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Merge DatedOISRateHelper with OISRateHelper #2103

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merged 4 commits into from
Oct 25, 2024
Merged

Merge DatedOISRateHelper with OISRateHelper #2103

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912c944
Merge DatedOISRateHelper with OISRateHelper
eltoder Oct 22, 2024
db71299
Use explicit bool, not implicit null date
lballabio Oct 25, 2024
fcc3a12
Avoid obsolete macro
lballabio Oct 25, 2024
458f24b
Keep a test for the deprecated class while it's still there
lballabio Oct 25, 2024
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2 changes: 1 addition & 1 deletion Examples/MulticurveBootstrapping/MulticurveBootstrapping.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -153,7 +153,7 @@ int main(int, char* []) {
auto startDate = q.first.first;
auto endDate = q.first.second;
auto quote = q.second;
auto helper = ext::make_shared<DatedOISRateHelper>(
auto helper = ext::make_shared<OISRateHelper>(
startDate, endDate, Handle<Quote>(quote), eonia);
eoniaInstruments.push_back(helper);
}
Expand Down
3 changes: 2 additions & 1 deletion ql/instruments/makeois.cpp
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Expand Up @@ -192,7 +192,8 @@ namespace QuantLib {

MakeOIS& MakeOIS::withTerminationDate(const Date& terminationDate) {
terminationDate_ = terminationDate;
swapTenor_ = Period();
if (terminationDate != Date())
swapTenor_ = Period();
return *this;
}

Expand Down
33 changes: 19 additions & 14 deletions ql/termstructures/bootstraphelper.hpp
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Expand Up @@ -38,8 +38,7 @@
namespace QuantLib {

struct Pillar {
//! Enumeration for pillar determination alternatives
/*! These alternatives specify the determination of the pillar date. */
//! Alternatives ways of determining the pillar date
enum Choice {
MaturityDate, //! instruments maturity date
LastRelevantDate, //! last date relevant for instrument pricing
Expand Down Expand Up @@ -128,12 +127,14 @@ namespace QuantLib {
template <class TS>
class RelativeDateBootstrapHelper : public BootstrapHelper<TS> {
public:
explicit RelativeDateBootstrapHelper(const Handle<Quote>& quote);
explicit RelativeDateBootstrapHelper(Real quote);
explicit RelativeDateBootstrapHelper(const Handle<Quote>& quote,
bool updateDates = true);
explicit RelativeDateBootstrapHelper(Real quote,
bool updateDates = true);
//! \name Observer interface
//@{
void update() override {
if (evaluationDate_ != Settings::instance().evaluationDate()) {
if (updateDates_ && evaluationDate_ != Settings::instance().evaluationDate()) {
evaluationDate_ = Settings::instance().evaluationDate();
initializeDates();
}
Expand All @@ -143,6 +144,8 @@ namespace QuantLib {
protected:
virtual void initializeDates() = 0;
Date evaluationDate_;
private:
bool updateDates_;
};

// template definitions
Expand Down Expand Up @@ -210,20 +213,22 @@ namespace QuantLib {
QL_FAIL("not a bootstrap-helper visitor");
}


template <class TS>
RelativeDateBootstrapHelper<TS>::RelativeDateBootstrapHelper(
const Handle<Quote>& quote)
: BootstrapHelper<TS>(quote) {
this->registerWith(Settings::instance().evaluationDate());
evaluationDate_ = Settings::instance().evaluationDate();
const Handle<Quote>& quote, bool updateDates)
: BootstrapHelper<TS>(quote), updateDates_(updateDates) {
if (updateDates) {
this->registerWith(Settings::instance().evaluationDate());
evaluationDate_ = Settings::instance().evaluationDate();
}
}

template <class TS>
RelativeDateBootstrapHelper<TS>::RelativeDateBootstrapHelper(Real quote)
: BootstrapHelper<TS>(quote) {
this->registerWith(Settings::instance().evaluationDate());
evaluationDate_ = Settings::instance().evaluationDate();
}
RelativeDateBootstrapHelper<TS>::RelativeDateBootstrapHelper(
Real quote, bool updateDates)
: RelativeDateBootstrapHelper<TS>(makeQuoteHandle(quote), updateDates) {}


inline std::ostream& operator<<(std::ostream& out,
Pillar::Choice t) {
Expand Down
132 changes: 47 additions & 85 deletions ql/termstructures/yield/oisratehelper.cpp
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Expand Up @@ -50,16 +50,53 @@ namespace QuantLib {
Natural lockoutDays,
bool applyObservationShift,
ext::shared_ptr<FloatingRateCouponPricer> pricer)
: RelativeDateRateHelper(fixedRate), pillarChoice_(pillar), settlementDays_(settlementDays), tenor_(tenor),
: RelativeDateRateHelper(fixedRate), settlementDays_(settlementDays), tenor_(tenor),
discountHandle_(std::move(discount)), telescopicValueDates_(telescopicValueDates),
paymentLag_(paymentLag), paymentConvention_(paymentConvention),
paymentFrequency_(paymentFrequency), paymentCalendar_(std::move(paymentCalendar)),
forwardStart_(forwardStart), overnightSpread_(overnightSpread),
forwardStart_(forwardStart), overnightSpread_(overnightSpread), pillarChoice_(pillar),
averagingMethod_(averagingMethod), endOfMonth_(endOfMonth),
fixedPaymentFrequency_(fixedPaymentFrequency), fixedCalendar_(std::move(fixedCalendar)),
lookbackDays_(lookbackDays), lockoutDays_(lockoutDays), applyObservationShift_(applyObservationShift),
pricer_(std::move(pricer)) {
initialize(overnightIndex, customPillarDate);
}

OISRateHelper::OISRateHelper(const Date& startDate,
const Date& endDate,
const Handle<Quote>& fixedRate,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
Handle<YieldTermStructure> discount,
bool telescopicValueDates,
Integer paymentLag,
BusinessDayConvention paymentConvention,
Frequency paymentFrequency,
Calendar paymentCalendar,
const Spread overnightSpread,
Pillar::Choice pillar,
Date customPillarDate,
RateAveraging::Type averagingMethod,
ext::optional<bool> endOfMonth,
ext::optional<Frequency> fixedPaymentFrequency,
Calendar fixedCalendar,
Natural lookbackDays,
Natural lockoutDays,
bool applyObservationShift,
ext::shared_ptr<FloatingRateCouponPricer> pricer)
: RelativeDateRateHelper(fixedRate, false), startDate_(startDate), endDate_(endDate),
discountHandle_(std::move(discount)), telescopicValueDates_(telescopicValueDates),
paymentLag_(paymentLag), paymentConvention_(paymentConvention),
paymentFrequency_(paymentFrequency), paymentCalendar_(std::move(paymentCalendar)),
overnightSpread_(overnightSpread), pillarChoice_(pillar),
averagingMethod_(averagingMethod), endOfMonth_(endOfMonth),
fixedPaymentFrequency_(fixedPaymentFrequency), fixedCalendar_(std::move(fixedCalendar)),
lookbackDays_(lookbackDays), lockoutDays_(lockoutDays), applyObservationShift_(applyObservationShift),
pricer_(std::move(pricer)) {
initialize(overnightIndex, customPillarDate);
}

void OISRateHelper::initialize(const ext::shared_ptr<OvernightIndex>& overnightIndex,
Date customPillarDate) {
overnightIndex_ =
ext::dynamic_pointer_cast<OvernightIndex>(overnightIndex->clone(termStructureHandle_));
// We want to be notified of changes of fixings, but we don't
Expand All @@ -75,12 +112,13 @@ namespace QuantLib {
}

void OISRateHelper::initializeDates() {

// input discount curve Handle might be empty now but it could
// be assigned a curve later; use a RelinkableHandle here
MakeOIS tmp = MakeOIS(tenor_, overnightIndex_, 0.0, forwardStart_)
auto tmp = MakeOIS(tenor_, overnightIndex_, 0.0, forwardStart_)
.withDiscountingTermStructure(discountRelinkableHandle_)
.withSettlementDays(settlementDays_)
.withSettlementDays(settlementDays_) // resets effectiveDate
.withEffectiveDate(startDate_)
.withTerminationDate(endDate_)
.withTelescopicValueDates(telescopicValueDates_)
.withPaymentLag(paymentLag_)
.withPaymentAdjustment(paymentConvention_)
Expand Down Expand Up @@ -187,55 +225,10 @@ namespace QuantLib {
Natural lockoutDays,
bool applyObservationShift,
const ext::shared_ptr<FloatingRateCouponPricer>& pricer)
: RateHelper(fixedRate), discountHandle_(std::move(discount)),
telescopicValueDates_(telescopicValueDates), averagingMethod_(averagingMethod) {

auto clonedOvernightIndex =
ext::dynamic_pointer_cast<OvernightIndex>(overnightIndex->clone(termStructureHandle_));
// We want to be notified of changes of fixings, but we don't
// want notifications from termStructureHandle_ (they would
// interfere with bootstrapping.)
clonedOvernightIndex->unregisterWith(termStructureHandle_);

registerWith(clonedOvernightIndex);
registerWith(discountHandle_);

// input discount curve Handle might be empty now but it could
// be assigned a curve later; use a RelinkableHandle here
auto tmp = MakeOIS(Period(), clonedOvernightIndex, 0.0)
.withDiscountingTermStructure(discountRelinkableHandle_)
.withEffectiveDate(startDate)
.withTerminationDate(endDate)
.withTelescopicValueDates(telescopicValueDates_)
.withPaymentLag(paymentLag)
.withPaymentAdjustment(paymentConvention)
.withPaymentFrequency(paymentFrequency)
.withPaymentCalendar(paymentCalendar)
.withOvernightLegSpread(overnightSpread)
.withAveragingMethod(averagingMethod_)
.withLookbackDays(lookbackDays)
.withLockoutDays(lockoutDays)
.withObservationShift(applyObservationShift);
if (endOfMonth) {
tmp.withEndOfMonth(*endOfMonth);
}
if (fixedPaymentFrequency) {
tmp.withFixedLegPaymentFrequency(*fixedPaymentFrequency);
}
if (!fixedCalendar.empty()) {
tmp.withFixedLegCalendar(fixedCalendar);
}
swap_ = tmp;

if (pricer)
setCouponPricer(swap_->overnightLeg(), pricer);

earliestDate_ = swap_->startDate();
maturityDate_ = swap_->maturityDate();
Date lastPaymentDate = std::max(swap_->overnightLeg().back()->date(),
swap_->fixedLeg().back()->date());
latestRelevantDate_ = latestDate_ = std::max(maturityDate_, lastPaymentDate);
}
: OISRateHelper(startDate, endDate, fixedRate, overnightIndex, std::move(discount), telescopicValueDates,
paymentLag, paymentConvention, paymentFrequency, paymentCalendar, overnightSpread,
Pillar::LastRelevantDate, Date(), averagingMethod, endOfMonth, fixedPaymentFrequency,
fixedCalendar, lookbackDays, lockoutDays, applyObservationShift, pricer) {}

DatedOISRateHelper::DatedOISRateHelper(const Date& startDate,
const Date& endDate,
Expand All @@ -257,35 +250,4 @@ namespace QuantLib {
averagingMethod, paymentLag, paymentConvention, paymentFrequency, paymentCalendar,
overnightSpread, endOfMonth, fixedPaymentFrequency, fixedCalendar) {}

void DatedOISRateHelper::setTermStructure(YieldTermStructure* t) {
// do not set the relinkable handle as an observer -
// force recalculation when needed
bool observer = false;

ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());
termStructureHandle_.linkTo(temp, observer);

if (discountHandle_.empty())
discountRelinkableHandle_.linkTo(temp, observer);
else
discountRelinkableHandle_.linkTo(*discountHandle_, observer);

RateHelper::setTermStructure(t);
}

Real DatedOISRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
// we didn't register as observers - force calculation
swap_->deepUpdate();
return swap_->fairRate();
}

void DatedOISRateHelper::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<DatedOISRateHelper>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
RateHelper::accept(v);
}

}
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