add amortizing floating rate bond

quantlib/instruments/bonds/_amortizingfloatingratebond.pxd

@@ -0,0 +1,36 @@
+from quantlib.types cimport Integer, Natural, Rate, Real, Spread
+from libcpp cimport bool
+from quantlib.handle cimport shared_ptr
+from quantlib.indexes._ibor_index cimport IborIndex
+from quantlib.time.businessdayconvention cimport BusinessDayConvention
+from quantlib.time._calendar cimport Calendar
+from quantlib.time._date cimport Date
+from quantlib.time._period cimport Period
+from quantlib.time._daycounter cimport DayCounter
+from quantlib.time._schedule cimport Schedule
+from libcpp.vector cimport vector
+from .._bond cimport Bond
+
+cdef extern from "ql/instruments/bonds/amortizingfloatingratebond.hpp" namespace "QuantLib" nogil:
+    cdef cppclass AmortizingFloatingRateBond(Bond):
+        AmortizingFloatingRateBond(
+            Natural settlementDays,
+            const vector[Real]& notional,
+            const Schedule& schedule,
+            const shared_ptr[IborIndex]& index,
+            const DayCounter& accrualDayCounter,
+            BusinessDayConvention paymentConvention,# = Following,
+            Natural fixingDays,# = Null<Natural>(),
+            const vector[Real]& gearings, # = { 1.0 },
+            const vector[Spread]& spreads, # = { 0.0 },
+            const vector[Rate]& caps, # = {},
+            const vector[Rate]& floors, # = {},
+            bool inArrears,# = false,
+            const Date& issueDate,# = Date(),
+            const Period& exCouponPeriod,# = Period(),
+            const Calendar& exCouponCalendar,# = Calendar(),
+            BusinessDayConvention exCouponConvention,# = Unadjusted,
+            bool exCouponEndOfMonth, # = false,
+            const vector[Real]& redemptions, #= { 100.0 },
+            Integer paymentLag # = 0
+        ) except +

quantlib/instruments/bonds/amortizingfloatingratebond.pxd

@@ -0,0 +1,4 @@
+from ..bond cimport Bond
+
+cdef class AmortizingFloatingRateBond(Bond):
+    pass

quantlib/instruments/bonds/amortizingfloatingratebond.pyx

@@ -0,0 +1,38 @@
+from cython.operator cimport dereference as deref
+from libcpp cimport bool
+from libcpp.vector cimport vector
+
+from quantlib.handle cimport static_pointer_cast
+cimport quantlib.indexes._ibor_index as _ii
+from quantlib.indexes.ibor_index cimport IborIndex
+from quantlib.types cimport Natural, Integer, Real, Rate, Spread
+from quantlib.time.businessdayconvention cimport BusinessDayConvention, Following, Unadjusted
+from quantlib.time.schedule cimport Schedule
+from quantlib.time.daycounter cimport DayCounter
+from quantlib.time.date cimport Date, Period
+from quantlib.time.calendar cimport Calendar
+from quantlib.utilities.null cimport Null
+from . cimport _amortizingfloatingratebond as _afb
+
+cdef class AmortizingFloatingRateBond(Bond):
+    def __init__(self, Natural settlement_days, vector[Real] notional, Schedule schedule, IborIndex index, DayCounter accrual_day_counter,
+                 BusinessDayConvention payment_convention = Following, Natural fixing_days = Null[Natural](), vector[Real] gearings = [1.0],
+                 vector[Spread] spreads = [0.0],
+                 vector[Rate] caps=[], vector[Rate] floors=[], bool in_arrears = False, Date issue_date = Date(),
+                 Period ex_coupon_period = Period(), Calendar ex_coupon_calendar=Calendar(),
+                 BusinessDayConvention ex_coupon_convention=Unadjusted,
+                 bool ex_coupon_end_of_month=False,
+                 vector[Real] redemptions=[100.0],
+                 Integer payment_lag = 0):
+        self._thisptr.reset(
+            new _afb.AmortizingFloatingRateBond(
+                settlement_days,
+                notional, schedule._thisptr, static_pointer_cast[_ii.IborIndex](index._thisptr),
+                deref(accrual_day_counter._thisptr), payment_convention, fixing_days, gearings,
+                spreads, caps, floors, in_arrears, deref(issue_date._thisptr),
+                deref(ex_coupon_period._thisptr), ex_coupon_calendar._thisptr,
+                ex_coupon_convention, ex_coupon_end_of_month,
+                redemptions,
+                payment_lag
+            )
+        )