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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 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
<quantlib-dev@lists.sf.net>. 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/instruments/makecms.hpp>
#include <ql/instruments/swap.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/cashflows/cashflows.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/time/schedule.hpp>
#include <ql/time/daycounters/actual360.hpp>
namespace QuantLib {
MakeCms::MakeCms(const Period& swapTenor,
const boost::shared_ptr<SwapIndex>& swapIndex,
Spread iborSpread,
const Period& forwardStart)
: swapTenor_(swapTenor), swapIndex_(swapIndex),
iborSpread_(iborSpread),
forwardStart_(forwardStart),
cmsSpread_(0.0), cmsGearing_(1.0),
cmsCap_(2.0), cmsFloor_(0.0),
effectiveDate_(Date()),
cmsCalendar_(swapIndex->fixingCalendar()),
floatCalendar_(swapIndex->iborIndex()->fixingCalendar()),
discountingTermStructure_(swapIndex->termStructure()),
payCms_(true), nominal_(1000000.0),
cmsTenor_(3*Months), floatTenor_(3*Months),
cmsConvention_(ModifiedFollowing),
cmsTerminationDateConvention_(ModifiedFollowing),
floatConvention_(ModifiedFollowing),
floatTerminationDateConvention_(ModifiedFollowing),
cmsRule_(DateGeneration::Backward), floatRule_(DateGeneration::Backward),
cmsEndOfMonth_(false), floatEndOfMonth_(false),
cmsFirstDate_(Date()), cmsNextToLastDate_(Date()),
floatFirstDate_(Date()), floatNextToLastDate_(Date()),
cmsDayCount_(Actual360()),
floatDayCount_(swapIndex->iborIndex()->dayCounter())
{
boost::shared_ptr<IborIndex> baseIndex = swapIndex->iborIndex();
// FIXME use a familyName-based index factory
iborIndex_ = boost::shared_ptr<IborIndex>(new
IborIndex(baseIndex->familyName(),
floatTenor_,
baseIndex->fixingDays(),
baseIndex->currency(),
baseIndex->fixingCalendar(),
baseIndex->businessDayConvention(),
baseIndex->endOfMonth(),
baseIndex->dayCounter(),
baseIndex->termStructure()));
}
MakeCms::operator Swap() const {
boost::shared_ptr<Swap> swap = *this;
return *swap;
}
MakeCms::operator boost::shared_ptr<Swap>() const {
Date startDate;
if (effectiveDate_ != Date())
startDate=effectiveDate_;
else {
Natural fixingDays = swapIndex_->fixingDays();
Date referenceDate = Settings::instance().evaluationDate();
Date spotDate = floatCalendar_.advance(referenceDate, fixingDays*Days);
startDate = spotDate+forwardStart_;
}
Date terminationDate = startDate+swapTenor_;
Schedule cmsSchedule(startDate, terminationDate,
cmsTenor_, cmsCalendar_,
cmsConvention_,
cmsTerminationDateConvention_,
cmsRule_, cmsEndOfMonth_,
cmsFirstDate_, cmsNextToLastDate_);
Schedule floatSchedule(startDate, terminationDate,
floatTenor_, floatCalendar_,
floatConvention_,
floatTerminationDateConvention_,
floatRule_ , floatEndOfMonth_,
floatFirstDate_, floatNextToLastDate_);
Leg cmsLeg = CmsLeg(cmsSchedule, swapIndex_)
.withNotionals(nominal_)
.withPaymentDayCounter(cmsDayCount_)
.withPaymentAdjustment(cmsConvention_)
.withFixingDays(swapIndex_->fixingDays())
.withGearings(cmsGearing_)
.withSpreads(cmsSpread_)
.withCaps(cmsCap_)
.withFloors(cmsFloor_);
Leg floatLeg = IborLeg(floatSchedule, iborIndex_)
.withNotionals(nominal_)
.withPaymentDayCounter(floatDayCount_)
.withPaymentAdjustment(floatConvention_)
.withFixingDays(iborIndex_->fixingDays())
.withSpreads(iborSpread_);
boost::shared_ptr<Swap> swap;
if (payCms_)
swap = boost::shared_ptr<Swap>(new Swap(cmsLeg, floatLeg));
else
swap = boost::shared_ptr<Swap>(new Swap(floatLeg, cmsLeg));
swap->setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(discountingTermStructure_)));
return swap;
}
MakeCms& MakeCms::receiveCms(bool flag) {
payCms_ = !flag;
return *this;
}
MakeCms& MakeCms::withNominal(Real n) {
nominal_ = n;
return *this;
}
MakeCms&
MakeCms::withEffectiveDate(const Date& effectiveDate) {
effectiveDate_ = effectiveDate;
return *this;
}
MakeCms& MakeCms::withDiscountingTermStructure(
const Handle<YieldTermStructure>& discountingTermStructure) {
discountingTermStructure_ = discountingTermStructure;
return *this;
}
MakeCms& MakeCms::withCmsLegTenor(const Period& t) {
cmsTenor_ = t;
return *this;
}
MakeCms&
MakeCms::withCmsLegCalendar(const Calendar& cal) {
cmsCalendar_ = cal;
return *this;
}
MakeCms&
MakeCms::withCmsLegConvention(BusinessDayConvention bdc) {
cmsConvention_ = bdc;
return *this;
}
MakeCms&
MakeCms::withCmsLegTerminationDateConvention(BusinessDayConvention bdc) {
cmsTerminationDateConvention_ = bdc;
return *this;
}
MakeCms& MakeCms::withCmsLegRule(DateGeneration::Rule r) {
cmsRule_ = r;
return *this;
}
MakeCms& MakeCms::withCmsLegEndOfMonth(bool flag) {
cmsEndOfMonth_ = flag;
return *this;
}
MakeCms& MakeCms::withCmsLegFirstDate(const Date& d) {
cmsFirstDate_ = d;
return *this;
}
MakeCms&
MakeCms::withCmsLegNextToLastDate(const Date& d) {
cmsNextToLastDate_ = d;
return *this;
}
MakeCms&
MakeCms::withCmsLegDayCount(const DayCounter& dc) {
cmsDayCount_ = dc;
return *this;
}
MakeCms& MakeCms::withFloatingLegTenor(const Period& t) {
floatTenor_ = t;
return *this;
}
MakeCms&
MakeCms::withFloatingLegCalendar(const Calendar& cal) {
floatCalendar_ = cal;
return *this;
}
MakeCms&
MakeCms::withFloatingLegConvention(BusinessDayConvention bdc) {
floatConvention_ = bdc;
return *this;
}
MakeCms&
MakeCms::withFloatingLegTerminationDateConvention(BusinessDayConvention bdc) {
floatTerminationDateConvention_ = bdc;
return *this;
}
MakeCms& MakeCms::withFloatingLegRule(DateGeneration::Rule r) {
floatRule_ = r;
return *this;
}
MakeCms& MakeCms::withFloatingLegEndOfMonth(bool flag) {
floatEndOfMonth_ = flag;
return *this;
}
MakeCms&
MakeCms::withFloatingLegFirstDate(const Date& d) {
floatFirstDate_ = d;
return *this;
}
MakeCms&
MakeCms::withFloatingLegNextToLastDate(const Date& d) {
floatNextToLastDate_ = d;
return *this;
}
MakeCms&
MakeCms::withFloatingLegDayCount(const DayCounter& dc) {
floatDayCount_ = dc;
return *this;
}
}
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