Fix initialization of sub-periods coupon, rename to multiple-resets c…

…oupon (#2098)
lballabio · Oct 16, 2024 · ee7f9aa · ee7f9aa
2 parents 065e2c7 + 2c01e48
commit ee7f9aa
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Showing 20 changed files with 1,200 additions and 872 deletions.
diff --git a/QuantLib.vcxproj b/QuantLib.vcxproj
@@ -533,6 +533,7 @@
     <ClInclude Include="ql\cashflows\inflationcoupon.hpp" />
     <ClInclude Include="ql\cashflows\inflationcouponpricer.hpp" />
     <ClInclude Include="ql\cashflows\lineartsrpricer.hpp" />
+    <ClInclude Include="ql\cashflows\multipleresetscoupon.hpp" />
     <ClInclude Include="ql\cashflows\overnightindexedcoupon.hpp" />
     <ClInclude Include="ql\cashflows\overnightindexedcouponpricer.hpp" />
     <ClInclude Include="ql\cashflows\rangeaccrual.hpp" />
@@ -1918,12 +1919,12 @@
     <ClCompile Include="ql\cashflows\inflationcoupon.cpp" />
     <ClCompile Include="ql\cashflows\inflationcouponpricer.cpp" />
     <ClCompile Include="ql\cashflows\lineartsrpricer.cpp" />
+    <ClCompile Include="ql\cashflows\multipleresetscoupon.cpp" />
     <ClCompile Include="ql\cashflows\overnightindexedcoupon.cpp" />
     <ClCompile Include="ql\cashflows\overnightindexedcouponpricer.cpp" />
     <ClCompile Include="ql\cashflows\rangeaccrual.cpp" />
     <ClCompile Include="ql\cashflows\replication.cpp" />
     <ClCompile Include="ql\cashflows\simplecashflow.cpp" />
-    <ClCompile Include="ql\cashflows\subperiodcoupon.cpp" />
     <ClCompile Include="ql\cashflows\timebasket.cpp" />
     <ClCompile Include="ql\cashflows\yoyinflationcoupon.cpp" />
     <ClCompile Include="ql\cashflows\zeroinflationcashflow.cpp" />

diff --git a/QuantLib.vcxproj.filters b/QuantLib.vcxproj.filters
@@ -552,6 +552,9 @@
     <ClInclude Include="ql\cashflows\inflationcouponpricer.hpp">
       <Filter>cashflows</Filter>
     </ClInclude>
+    <ClInclude Include="ql\cashflows\multipleresetscoupon.hpp">
+      <Filter>cashflows</Filter>
+    </ClInclude>
     <ClInclude Include="ql\cashflows\overnightindexedcoupon.hpp">
       <Filter>cashflows</Filter>
     </ClInclude>
@@ -4499,6 +4502,9 @@
     <ClCompile Include="ql\cashflows\inflationcouponpricer.cpp">
       <Filter>cashflows</Filter>
     </ClCompile>
+    <ClCompile Include="ql\cashflows\multipleresetscoupon.cpp">
+      <Filter>cashflows</Filter>
+    </ClCompile>
     <ClCompile Include="ql\cashflows\overnightindexedcoupon.cpp">
       <Filter>cashflows</Filter>
     </ClCompile>
@@ -4514,9 +4520,6 @@
     <ClCompile Include="ql\cashflows\simplecashflow.cpp">
       <Filter>cashflows</Filter>
     </ClCompile>
-    <ClCompile Include="ql\cashflows\subperiodcoupon.cpp">
-      <Filter>cashflows</Filter>
-    </ClCompile>
     <ClCompile Include="ql\cashflows\timebasket.cpp">
       <Filter>cashflows</Filter>
     </ClCompile>

diff --git a/cmake/GenerateHeaders.cmake b/cmake/GenerateHeaders.cmake
@@ -40,6 +40,7 @@ function(generate_dir_headers source_dir binary_dir)
 
     list(FILTER children_hpp EXCLUDE REGEX "dividendvanillaoption.hpp")
     list(FILTER children_hpp EXCLUDE REGEX "averageoiscouponpricer.hpp")
+    list(FILTER children_hpp EXCLUDE REGEX "subperiodcoupon.hpp")
     list(FILTER children_hpp EXCLUDE REGEX "fdmultiperiodengine.hpp")
     list(FILTER children_hpp EXCLUDE REGEX "fdvanillaengine.hpp")
     list(FILTER children_hpp EXCLUDE REGEX "sampledcurve.hpp")

diff --git a/ql/CMakeLists.txt b/ql/CMakeLists.txt
@@ -24,13 +24,13 @@ set(QL_SOURCES
     cashflows/inflationcoupon.cpp
     cashflows/inflationcouponpricer.cpp
     cashflows/lineartsrpricer.cpp
+    cashflows/multipleresetscoupon.cpp
     cashflows/overnightindexedcoupon.cpp
     cashflows/overnightindexedcouponpricer.cpp
     cashflows/rangeaccrual.cpp
     cashflows/replication.cpp
     cashflows/simplecashflow.cpp
     cashflows/timebasket.cpp
-    cashflows/subperiodcoupon.cpp
     cashflows/yoyinflationcoupon.cpp
     cashflows/zeroinflationcashflow.cpp
     currencies/africa.cpp
@@ -959,6 +959,7 @@ set(QL_HEADERS
     cashflows/inflationcoupon.hpp
     cashflows/inflationcouponpricer.hpp
     cashflows/lineartsrpricer.hpp
+    cashflows/multipleresetscoupon.hpp
     cashflows/overnightindexedcoupon.hpp
     cashflows/overnightindexedcouponpricer.hpp
     cashflows/rangeaccrual.hpp

diff --git a/ql/cashflows/Makefile.am b/ql/cashflows/Makefile.am
@@ -28,6 +28,7 @@ this_include_HEADERS = \
     inflationcoupon.hpp \
     inflationcouponpricer.hpp \
     lineartsrpricer.hpp \
+    multipleresetscoupon.hpp \
     overnightindexedcoupon.hpp \
     overnightindexedcouponpricer.hpp \
     rangeaccrual.hpp \
@@ -64,12 +65,12 @@ cpp_files = \
     inflationcoupon.cpp \
     inflationcouponpricer.cpp \
     lineartsrpricer.cpp \
+    multipleresetscoupon.cpp \
     overnightindexedcoupon.cpp \
     overnightindexedcouponpricer.cpp \
     rangeaccrual.cpp \
     replication.cpp \
     simplecashflow.cpp \
-    subperiodcoupon.cpp \
     timebasket.cpp \
     yoyinflationcoupon.cpp \
     zeroinflationcashflow.cpp
@@ -100,7 +101,7 @@ 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. */" >> ${srcdir}/$@
 	echo >> ${srcdir}/$@
-	for i in $(filter-out all.hpp, $(this_include_HEADERS)); do \
+	for i in $(filter-out all.hpp subperiodcoupon.hpp, $(this_include_HEADERS)); do \
 		echo "#include <${subdir}/$$i>" >> ${srcdir}/$@; \
 	done
 	echo >> ${srcdir}/$@

diff --git a/ql/cashflows/all.hpp b/ql/cashflows/all.hpp
@@ -25,13 +25,13 @@
 #include <ql/cashflows/inflationcoupon.hpp>
 #include <ql/cashflows/inflationcouponpricer.hpp>
 #include <ql/cashflows/lineartsrpricer.hpp>
+#include <ql/cashflows/multipleresetscoupon.hpp>
 #include <ql/cashflows/overnightindexedcoupon.hpp>
 #include <ql/cashflows/overnightindexedcouponpricer.hpp>
 #include <ql/cashflows/rangeaccrual.hpp>
 #include <ql/cashflows/rateaveraging.hpp>
 #include <ql/cashflows/replication.hpp>
 #include <ql/cashflows/simplecashflow.hpp>
-#include <ql/cashflows/subperiodcoupon.hpp>
 #include <ql/cashflows/timebasket.hpp>
 #include <ql/cashflows/yoyinflationcoupon.hpp>
 #include <ql/cashflows/zeroinflationcashflow.hpp>

diff --git a/ql/cashflows/couponpricer.cpp b/ql/cashflows/couponpricer.cpp
@@ -26,7 +26,7 @@
 #include <ql/cashflows/digitalcoupon.hpp>
 #include <ql/cashflows/digitaliborcoupon.hpp>
 #include <ql/cashflows/rangeaccrual.hpp>
-#include <ql/cashflows/subperiodcoupon.hpp>
+#include <ql/cashflows/multipleresetscoupon.hpp>
 #include <ql/experimental/coupons/cmsspreadcoupon.hpp>        /* internal */
 #include <ql/experimental/coupons/digitalcmsspreadcoupon.hpp> /* internal */
 #include <ql/pricingengines/blackformula.hpp>
@@ -253,7 +253,7 @@ namespace QuantLib {
                              public Visitor<DigitalCmsCoupon>,
                              public Visitor<DigitalCmsSpreadCoupon>,
                              public Visitor<RangeAccrualFloatersCoupon>,
-                             public Visitor<SubPeriodsCoupon> {
+                             public Visitor<MultipleResetsCoupon> {
           private:
             ext::shared_ptr<FloatingRateCouponPricer> pricer_;
           public:
@@ -274,7 +274,7 @@ namespace QuantLib {
             void visit(DigitalCmsCoupon& c) override;
             void visit(DigitalCmsSpreadCoupon& c) override;
             void visit(RangeAccrualFloatersCoupon& c) override;
-            void visit(SubPeriodsCoupon& c) override;
+            void visit(MultipleResetsCoupon& c) override;
         };
 
         void PricerSetter::visit(CashFlow&) {
@@ -386,12 +386,11 @@ namespace QuantLib {
             c.setPricer(rangeAccrualPricer);
         }
 
-        void PricerSetter::visit(SubPeriodsCoupon& c) {
-            const ext::shared_ptr<SubPeriodsPricer> subPeriodsPricer =
-                ext::dynamic_pointer_cast<SubPeriodsPricer>(pricer_);
-            QL_REQUIRE(subPeriodsPricer,
-                       "pricer not compatible with sub-period coupon");
-            c.setPricer(subPeriodsPricer);
+        void PricerSetter::visit(MultipleResetsCoupon& c) {
+            const ext::shared_ptr<MultipleResetsPricer> pricer =
+                ext::dynamic_pointer_cast<MultipleResetsPricer>(pricer_);
+            QL_REQUIRE(pricer, "pricer not compatible with multiple-resets coupon");
+            c.setPricer(pricer);
         }
 
         void setCouponPricersFirstMatching(const Leg& leg,