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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 ratehelpers.cpp
\brief rate helpers base class
\fullpath
ql/TermStructures/%ratehelpers.cpp
*/
// $Id: ratehelpers.cpp,v 1.18 2002/03/07 14:06:18 lballabio Exp $
#include <ql/TermStructures/ratehelpers.hpp>
#include <ql/Indexes/euribor.hpp>
namespace QuantLib {
using Instruments::SimpleSwap;
using Indexes::Xibor;
using Indexes::Euribor;
namespace TermStructures {
RateHelper::RateHelper(const RelinkableHandle<MarketElement>& quote)
: quote_(quote), termStructure_(0) {
registerWith(quote_);
}
RateHelper::RateHelper(double quote)
: quote_(RelinkableHandle<MarketElement>(
Handle<MarketElement>(new SimpleMarketElement(quote)))),
termStructure_(0) {
registerWith(quote_);
}
void RateHelper::setTermStructure(TermStructure* t) {
QL_REQUIRE(t != 0, "RateHelper: null term structure given");
termStructure_ = t;
}
double RateHelper::quoteError() const {
return quote_->value()-impliedQuote();
}
DepositRateHelper::DepositRateHelper(
const RelinkableHandle<MarketElement>& rate,
int settlementDays, int n, TimeUnit units,
const Calendar& calendar, RollingConvention convention,
const DayCounter& dayCounter)
: RateHelper(rate), settlementDays_(settlementDays),
n_(n), units_(units), calendar_(calendar), convention_(convention),
dayCounter_(dayCounter) {}
DepositRateHelper::DepositRateHelper(double rate,
int settlementDays, int n, TimeUnit units,
const Calendar& calendar, RollingConvention convention,
const DayCounter& dayCounter)
: RateHelper(rate), settlementDays_(settlementDays),
n_(n), units_(units), calendar_(calendar), convention_(convention),
dayCounter_(dayCounter) {}
double DepositRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
return (termStructure_->discount(settlement_) /
termStructure_->discount(maturity_)-1.0) /
yearFraction_;
}
DiscountFactor DepositRateHelper::discountGuess() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
// extrapolation shouldn't be needed if the input makes sense
// but we'll play it safe
return termStructure_->discount(settlement_,true) /
(1.0+quote_->value()*yearFraction_);
}
void DepositRateHelper::setTermStructure(TermStructure* t) {
RateHelper::setTermStructure(t);
settlement_ = calendar_.advance(
termStructure_->todaysDate(),settlementDays_,Days);
maturity_ = calendar_.advance(
settlement_,n_,units_,convention_);
yearFraction_ = dayCounter_.yearFraction(settlement_,maturity_);
}
Date DepositRateHelper::maturity() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
return maturity_;
}
FraRateHelper::FraRateHelper(
const RelinkableHandle<MarketElement>& rate,
int settlementDays, int monthsToStart, int monthsToEnd,
const Calendar& calendar, RollingConvention convention,
const DayCounter& dayCounter)
: RateHelper(rate), settlementDays_(settlementDays),
monthsToStart_(monthsToStart), monthsToEnd_(monthsToEnd),
calendar_(calendar), convention_(convention),
dayCounter_(dayCounter) {}
FraRateHelper::FraRateHelper(double rate,
int settlementDays, int monthsToStart, int monthsToEnd,
const Calendar& calendar, RollingConvention convention,
const DayCounter& dayCounter)
: RateHelper(rate), settlementDays_(settlementDays),
monthsToStart_(monthsToStart), monthsToEnd_(monthsToEnd),
calendar_(calendar), convention_(convention),
dayCounter_(dayCounter) {}
double FraRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
return (termStructure_->discount(start_) /
termStructure_->discount(maturity_)-1.0) /
yearFraction_;
}
DiscountFactor FraRateHelper::discountGuess() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
// extrapolation shouldn't be needed if the input makes sense
// but we'll play it safe
return termStructure_->discount(start_,true) /
(1.0+quote_->value()*yearFraction_);
}
void FraRateHelper::setTermStructure(TermStructure* t) {
RateHelper::setTermStructure(t);
settlement_ = calendar_.advance(
termStructure_->todaysDate(),settlementDays_,Days);
start_ = calendar_.advance(
settlement_,monthsToStart_,Months,convention_);
maturity_ = calendar_.advance(
start_,monthsToEnd_-monthsToStart_,Months,convention_);
yearFraction_ = dayCounter_.yearFraction(start_,maturity_);
}
Date FraRateHelper::maturity() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
return maturity_;
}
FuturesRateHelper::FuturesRateHelper(
const RelinkableHandle<MarketElement>& price,
const Date& ImmDate, int settlementDays, int nMonths,
const Calendar& calendar, RollingConvention convention,
const DayCounter& dayCounter)
: RateHelper(price), ImmDate_(ImmDate),
settlementDays_(settlementDays), nMonths_(nMonths),
calendar_(calendar), convention_(convention),
dayCounter_(dayCounter) {
maturity_ = calendar_.advance(
ImmDate_, nMonths_, Months, convention_);
yearFraction_ = dayCounter_.yearFraction(ImmDate_, maturity_);
}
FuturesRateHelper::FuturesRateHelper(double price,
const Date& ImmDate, int settlementDays, int nMonths,
const Calendar& calendar, RollingConvention convention,
const DayCounter& dayCounter)
: RateHelper(price), ImmDate_(ImmDate),
settlementDays_(settlementDays), nMonths_(nMonths),
calendar_(calendar), convention_(convention),
dayCounter_(dayCounter) {
maturity_ = calendar_.advance(
ImmDate_, nMonths_, Months, convention_);
yearFraction_ = dayCounter_.yearFraction(ImmDate_, maturity_);
}
double FuturesRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
return 100 * (1.0-(termStructure_->discount(ImmDate_) /
termStructure_->discount(maturity_)-1.0) /
yearFraction_);
}
DiscountFactor FuturesRateHelper::discountGuess() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
// extrapolation shouldn't be needed if the input makes sense
// but we'll play it safe
return termStructure_->discount(ImmDate_,true) /
(1.0+(100.0-quote_->value())/100.0*yearFraction_);
}
Date FuturesRateHelper::maturity() const {
return maturity_;
}
SwapRateHelper::SwapRateHelper(
const RelinkableHandle<MarketElement>& rate,
int settlementDays, int lengthInYears,
const Calendar& calendar, RollingConvention convention,
int fixedFrequency, bool fixedIsAdjusted,
const DayCounter& fixedDayCount,
int floatingFrequency)
: RateHelper(rate), settlementDays_(settlementDays),
lengthInYears_(lengthInYears), calendar_(calendar),
convention_(convention),
fixedFrequency_(fixedFrequency),
floatingFrequency_(floatingFrequency),
fixedIsAdjusted_(fixedIsAdjusted),
fixedDayCount_(fixedDayCount) {}
SwapRateHelper::SwapRateHelper(double rate,
int settlementDays, int lengthInYears,
const Calendar& calendar, RollingConvention convention,
int fixedFrequency, bool fixedIsAdjusted,
const DayCounter& fixedDayCount,
int floatingFrequency)
: RateHelper(rate), settlementDays_(settlementDays),
lengthInYears_(lengthInYears), calendar_(calendar),
convention_(convention),
fixedFrequency_(fixedFrequency),
floatingFrequency_(floatingFrequency),
fixedIsAdjusted_(fixedIsAdjusted),
fixedDayCount_(fixedDayCount) {}
void SwapRateHelper::setTermStructure(TermStructure* t) {
// do not set the relinkable handle as an observer -
// force recalculation when needed
termStructureHandle_.linkTo(
Handle<TermStructure>(t,false),false);
RateHelper::setTermStructure(t);
settlement_ = calendar_.advance(
termStructure_->todaysDate(),settlementDays_,Days);
// dummy Libor index with curve/swap parameters
Handle<Xibor> dummyIndex(new Xibor("dummy",
12/floatingFrequency_,Months,settlementDays_,
EUR, // any would do
calendar_,true,convention_,
t->dayCounter(), RelinkableHandle<TermStructure>()));
swap_ = Handle<SimpleSwap>(
new SimpleSwap(true, // pay fixed rate
settlement_, lengthInYears_, Years, calendar_,
convention_,
100.0,
fixedFrequency_,
0.0,
fixedIsAdjusted_, fixedDayCount_,
floatingFrequency_, dummyIndex, settlementDays_,
0.0,
termStructureHandle_));
}
Date SwapRateHelper::maturity() const {
QL_REQUIRE(termStructure_ != 0, "null term structure set");
return swap_->maturity();
}
double SwapRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
// we didn't register as observers - force calculation
swap_->recalculate();
return -swap_->NPV()/swap_->fixedLegBPS();
}
}
}
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