text: /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
  
  /*
   Copyright (C) 2006, 2007 Cristina Duminuco
   Copyright (C) 2006, 2009 StatPro Italia srl
   Copyright (C) 2007 Giorgio Facchinetti
  
   This file is part of QuantLib, a free-software/open-source library
   for financial quantitative analysts and developers - http://quantlib.org/
  
   QuantLib is free software: you can redistribute it and/or modify it
   under the terms of the QuantLib license.  You should have received a
   copy of the license along with this program; if not, please email
   <quantlib-dev@lists.sf.net>. The license is also available online at
   <http://quantlib.org/license.shtml>.
  
   This program is distributed in the hope that it will be useful, but WITHOUT
   ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
   FOR A PARTICULAR PURPOSE.  See the license for more details.
  */
  
  #include <ql/cashflows/capflooredcoupon.hpp>
  #include <ql/cashflows/couponpricer.hpp>
  
  namespace QuantLib {
  
      CappedFlooredCoupon::CappedFlooredCoupon(
                    const ext::shared_ptr<FloatingRateCoupon>& underlying,
                    Rate cap, Rate floor)
      : FloatingRateCoupon(underlying->date(),
                           underlying->nominal(),
                           underlying->accrualStartDate(),
                           underlying->accrualEndDate(),
                           underlying->fixingDays(),
                           underlying->index(),
                           underlying->gearing(),
                           underlying->spread(),
                           underlying->referencePeriodStart(),
                           underlying->referencePeriodEnd(),
                           underlying->dayCounter(),
                           underlying->isInArrears(),
                           underlying->exCouponDate()),
        underlying_(underlying),
        isCapped_(false), isFloored_(false) {
  
          if (gearing_ > 0) {
              if (cap != Null<Rate>()) {
                  isCapped_ = true;
                  cap_ = cap;
              }
              if (floor != Null<Rate>()) {
                  floor_ = floor;
                  isFloored_ = true;
              }
          } else {
                if (cap != Null<Rate>()){
                  floor_ = cap;
                  isFloored_ = true;
                }
                if (floor != Null<Rate>()){
                  isCapped_ = true;
                  cap_ = floor;
                }
          }
  
          if (isCapped_ && isFloored_) {
              QL_REQUIRE(cap >= floor,
                         "cap level (" << cap <<
                         ") less than floor level (" << floor << ")");
          }
  
          registerWith(underlying);
      }
  
      void CappedFlooredCoupon::setPricer(
                   const ext::shared_ptr<FloatingRateCouponPricer>& pricer) {
          FloatingRateCoupon::setPricer(pricer);
          underlying_->setPricer(pricer);
      }
  
      Rate CappedFlooredCoupon::rate() const {
          QL_REQUIRE(underlying_->pricer(), "pricer not set");
          Rate swapletRate = underlying_->rate();
          Rate floorletRate = 0.;
          if(isFloored_)
              floorletRate = underlying_->pricer()->floorletRate(effectiveFloor());
          Rate capletRate = 0.;
          if(isCapped_)
              capletRate = underlying_->pricer()->capletRate(effectiveCap());
          return swapletRate + floorletRate - capletRate;
      }
  
      Rate CappedFlooredCoupon::convexityAdjustment() const {
          return underlying_->convexityAdjustment();
      }
  
      Rate CappedFlooredCoupon::cap() const {
          if ( (gearing_ > 0) && isCapped_)
                  return cap_;
          if ( (gearing_ < 0) && isFloored_)
              return floor_;
          return Null<Rate>();
      }
  
      Rate CappedFlooredCoupon::floor() const {
          if ( (gearing_ > 0) && isFloored_)
              return floor_;
          if ( (gearing_ < 0) && isCapped_)
              return cap_;
          return Null<Rate>();
      }
  
      Rate CappedFlooredCoupon::effectiveCap() const {
          if (isCapped_)
              return (cap_ - spread())/gearing();
          else
              return Null<Rate>();
      }
  
      Rate CappedFlooredCoupon::effectiveFloor() const {
          if (isFloored_)
              return (floor_ - spread())/gearing();
          else
              return Null<Rate>();
      }
  
      void CappedFlooredCoupon::update() {
          notifyObservers();
      }
  
      void CappedFlooredCoupon::accept(AcyclicVisitor& v) {
          typedef FloatingRateCoupon super;
          auto* v1 = dynamic_cast<Visitor<CappedFlooredCoupon>*>(&v);
          if (v1 != nullptr)
              v1->visit(*this);
          else
              super::accept(v);
      }
  
  }
  