonds.hpp" />
@@ -1920,9 +1923,6 @@
     <ClCompile Include="ql\currencies\europe.cpp" />
     <ClCompile Include="ql\currencies\exchangeratemanager.cpp" />
     <ClCompile Include="ql\currencies\oceania.cpp" />
-    <ClCompile Include="ql\experimental\amortizingbonds\amortizingcmsratebond.cpp" />
-    <ClCompile Include="ql\experimental\amortizingbonds\amortizingfixedratebond.cpp" />
-    <ClCompile Include="ql\experimental\amortizingbonds\amortizingfloatingratebond.cpp" />
     <ClCompile Include="ql\experimental\asian\analytic_cont_geom_av_price_heston.cpp" />
     <ClCompile Include="ql\experimental\asian\analytic_discr_geom_av_price_heston.cpp" />
     <ClCompile Include="ql\pricingengines\asian\turnbullwakemanasianengine.cpp" />
@@ -2158,6 +2158,9 @@
     <ClCompile Include="ql\instruments\bmaswap.cpp" />
     <ClCompile Include="ql\instruments\bond.cpp" />
     <ClCompile Include="ql\instruments\bondforward.cpp" />
+    <ClCompile Include="ql\instruments\bonds\amortizingcmsratebond.cpp" />
+    <ClCompile Include="ql\instruments\bonds\amortizingfixedratebond.cpp" />
+    <ClCompile Include="ql\instruments\bonds\amortizingfloatingratebond.cpp" />
     <ClCompile Include="ql\instruments\bonds\btp.cpp" />
     <ClCompile Include="ql\instruments\bonds\cmsratebond.cpp" />
     <ClCompile Include="ql\instruments\bonds\convertiblebonds.cpp" />

diff --git a/QuantLib.vcxproj.filters b/QuantLib.vcxproj.filters
@@ -915,6 +915,15 @@
     <ClInclude Include="ql\instruments\bonds\all.hpp">
       <Filter>instruments\bonds</Filter>
     </ClInclude>
+    <ClInclude Include="ql\instruments\bonds\amortizingcmsratebond.hpp">
+      <Filter>instruments\bonds</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\instruments\bonds\amortizingfixedratebond.hpp">
+      <Filter>instruments\bonds</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\instruments\bonds\amortizingfloatingratebond.hpp">
+      <Filter>instruments\bonds</Filter>
+    </ClInclude>
     <ClInclude Include="ql\instruments\bonds\btp.hpp">
       <Filter>instruments\bonds</Filter>
     </ClInclude>
@@ -4718,6 +4727,15 @@
     <ClCompile Include="ql\instruments\zerocouponinflationswap.cpp">
       <Filter>instruments</Filter>
     </ClCompile>
+    <ClCompile Include="ql\instruments\bonds\amortizingcmsratebond.cpp">
+      <Filter>instruments\bonds</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\instruments\bonds\amortizingfixedratebond.cpp">
+      <Filter>instruments\bonds</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\instruments\bonds\amortizingfloatingratebond.cpp">
+      <Filter>instruments\bonds</Filter>
+    </ClCompile>
     <ClCompile Include="ql\instruments\bonds\btp.cpp">
       <Filter>instruments\bonds</Filter>
     </ClCompile>
@@ -6500,15 +6518,6 @@
     <ClCompile Include="ql\experimental\commodities\unitofmeasureconversionmanager.cpp">
       <Filter>experimental\commodities</Filter>
     </ClCompile>
-    <ClCompile Include="ql\experimental\amortizingbonds\amortizingcmsratebond.cpp">
-      <Filter>experimental\amortizingbonds</Filter>
-    </ClCompile>
-    <ClCompile Include="ql\experimental\amortizingbonds\amortizingfixedratebond.cpp">
-      <Filter>experimental\amortizingbonds</Filter>
-    </ClCompile>
-    <ClCompile Include="ql\experimental\amortizingbonds\amortizingfloatingratebond.cpp">
-      <Filter>experimental\amortizingbonds</Filter>
-    </ClCompile>
     <ClCompile Include="ql\experimental\averageois\arithmeticaverageois.cpp">
       <Filter>experimental\averageois</Filter>
     </ClCompile>

diff --git a/ql/CMakeLists.txt b/ql/CMakeLists.txt
@@ -44,9 +44,6 @@ set(QL_SOURCES
     event.cpp
     exchangerate.cpp
     exercise.cpp
-    experimental/amortizingbonds/amortizingcmsratebond.cpp
-    experimental/amortizingbonds/amortizingfixedratebond.cpp
-    experimental/amortizingbonds/amortizingfloatingratebond.cpp
     experimental/asian/analytic_cont_geom_av_price_heston.cpp
     experimental/asian/analytic_discr_geom_av_price_heston.cpp
     experimental/averageois/arithmeticaverageois.cpp
@@ -282,6 +279,9 @@ set(QL_SOURCES
     instruments/bmaswap.cpp
     instruments/bond.cpp
     instruments/bondforward.cpp
+    instruments/bonds/amortizingcmsratebond.cpp
+    instruments/bonds/amortizingfixedratebond.cpp
+    instruments/bonds/amortizingfloatingratebond.cpp
     instruments/bonds/btp.cpp
     instruments/bonds/cmsratebond.cpp
     instruments/bonds/convertiblebonds.cpp
@@ -1307,6 +1307,9 @@ set(QL_HEADERS
     instruments/bmaswap.hpp
     instruments/bond.hpp
     instruments/bondforward.hpp
+    instruments/bonds/amortizingcmsratebond.hpp
+    instruments/bonds/amortizingfixedratebond.hpp
+    instruments/bonds/amortizingfloatingratebond.hpp
     instruments/bonds/btp.hpp
     instruments/bonds/cmsratebond.hpp
     instruments/bonds/convertiblebonds.hpp

diff --git a/ql/experimental/Makefile.am b/ql/experimental/Makefile.am
@@ -14,7 +14,6 @@ this_include_HEADERS = \
 libExperimental_la_SOURCES =
 
 libExperimental_la_LIBADD = \
-    amortizingbonds/libAmortizingBonds.la \
     asian/libAsian.la \
     averageois/libAverageOIS.la \
     barrieroption/libBarrierOption.la \

diff --git a/ql/experimental/amortizingbonds/Makefile.am b/ql/experimental/amortizingbonds/Makefile.am
@@ -8,33 +8,6 @@ this_include_HEADERS = \
     amortizingfixedratebond.hpp \
     amortizingfloatingratebond.hpp
 
-cpp_files = \
-    amortizingcmsratebond.cpp \
-    amortizingfixedratebond.cpp \
-    amortizingfloatingratebond.cpp
-
-if UNITY_BUILD
-
-nodist_libAmortizingBonds_la_SOURCES = unity.cpp
-
-unity.cpp: Makefile.am
-	echo "/* This file is automatically generated; do not edit.     */" > $@
-	echo "/* Add the files to be included into Makefile.am instead. */" >> $@
-	echo >> $@
-	for i in $(cpp_files); do \
-		echo "#include \"${subdir}/$$i\"" >> $@; \
-	done
-
-EXTRA_DIST = $(cpp_files)
-
-else
-
-libAmortizingBonds_la_SOURCES = $(cpp_files)
-
-endif
-
-noinst_LTLIBRARIES = libAmortizingBonds.la
-
 all.hpp: Makefile.am
 	echo "/* This file is automatically generated; do not edit.     */" > ${srcdir}/$@
 	echo "/* Add the files to be included into Makefile.am instead. */" >> ${srcdir}/$@

diff --git a/ql/experimental/amortizingbonds/amortizingcmsratebond.hpp b/ql/experimental/amortizingbonds/amortizingcmsratebond.hpp
@@ -17,41 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file amortizingcmsratebond.hpp
-    \brief amortizing CMS-rate bond
-*/
-
-#ifndef quantlib_amortizing_cms_rate_bond_hpp
-#define quantlib_amortizing_cms_rate_bond_hpp
-
-#include <ql/instruments/bond.hpp>
-
-namespace QuantLib {
-
-    class Schedule;
-    class SwapIndex;
-
-    //! amortizing CMS-rate bond
-    class AmortizingCmsRateBond : public Bond {
-      public:
-        AmortizingCmsRateBond(
-                    Natural settlementDays,
-                    const std::vector<Real>& notionals,
-                    const Schedule& schedule,
-                    const ext::shared_ptr<SwapIndex>& index,
-                    const DayCounter& paymentDayCounter,
-                    BusinessDayConvention paymentConvention = Following,
-                    Natural fixingDays = Null<Natural>(),
-                    const std::vector<Real>& gearings =
-                                                    std::vector<Real>(1, 1.0),
-                    const std::vector<Spread>& spreads =
-                                                  std::vector<Spread>(1, 0.0),
-                    const std::vector<Rate>& caps = std::vector<Rate>(),
-                    const std::vector<Rate>& floors = std::vector<Rate>(),
-                    bool inArrears = false,
-                    const Date& issueDate = Date());
-    };
-
-}
+// Deprecated in version 1.28
+#pragma message("Warning: this file will disappear in a future release; include <ql/instruments/bonds/amortizingcmsratebond.hpp instead>.")
 
-#endif
+#include <ql/instruments/bonds/amortizingcmsratebond.hpp>
diff --git a/ql/experimental/amortizingbonds/amortizingfixedratebond.hpp b/ql/experimental/amortizingbonds/amortizingfixedratebond.hpp
@@ -17,68 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file amortizingfixedratebond.hpp
-    \brief amortizing fixed-rate bond
-*/
-
-#ifndef quantlib_amortizing_fixed_rate_bond_hpp
-#define quantlib_amortizing_fixed_rate_bond_hpp
-
-#include <ql/instruments/bond.hpp>
-#include <ql/time/daycounter.hpp>
-#include <ql/interestrate.hpp>
-
-namespace QuantLib {
-
-    class Schedule;
-
-    //! amortizing fixed-rate bond
-    class AmortizingFixedRateBond : public Bond {
-      public:
-        AmortizingFixedRateBond(Natural settlementDays,
-                                const std::vector<Real>& notionals,
-                                const Schedule& schedule,
-                                const std::vector<Rate>& coupons,
-                                const DayCounter& accrualDayCounter,
-                                BusinessDayConvention paymentConvention = Following,
-                                const Date& issueDate = Date(),
-                                const Period& exCouponPeriod = Period(),
-                                const Calendar& exCouponCalendar = Calendar(),
-                                BusinessDayConvention exCouponConvention = Unadjusted,
-                                bool exCouponEndOfMonth = false);
-        /*! Automatically generates a set of equal coupons, with an
-            amortizing bond.  The coupons are equal and the accrual
-            daycount is only used for quoting/settlement purposes -
-            not for calculating the coupons.
-        */
-        AmortizingFixedRateBond(Natural settlementDays,
-                                const Calendar& calendar,
-                                Real faceAmount,
-                                const Date& startDate,
-                                const Period& bondTenor,
-                                const Frequency& sinkingFrequency,
-                                Rate coupon,
-                                const DayCounter& accrualDayCounter,
-                                BusinessDayConvention paymentConvention = Following,
-                                const Date& issueDate = Date());
-        AmortizingFixedRateBond(Natural settlementDays,
-                                const std::vector<Real>& notionals,
-                                const Schedule& schedule,
-                                const std::vector<InterestRate>& coupons,
-                                BusinessDayConvention paymentConvention = Following,
-                                const Date& issueDate = Date(),
-                                const Calendar& paymentCalendar = Calendar(),
-                                const Period& exCouponPeriod = Period(),
-                                const Calendar& exCouponCalendar = Calendar(),
-                                BusinessDayConvention exCouponConvention = Unadjusted,
-                                bool exCouponEndOfMonth = false);
-        Frequency frequency() const { return frequency_; }
-        const DayCounter& dayCounter() const { return dayCounter_; }
-      protected:
-        Frequency frequency_;
-        DayCounter dayCounter_;
-    };
-
-}
+// Deprecated in version 1.28
+#pragma message("Warning: this file will disappear in a future release; include <ql/instruments/bonds/amortizingfixedratebond.hpp instead>.")
 
-#endif
+#include <ql/instruments/bonds/amortizingfixedratebond.hpp>
diff --git a/ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp b/ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp
@@ -17,42 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file amortizingfloatingratebond.hpp
-    \brief amortizing floating-rate bond
-*/
-
-#ifndef quantlib_amortizing_floating_rate_bond_hpp
-#define quantlib_amortizing_floating_rate_bond_hpp
-
-#include <ql/instruments/bond.hpp>
-
-namespace QuantLib {
-
-    class Schedule;
-    class IborIndex;
-
-    //! amortizing floating-rate bond (possibly capped and/or floored)
-    class AmortizingFloatingRateBond : public Bond {
-      public:
-        AmortizingFloatingRateBond(Natural settlementDays,
-                                   const std::vector<Real>& notional,
-                                   const Schedule& schedule,
-                                   const ext::shared_ptr<IborIndex>& index,
-                                   const DayCounter& accrualDayCounter,
-                                   BusinessDayConvention paymentConvention = Following,
-                                   Natural fixingDays = Null<Natural>(),
-                                   const std::vector<Real>& gearings = std::vector<Real>(1, 1.0),
-                                   const std::vector<Spread>& spreads = std::vector<Spread>(1, 0.0),
-                                   const std::vector<Rate>& caps = std::vector<Rate>(),
-                                   const std::vector<Rate>& floors = std::vector<Rate>(),
-                                   bool inArrears = false,
-                                   const Date& issueDate = Date(),
-                                   const Period& exCouponPeriod = Period(),
-                                   const Calendar& exCouponCalendar = Calendar(),
-                                   BusinessDayConvention exCouponConvention = Unadjusted,
-                                   bool exCouponEndOfMonth = false);
-    };
-
-}
+// Deprecated in version 1.28
+#pragma message("Warning: this file will disappear in a future release; include <ql/instruments/bonds/amortizingfloatingratebond.hpp instead>.")
 
-#endif
+#include <ql/instruments/bonds/amortizingfloatingratebond.hpp>
diff --git a/ql/instruments/bonds/Makefile.am b/ql/instruments/bonds/Makefile.am
@@ -4,6 +4,9 @@ AM_CPPFLAGS = -I${top_builddir} -I${top_srcdir}
 this_includedir=${includedir}/${subdir}
 this_include_HEADERS = \
     all.hpp \
+    amortizingcmsratebond.hpp \
+    amortizingfixedratebond.hpp \
+    amortizingfloatingratebond.hpp \
     btp.hpp \
     cmsratebond.hpp \
     convertiblebonds.hpp \
@@ -13,6 +16,9 @@ this_include_HEADERS = \
     zerocouponbond.hpp
 
 cpp_files = \
+    amortizingcmsratebond.cpp \
+    amortizingfixedratebond.cpp \
+    amortizingfloatingratebond.cpp \
     btp.cpp \
     cmsratebond.cpp \
     convertiblebonds.cpp \

diff --git a/ql/instruments/bonds/all.hpp b/ql/instruments/bonds/all.hpp
@@ -1,6 +1,9 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
+#include <ql/instruments/bonds/amortizingcmsratebond.hpp>
+#include <ql/instruments/bonds/amortizingfixedratebond.hpp>
+#include <ql/instruments/bonds/amortizingfloatingratebond.hpp>
 #include <ql/instruments/bonds/btp.hpp>
 #include <ql/instruments/bonds/cmsratebond.hpp>
 #include <ql/instruments/bonds/convertiblebonds.hpp>

diff --git a/...amortizingbonds/amortizingcmsratebond.cpp → ...struments/bonds/amortizingcmsratebond.cpp b/...amortizingbonds/amortizingcmsratebond.cpp → ...struments/bonds/amortizingcmsratebond.cpp
@@ -17,7 +17,7 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/experimental/amortizingbonds/amortizingcmsratebond.hpp>
+#include <ql/instruments/bonds/amortizingcmsratebond.hpp>
 #include <ql/cashflows/cmscoupon.hpp>
 #include <ql/cashflows/simplecashflow.hpp>
 #include <ql/indexes/swapindex.hpp>