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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
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 ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
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.
*/
/*! \file swap.cpp
\brief Interest rate swap
\fullpath
ql/Instruments/%swap.cpp
*/
// $Id: swap.cpp,v 1.11 2002/03/05 16:58:02 lballabio Exp $
#include <ql/Instruments/swap.hpp>
#include <ql/CashFlows/coupon.hpp>
namespace QuantLib {
using CashFlows::Coupon;
namespace Instruments {
Swap::Swap(const std::vector<Handle<CashFlow> >& firstLeg,
const std::vector<Handle<CashFlow> >& secondLeg,
const RelinkableHandle<TermStructure>& termStructure,
const std::string& isinCode, const std::string& description)
: Instrument(isinCode,description), firstLeg_(firstLeg),
secondLeg_(secondLeg), termStructure_(termStructure) {
registerWith(termStructure_);
std::vector<Handle<CashFlow> >::iterator i;
for (i = firstLeg_.begin(); i!= firstLeg_.end(); ++i)
registerWith(*i);
for (i = secondLeg_.begin(); i!= secondLeg_.end(); ++i)
registerWith(*i);
}
void Swap::performCalculations() const {
QL_REQUIRE(!termStructure_.isNull(),
"Swap::performCalculations trying to price swap "
"on null term structure");
Date settlement = termStructure_->settlementDate();
NPV_ = 0.0;
firstLegBPS_ = 0.0;
secondLegBPS_ = 0.0;
isExpired_ = true;
// subtract first leg cash flows and BPS
for (Size i=0; i<firstLeg_.size(); i++) {
Date cashFlowDate = firstLeg_[i]->date();
if (cashFlowDate >= settlement) {
isExpired_ = false; // keeping track of whether this
// was already set isn't worth the
// effort
NPV_ -= firstLeg_[i]->amount() *
termStructure_->discount(cashFlowDate);
Handle<Coupon> coupon = firstLeg_[i];
// check that the downcast succeeded
// and subtract coupon sensitivity
if (!coupon.isNull()) {
firstLegBPS_ -= coupon->accrualPeriod() *
coupon->nominal() *
termStructure_->discount(coupon->date());
}
}
}
// add second leg cash flows and BPS
for (Size j=0; j<secondLeg_.size(); j++) {
Date cashFlowDate = secondLeg_[j]->date();
if (cashFlowDate >= settlement) {
isExpired_ = false;
NPV_ += secondLeg_[j]->amount() *
termStructure_->discount(cashFlowDate);
Handle<Coupon> coupon = secondLeg_[j];
// check that the downcast succeeded
// and add coupon sensitivity
if (!coupon.isNull()) {
secondLegBPS_ += coupon->accrualPeriod() *
coupon->nominal() *
termStructure_->discount(coupon->date());
}
}
}
}
}
}
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