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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2016 Stefano Fondi
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/experimental/averageois/arithmeticaverageois.hpp>
#include <ql/experimental/averageois/averageoiscouponpricer.hpp>
#include <ql/cashflows/overnightindexedcoupon.hpp>
#include <ql/cashflows/fixedratecoupon.hpp>
namespace QuantLib {
ArithmeticAverageOIS::ArithmeticAverageOIS(
Type type,
Real nominal,
const Schedule& fixedLegSchedule,
Rate fixedRate,
const DayCounter& fixedDC,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
const Schedule& overnightLegSchedule,
Spread spread,
Real meanReversionSpeed,
Real volatility,
bool byApprox)
: Swap(2), type_(type),
nominals_(std::vector<Real>(1, nominal)),
fixedLegPaymentFrequency_(fixedLegSchedule.tenor().frequency()),
overnightLegPaymentFrequency_(overnightLegSchedule.tenor().frequency()),
fixedRate_(fixedRate), fixedDC_(fixedDC),
overnightIndex_(overnightIndex),
spread_(spread), byApprox_(byApprox), mrs_(meanReversionSpeed),
vol_(volatility) {
initialize(fixedLegSchedule, overnightLegSchedule);
}
ArithmeticAverageOIS::ArithmeticAverageOIS(
Type type,
const std::vector<Real>& nominals,
const Schedule& fixedLegSchedule,
Rate fixedRate,
const DayCounter& fixedDC,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
const Schedule& overnightLegSchedule,
Spread spread,
Real meanReversionSpeed,
Real volatility,
bool byApprox)
: Swap(2), type_(type), nominals_(nominals),
fixedLegPaymentFrequency_(fixedLegSchedule.tenor().frequency()),
overnightLegPaymentFrequency_(overnightLegSchedule.tenor().frequency()),
fixedRate_(fixedRate), fixedDC_(fixedDC), overnightIndex_(overnightIndex), spread_(spread),
byApprox_(byApprox), mrs_(meanReversionSpeed), vol_(volatility) {
initialize(fixedLegSchedule, overnightLegSchedule);
}
void ArithmeticAverageOIS::initialize(const Schedule& fixedLegSchedule,
const Schedule& overnightLegSchedule) {
if (fixedDC_==DayCounter())
fixedDC_ = overnightIndex_->dayCounter();
legs_[0] = FixedRateLeg(fixedLegSchedule)
.withNotionals(nominals_)
.withCouponRates(fixedRate_, fixedDC_);
legs_[1] = OvernightLeg(overnightLegSchedule, overnightIndex_)
.withNotionals(nominals_)
.withSpreads(spread_);
ext::shared_ptr<FloatingRateCouponPricer> arithmeticPricer(
new ArithmeticAveragedOvernightIndexedCouponPricer(mrs_, vol_, byApprox_));
for (Size i = 0; i < legs_[1].size(); i++) {
ext::shared_ptr<OvernightIndexedCoupon>
c = ext::dynamic_pointer_cast<OvernightIndexedCoupon> (legs_[1][i]);
c->setPricer(arithmeticPricer);
}
for (Size j=0; j<2; ++j) {
for (Leg::iterator i = legs_[j].begin(); i!= legs_[j].end(); ++i)
registerWith(*i);
}
switch (type_) {
case Payer:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
case Receiver:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
default:
QL_FAIL("Unknown overnight-swap type");
}
}
Real ArithmeticAverageOIS::fairRate() const {
static Spread basisPoint = 1.0e-4;
calculate();
return fixedRate_ - NPV_/(fixedLegBPS()/basisPoint);
}
Spread ArithmeticAverageOIS::fairSpread() const {
static Spread basisPoint = 1.0e-4;
calculate();
return spread_ - NPV_/(overnightLegBPS()/basisPoint);
}
Real ArithmeticAverageOIS::fixedLegBPS() const {
calculate();
QL_REQUIRE(legBPS_[0] != Null<Real>(), "result not available");
return legBPS_[0];
}
Real ArithmeticAverageOIS::overnightLegBPS() const {
calculate();
QL_REQUIRE(legBPS_[1] != Null<Real>(), "result not available");
return legBPS_[1];
}
Real ArithmeticAverageOIS::fixedLegNPV() const {
calculate();
QL_REQUIRE(legNPV_[0] != Null<Real>(), "result not available");
return legNPV_[0];
}
Real ArithmeticAverageOIS::overnightLegNPV() const {
calculate();
QL_REQUIRE(legNPV_[1] != Null<Real>(), "result not available");
return legNPV_[1];
}
}
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