-
Notifications
You must be signed in to change notification settings - Fork 1.8k
Commit
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
Add common fixed-vs-floater base class for vanilla swap and OIS (#1789)
- Loading branch information
Showing
20 changed files
with
608 additions
and
490 deletions.
There are no files selected for viewing
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,246 @@ | ||
| /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ | ||
|
|
||
| /* | ||
| Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl | ||
| Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl | ||
| Copyright (C) 2007 Ferdinando Ametrano | ||
| 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 | ||
| <[email protected]>. 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/cashflows.hpp> | ||
| #include <ql/cashflows/cashflowvectors.hpp> | ||
| #include <ql/cashflows/couponpricer.hpp> | ||
| #include <ql/cashflows/fixedratecoupon.hpp> | ||
| #include <ql/indexes/iborindex.hpp> | ||
| #include <ql/instruments/fixedvsfloatingswap.hpp> | ||
| #include <ql/termstructures/yieldtermstructure.hpp> | ||
| #include <utility> | ||
|
|
||
| namespace QuantLib { | ||
|
|
||
| FixedVsFloatingSwap::FixedVsFloatingSwap(Type type, | ||
| std::vector<Real> fixedNominals, | ||
| Schedule fixedSchedule, | ||
| Rate fixedRate, | ||
| DayCounter fixedDayCount, | ||
| std::vector<Real> floatingNominals, | ||
| Schedule floatingSchedule, | ||
| ext::shared_ptr<IborIndex> iborIndex, | ||
| Spread spread, | ||
| DayCounter floatingDayCount, | ||
| ext::optional<BusinessDayConvention> paymentConvention, | ||
| Natural paymentLag, | ||
| const Calendar& paymentCalendar) | ||
| : Swap(2), type_(type), fixedNominals_(std::move(fixedNominals)), fixedSchedule_(std::move(fixedSchedule)), | ||
| fixedRate_(fixedRate), fixedDayCount_(std::move(fixedDayCount)), | ||
| floatingNominals_(std::move(floatingNominals)), floatingSchedule_(std::move(floatingSchedule)), | ||
| iborIndex_(std::move(iborIndex)), spread_(spread), floatingDayCount_(std::move(floatingDayCount)) { | ||
|
|
||
| QL_REQUIRE(iborIndex_, "null floating index provided"); | ||
|
|
||
| if (fixedDayCount_ == DayCounter()) | ||
| fixedDayCount_ = iborIndex_->dayCounter(); | ||
|
|
||
| if (paymentConvention) // NOLINT(readability-implicit-bool-conversion) | ||
| paymentConvention_ = *paymentConvention; | ||
| else | ||
| paymentConvention_ = floatingSchedule_.businessDayConvention(); | ||
|
|
||
| legs_[0] = FixedRateLeg(fixedSchedule_) | ||
| .withNotionals(fixedNominals_) | ||
| .withCouponRates(fixedRate_, fixedDayCount_) | ||
| .withPaymentAdjustment(paymentConvention_) | ||
| .withPaymentLag(paymentLag) | ||
| .withPaymentCalendar(paymentCalendar.empty() ? | ||
| fixedSchedule_.calendar() : | ||
| paymentCalendar); | ||
|
|
||
| // legs_[1] to be built by derived class constructor | ||
|
|
||
| switch (type_) { | ||
| case Payer: | ||
| payer_[0] = -1.0; | ||
| payer_[1] = +1.0; | ||
| break; | ||
| case Receiver: | ||
| payer_[0] = +1.0; | ||
| payer_[1] = -1.0; | ||
| break; | ||
| default: | ||
| QL_FAIL("Unknown vanilla-swap type"); | ||
| } | ||
|
|
||
|
|
||
| // These bools tell us if we can support the old methods nominal() and nominals(). | ||
| // There might be false negatives (i.e., if we pass constant vectors of different lengths | ||
| // as fixedNominals and floatingNominals) but we're going to assume that whoever uses the | ||
| // constructor with two vectors is mostly going to use the new methods instead. | ||
| sameNominals_ = std::equal(fixedNominals_.begin(), fixedNominals_.end(), | ||
| floatingNominals_.begin(), floatingNominals_.end()); | ||
| if (!sameNominals_) { | ||
| constantNominals_ = false; | ||
| } else { | ||
| constantNominals_ = true; | ||
| Real front = fixedNominals_[0]; | ||
| for (auto x : fixedNominals_) { | ||
| if (x != front) { | ||
| constantNominals_ = false; | ||
| break; | ||
| } | ||
| } | ||
| } | ||
| } | ||
|
|
||
| void FixedVsFloatingSwap::setupArguments(PricingEngine::arguments* args) const { | ||
|
|
||
| Swap::setupArguments(args); | ||
|
|
||
| auto* arguments = dynamic_cast<FixedVsFloatingSwap::arguments*>(args); | ||
|
|
||
| if (arguments == nullptr) // it's a swap engine... | ||
| return; | ||
|
|
||
| arguments->type = type_; | ||
|
|
||
| if (constantNominals_) | ||
| arguments->nominal = nominal(); | ||
| else | ||
| arguments->nominal = Null<Real>(); | ||
|
|
||
| const Leg& fixedCoupons = fixedLeg(); | ||
| Size n = fixedCoupons.size(); | ||
|
|
||
| arguments->fixedResetDates = arguments->fixedPayDates = std::vector<Date>(n); | ||
| arguments->fixedNominals = arguments->fixedCoupons = std::vector<Real>(n); | ||
|
|
||
| for (Size i=0; i<n; ++i) { | ||
| auto coupon = ext::dynamic_pointer_cast<FixedRateCoupon>(fixedCoupons[i]); | ||
|
|
||
| arguments->fixedPayDates[i] = coupon->date(); | ||
| arguments->fixedResetDates[i] = coupon->accrualStartDate(); | ||
| arguments->fixedCoupons[i] = coupon->amount(); | ||
| arguments->fixedNominals[i] = coupon->nominal(); | ||
| } | ||
|
|
||
| setupFloatingArguments(arguments); | ||
| } | ||
|
|
||
| Rate FixedVsFloatingSwap::fairRate() const { | ||
| calculate(); | ||
| QL_REQUIRE(fairRate_ != Null<Rate>(), "result not available"); | ||
| return fairRate_; | ||
| } | ||
|
|
||
| Spread FixedVsFloatingSwap::fairSpread() const { | ||
| calculate(); | ||
| QL_REQUIRE(fairSpread_ != Null<Spread>(), "result not available"); | ||
| return fairSpread_; | ||
| } | ||
|
|
||
| Real FixedVsFloatingSwap::fixedLegBPS() const { | ||
| calculate(); | ||
| QL_REQUIRE(legBPS_[0] != Null<Real>(), "result not available"); | ||
| return legBPS_[0]; | ||
| } | ||
|
|
||
| Real FixedVsFloatingSwap::floatingLegBPS() const { | ||
| calculate(); | ||
| QL_REQUIRE(legBPS_[1] != Null<Real>(), "result not available"); | ||
| return legBPS_[1]; | ||
| } | ||
|
|
||
| Real FixedVsFloatingSwap::fixedLegNPV() const { | ||
| calculate(); | ||
| QL_REQUIRE(legNPV_[0] != Null<Real>(), "result not available"); | ||
| return legNPV_[0]; | ||
| } | ||
|
|
||
| Real FixedVsFloatingSwap::floatingLegNPV() const { | ||
| calculate(); | ||
| QL_REQUIRE(legNPV_[1] != Null<Real>(), "result not available"); | ||
| return legNPV_[1]; | ||
| } | ||
|
|
||
| void FixedVsFloatingSwap::setupExpired() const { | ||
| Swap::setupExpired(); | ||
| legBPS_[0] = legBPS_[1] = 0.0; | ||
| fairRate_ = Null<Rate>(); | ||
| fairSpread_ = Null<Spread>(); | ||
| } | ||
|
|
||
| void FixedVsFloatingSwap::fetchResults(const PricingEngine::results* r) const { | ||
| static const Spread basisPoint = 1.0e-4; | ||
|
|
||
| Swap::fetchResults(r); | ||
|
|
||
| const auto* results = dynamic_cast<const FixedVsFloatingSwap::results*>(r); | ||
| if (results != nullptr) { // might be a swap engine, so no error is thrown | ||
| fairRate_ = results->fairRate; | ||
| fairSpread_ = results->fairSpread; | ||
| } else { | ||
| fairRate_ = Null<Rate>(); | ||
| fairSpread_ = Null<Spread>(); | ||
| } | ||
|
|
||
| if (fairRate_ == Null<Rate>()) { | ||
| // calculate it from other results | ||
| if (legBPS_[0] != Null<Real>()) | ||
| fairRate_ = fixedRate_ - NPV_/(legBPS_[0]/basisPoint); | ||
| } | ||
| if (fairSpread_ == Null<Spread>()) { | ||
| // ditto | ||
| if (legBPS_[1] != Null<Real>()) | ||
| fairSpread_ = spread_ - NPV_/(legBPS_[1]/basisPoint); | ||
| } | ||
| } | ||
|
|
||
| void FixedVsFloatingSwap::arguments::validate() const { | ||
| Swap::arguments::validate(); | ||
| QL_REQUIRE(fixedNominals.size() == fixedPayDates.size(), | ||
| "number of fixed nominals different from " | ||
| "number of fixed payment dates"); | ||
| QL_REQUIRE(fixedResetDates.size() == fixedPayDates.size(), | ||
| "number of fixed start dates different from " | ||
| "number of fixed payment dates"); | ||
| QL_REQUIRE(fixedPayDates.size() == fixedCoupons.size(), | ||
| "number of fixed payment dates different from " | ||
| "number of fixed coupon amounts"); | ||
| QL_REQUIRE(floatingNominals.size() == floatingPayDates.size(), | ||
| "number of floating nominals different from " | ||
| "number of floating payment dates"); | ||
| QL_REQUIRE(floatingResetDates.size() == floatingPayDates.size(), | ||
| "number of floating start dates different from " | ||
| "number of floating payment dates"); | ||
| QL_REQUIRE(floatingFixingDates.size() == floatingPayDates.size(), | ||
| "number of floating fixing dates different from " | ||
| "number of floating payment dates"); | ||
| QL_REQUIRE(floatingAccrualTimes.size() == floatingPayDates.size(), | ||
| "number of floating accrual Times different from " | ||
| "number of floating payment dates"); | ||
| QL_REQUIRE(floatingSpreads.size() == floatingPayDates.size(), | ||
| "number of floating spreads different from " | ||
| "number of floating payment dates"); | ||
| QL_REQUIRE(floatingPayDates.size() == floatingCoupons.size(), | ||
| "number of floating payment dates different from " | ||
| "number of floating coupon amounts"); | ||
| } | ||
|
|
||
| void FixedVsFloatingSwap::results::reset() { | ||
| Swap::results::reset(); | ||
| fairRate = Null<Rate>(); | ||
| fairSpread = Null<Spread>(); | ||
| } | ||
|
|
||
| } |
Oops, something went wrong.