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/* -*- 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 Roland Lichters
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/termstructures/yield/ratehelpers.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/imm.hpp>
#include <ql/instruments/makevanillaswap.hpp>
#include <ql/instruments/bmaswap.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/currency.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
namespace {
void no_deletion(YieldTermStructure*) {}
}
FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
const Date& immDate,
Size nMonths,
const Calendar& calendar,
BusinessDayConvention convention,
const DayCounter& dayCounter,
const Handle<Quote>& convexityAdjustment)
: RateHelper(price),
convAdj_(convexityAdjustment) {
QL_REQUIRE(IMM::isIMMdate(immDate, false),
immDate << "is not a valid IMM date");
earliestDate_ = immDate;
latestDate_ =
calendar.advance(earliestDate_, nMonths, Months, convention);
yearFraction_ = dayCounter.yearFraction(earliestDate_, latestDate_);
registerWith(convexityAdjustment);
}
FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
const Date& immDate,
Size nMonths,
const Calendar& calendar,
BusinessDayConvention convention,
const DayCounter& dayCounter,
Rate convexityAdjustment)
: RateHelper(price),
convAdj_(Handle<Quote>(boost::shared_ptr<Quote>(new
SimpleQuote(convexityAdjustment))))
{
QL_REQUIRE(IMM::isIMMdate(immDate, false),
immDate << "is not a valid IMM date");
earliestDate_ = immDate;
latestDate_ =
calendar.advance(earliestDate_, nMonths, Months, convention);
yearFraction_ = dayCounter.yearFraction(earliestDate_, latestDate_);
}
FuturesRateHelper::FuturesRateHelper(Real price,
const Date& immDate,
Size nMonths,
const Calendar& calendar,
BusinessDayConvention convention,
const DayCounter& dayCounter,
Rate convexityAdjustment)
: RateHelper(price),
convAdj_(Handle<Quote>(boost::shared_ptr<Quote>(new
SimpleQuote(convexityAdjustment))))
{
QL_REQUIRE(IMM::isIMMdate(immDate, false),
immDate << "is not a valid IMM date");
earliestDate_ = immDate;
latestDate_ =
calendar.advance(earliestDate_, nMonths, Months, convention);
yearFraction_ = dayCounter.yearFraction(earliestDate_, latestDate_);
}
Real FuturesRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
Rate forwardRate = (termStructure_->discount(earliestDate_) /
termStructure_->discount(latestDate_)-1.0)/yearFraction_;
Rate convAdj = convAdj_->value();
QL_ENSURE(convAdj >= 0.0,
"Negative (" << convAdj <<
") futures convexity adjustment");
Rate futureRate = forwardRate + convAdj;
return 100.0 * (1.0 - futureRate);
}
Real FuturesRateHelper::convexityAdjustment() const {
return convAdj_->value();
}
RelativeDateRateHelper::RelativeDateRateHelper(const Handle<Quote>& quote)
: RateHelper(quote) {
registerWith(Settings::instance().evaluationDate());
evaluationDate_ = Settings::instance().evaluationDate();
}
RelativeDateRateHelper::RelativeDateRateHelper(Real quote)
: RateHelper(quote) {
registerWith(Settings::instance().evaluationDate());
evaluationDate_ = Settings::instance().evaluationDate();
}
void RelativeDateRateHelper::update() {
if (evaluationDate_ != Settings::instance().evaluationDate()) {
evaluationDate_ = Settings::instance().evaluationDate();
initializeDates();
}
RateHelper::update();
}
DepositRateHelper::DepositRateHelper(const Handle<Quote>& rate,
const Period& tenor,
Natural settlementDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
Natural fixingDays,
const DayCounter& dayCounter)
: RelativeDateRateHelper(rate), settlementDays_(settlementDays) {
index_ = boost::shared_ptr<IborIndex>(new
IborIndex("dummy", tenor, fixingDays,
Currency(), calendar, convention,
endOfMonth, dayCounter, termStructureHandle_));
initializeDates();
}
DepositRateHelper::DepositRateHelper(Rate rate,
const Period& tenor,
Natural settlementDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
Natural fixingDays,
const DayCounter& dayCounter)
: RelativeDateRateHelper(rate), settlementDays_(settlementDays) {
index_ = boost::shared_ptr<IborIndex>(new
IborIndex("dummy", tenor, fixingDays,
Currency(), calendar, convention,
endOfMonth, dayCounter, termStructureHandle_));
initializeDates();
}
Real DepositRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
return index_->fixing(fixingDate_, true);
}
void DepositRateHelper::setTermStructure(YieldTermStructure* t) {
// no need to register---the index is not lazy
termStructureHandle_.linkTo(
boost::shared_ptr<YieldTermStructure>(t,no_deletion),
false);
RelativeDateRateHelper::setTermStructure(t);
}
void DepositRateHelper::initializeDates() {
// why not using index_->fixingDays instead of settlementDays_
earliestDate_ = index_->fixingCalendar().advance(
evaluationDate_, settlementDays_, Days);
latestDate_ = index_->maturityDate(earliestDate_);
// why not using index_->fixingDate
fixingDate_ = index_->fixingCalendar().advance(earliestDate_,
-static_cast<Integer>(index_->fixingDays()), Days);
}
FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
Natural monthsToStart,
Natural monthsToEnd,
Natural settlementDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
Natural fixingDays,
const DayCounter& dayCounter)
: RelativeDateRateHelper(rate), monthsToStart_(monthsToStart),
settlementDays_(settlementDays) {
QL_REQUIRE(monthsToEnd>monthsToStart,
"monthsToEnd must be grater than monthsToStart");
index_ = boost::shared_ptr<IborIndex>(new
IborIndex("dummy",
(monthsToEnd-monthsToStart)*Months,
fixingDays,
Currency(), calendar, convention,
endOfMonth, dayCounter, termStructureHandle_));
initializeDates();
}
FraRateHelper::FraRateHelper(Rate rate,
Natural monthsToStart,
Natural monthsToEnd,
Natural settlementDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
Natural fixingDays,
const DayCounter& dayCounter)
: RelativeDateRateHelper(rate), monthsToStart_(monthsToStart),
settlementDays_(settlementDays) {
QL_REQUIRE(monthsToEnd>monthsToStart,
"monthsToEnd must be grater than monthsToStart");
index_ = boost::shared_ptr<IborIndex>(new
IborIndex("dummy",
(monthsToEnd-monthsToStart)*Months,
fixingDays,
Currency(), calendar, convention,
endOfMonth, dayCounter, termStructureHandle_));
initializeDates();
}
Real FraRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
return index_->fixing(fixingDate_, true);
}
void FraRateHelper::setTermStructure(YieldTermStructure* t) {
// no need to register---the index is not lazy
termStructureHandle_.linkTo(
boost::shared_ptr<YieldTermStructure>(t,no_deletion),
false);
RelativeDateRateHelper::setTermStructure(t);
}
void FraRateHelper::initializeDates() {
// why not using index_->fixingDays instead of settlementDays_
Date settlement = index_->fixingCalendar().advance(evaluationDate_,
settlementDays_,
Days);
earliestDate_ = index_->fixingCalendar().advance(
settlement, monthsToStart_, Months,
index_->businessDayConvention(),
index_->endOfMonth());
latestDate_ = index_->maturityDate(earliestDate_);
fixingDate_ = index_->fixingDate(earliestDate_);
}
SwapRateHelper::SwapRateHelper(const Handle<Quote>& rate,
const boost::shared_ptr<SwapIndex>& swapIndex,
const Handle<Quote>& spread,
const Period& fwdStart)
: RelativeDateRateHelper(rate),
tenor_(swapIndex->tenor()),
calendar_(swapIndex->fixingCalendar()),
fixedConvention_(swapIndex->fixedLegConvention()),
fixedFrequency_(swapIndex->fixedLegTenor().frequency()),
fixedDayCount_(swapIndex->dayCounter()),
iborIndex_(swapIndex->iborIndex()),
spread_(spread), fwdStart_(fwdStart) {
registerWith(iborIndex_);
registerWith(spread_);
initializeDates();
}
SwapRateHelper::SwapRateHelper(const Handle<Quote>& rate,
const Period& tenor,
const Calendar& calendar,
Frequency fixedFrequency,
BusinessDayConvention fixedConvention,
const DayCounter& fixedDayCount,
const boost::shared_ptr<IborIndex>& iborIndex,
const Handle<Quote>& spread,
const Period& fwdStart)
: RelativeDateRateHelper(rate),
tenor_(tenor),
calendar_(calendar), fixedConvention_(fixedConvention),
fixedFrequency_(fixedFrequency),
fixedDayCount_(fixedDayCount),
iborIndex_(iborIndex),
spread_(spread), fwdStart_(fwdStart) {
registerWith(iborIndex_);
registerWith(spread_);
initializeDates();
}
SwapRateHelper::SwapRateHelper(Rate rate,
const Period& tenor,
const Calendar& calendar,
Frequency fixedFrequency,
BusinessDayConvention fixedConvention,
const DayCounter& fixedDayCount,
const boost::shared_ptr<IborIndex>& iborIndex,
const Handle<Quote>& spread,
const Period& fwdStart)
: RelativeDateRateHelper(rate),
tenor_(tenor),
calendar_(calendar), fixedConvention_(fixedConvention),
fixedFrequency_(fixedFrequency),
fixedDayCount_(fixedDayCount),
iborIndex_(iborIndex),
spread_(spread), fwdStart_(fwdStart) {
registerWith(iborIndex_);
registerWith(spread_);
initializeDates();
}
void SwapRateHelper::initializeDates() {
// dummy ibor index with curve/swap arguments
boost::shared_ptr<IborIndex> clonedIborIndex(new
IborIndex(iborIndex_->familyName(),
iborIndex_->tenor(),
iborIndex_->fixingDays(),
iborIndex_->currency(),
iborIndex_->fixingCalendar(),
iborIndex_->businessDayConvention(),
iborIndex_->endOfMonth(),
iborIndex_->dayCounter(),
termStructureHandle_));
// do not pass the spread here, as it might be a Quote
// i.e. it can dinamically change
swap_ = MakeVanillaSwap(tenor_, clonedIborIndex, 0.0, fwdStart_)
.withFixedLegDayCount(fixedDayCount_)
.withFixedLegTenor(Period(fixedFrequency_))
.withFixedLegConvention(fixedConvention_)
.withFixedLegTerminationDateConvention(fixedConvention_);
earliestDate_ = swap_->startDate();
// Usually...
latestDate_ = swap_->maturityDate();
// ...but due to adjustments, the last floating coupon might
// need a later date for fixing
#ifdef QL_USE_INDEXED_COUPON
boost::shared_ptr<FloatingRateCoupon> lastFloating =
boost::dynamic_pointer_cast<FloatingRateCoupon>(
swap_->floatingLeg().back());
Date fixingValueDate = calendar_.advance(lastFloating->fixingDate(),
iborIndex_->fixingDays(),Days);
Date endValueDate = calendar_.advance(fixingValueDate,
iborIndex_->tenor(),
iborIndex_->businessDayConvention(),
iborIndex_->endOfMonth());
latestDate_ = std::max(latestDate_, endValueDate);
#endif
}
void SwapRateHelper::setTermStructure(YieldTermStructure* t) {
// do not set the relinkable handle as an observer -
// force recalculation when needed
termStructureHandle_.linkTo(
boost::shared_ptr<YieldTermStructure>(t,no_deletion),
false);
RelativeDateRateHelper::setTermStructure(t);
}
Real SwapRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
// we didn't register as observers - force calculation
swap_->recalculate();
// weak implementation... to be improved
static const Spread basisPoint = 1.0e-4;
Real floatingLegNPV = swap_->floatingLegNPV();
Spread spread = spread_.empty() ? 0.0 : spread_->value();
Real spreadNPV = swap_->floatingLegBPS()/basisPoint*spread;
Real totNPV = - (floatingLegNPV+spreadNPV);
Real result = totNPV/(swap_->fixedLegBPS()/basisPoint);
return result;
}
Spread SwapRateHelper::spread() const {
return spread_.empty() ? 0.0 : spread_->value();
}
boost::shared_ptr<VanillaSwap> SwapRateHelper::swap() const {
return swap_;
}
const Period& SwapRateHelper::forwardStart() const {
return fwdStart_;
}
BMASwapRateHelper::BMASwapRateHelper(
const Handle<Quote>& liborFraction,
const Period& tenor,
Natural settlementDays,
const Calendar& calendar,
// bma leg
const Period& bmaPeriod,
BusinessDayConvention bmaConvention,
const DayCounter& bmaDayCount,
const boost::shared_ptr<BMAIndex>& bmaIndex,
// libor leg
const boost::shared_ptr<IborIndex>& index)
: RelativeDateRateHelper(liborFraction),
tenor_(tenor), settlementDays_(settlementDays),
calendar_(calendar),
bmaPeriod_(bmaPeriod),
bmaConvention_(bmaConvention),
bmaDayCount_(bmaDayCount),
bmaIndex_(bmaIndex),
index_(index) {
registerWith(index_);
registerWith(bmaIndex_);
initializeDates();
}
void BMASwapRateHelper::initializeDates() {
earliestDate_ = calendar_.advance(evaluationDate_,
settlementDays_*Days,
Following);
Date maturity = earliestDate_ + tenor_;
// dummy BMA index with curve/swap arguments
boost::shared_ptr<BMAIndex> clonedIndex(
new BMAIndex(termStructureHandle_));
Schedule bmaSchedule = MakeSchedule(earliestDate_,
maturity,
bmaPeriod_,
calendar_,
bmaConvention_).backwards();
Schedule liborSchedule =
MakeSchedule(earliestDate_,
maturity,
index_->tenor(),
index_->fixingCalendar(),
index_->businessDayConvention())
.endOfMonth(index_->endOfMonth())
.backwards();
swap_ = boost::shared_ptr<BMASwap>(new BMASwap(BMASwap::Payer, 100.0,
liborSchedule,
0.75, // arbitrary
0.0,
index_,
index_->dayCounter(),
bmaSchedule,
clonedIndex,
bmaDayCount_));
swap_->setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(index_->termStructure())));
Date d = calendar_.adjust(swap_->maturityDate(), Following);
Weekday w = d.weekday();
Date nextWednesday = (w >= 4) ?
d + (11 - w) * Days :
d + (4 - w) * Days;
latestDate_ = clonedIndex->valueDate(
clonedIndex->fixingCalendar().adjust(nextWednesday));
}
void BMASwapRateHelper::setTermStructure(YieldTermStructure* t) {
// do not set the relinkable handle as an observer -
// force recalculation when needed
termStructureHandle_.linkTo(
boost::shared_ptr<YieldTermStructure>(t,no_deletion),
false);
RelativeDateRateHelper::setTermStructure(t);
}
Real BMASwapRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
// we didn't register as observers - force calculation
swap_->recalculate();
return swap_->fairLiborFraction();
}
}
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