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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2018 Roy Zywina
Copyright (C) 2019 Eisuke Tani
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/futures/overnightindexfuture.hpp>
#include <ql/indexes/indexmanager.hpp>
namespace QuantLib {
OvernightIndexFuture::OvernightIndexFuture(
const ext::shared_ptr<OvernightIndex>& overnightIndex,
const ext::shared_ptr<Payoff>& payoff,
const Date& valueDate,
const Date& maturityDate,
const Handle<YieldTermStructure>& discountCurve,
const Handle<Quote>& convexityAdjustment,
const NettingType subPeriodsNettingType)
: Forward(overnightIndex->dayCounter(),
overnightIndex->fixingCalendar(),
overnightIndex->businessDayConvention(),
0,
payoff,
valueDate,
maturityDate,
discountCurve),
overnightIndex_(overnightIndex), convexityAdjustment_(convexityAdjustment),
subPeriodsNettingType_(subPeriodsNettingType) {}
Real OvernightIndexFuture::averagedSpotValue() const {
Date today = Settings::instance().evaluationDate();
Real avg = 0;
Date d1 = valueDate_;
const TimeSeries<Real>& history = IndexManager::instance()
.getHistory(overnightIndex_->name());
Real fwd;
while (d1 < maturityDate_) {
Date d2 = calendar_.advance(d1, 1, Days);
if (d1 < today) {
fwd = history[d1];
QL_REQUIRE(fwd != Null<Real>(), "missing rate on " <<
d1 << " for index " << overnightIndex_->name());
} else {
fwd = discountCurve_->forwardRate(d1, d2, dayCounter_, Simple).rate();
}
avg += fwd * dayCounter_.yearFraction(d1, d2);
d1 = d2;
}
Real convAdj = convexityAdjustment_.empty() ? 0.0 :
convexityAdjustment_->value();
Real R = convAdj + avg /
dayCounter_.yearFraction(valueDate_, maturityDate_);
return 100.0 * (1.0 - R);
}
Real OvernightIndexFuture::compoundedSpotValue() const {
Date today = Settings::instance().evaluationDate();
Real prod = 1;
if (today > valueDate_) {
// can't value on a weekend inside reference period because we
// won't know the reset rate until start of next business day.
// user can supply an estimate if they really want to do this
today = calendar_.adjust(today, businessDayConvention_);
// for valuations inside the reference period, index quotes
// must have been populated in the history
const TimeSeries<Real>& history = IndexManager::instance()
.getHistory(overnightIndex_->name());
Date d1 = valueDate_;
while (d1 < today) {
Real r = history[d1];
QL_REQUIRE(r != Null<Real>(), "missing rate on " <<
d1 << " for index " << overnightIndex_->name());
Date d2 = calendar_.advance(d1, 1, Days);
prod *= 1 + r * dayCounter_.yearFraction(d1, d2);
d1 = d2;
}
}
DiscountFactor forwardDiscount = discountCurve_->discount(maturityDate_);
if (valueDate_ > today) {
forwardDiscount /= discountCurve_->discount(valueDate_);
}
prod /= forwardDiscount;
Real convAdj = convexityAdjustment_.empty() ? 0.0 :
convexityAdjustment_->value();
Real R = convAdj + (prod - 1) /
dayCounter_.yearFraction(valueDate_, maturityDate_);
return 100.0 * (1.0 - R);
}
Real OvernightIndexFuture::spotValue() const {
switch (subPeriodsNettingType_) {
case Averaging:
underlyingSpotValue_ = averagedSpotValue();
break;
case Compounding:
underlyingSpotValue_ = compoundedSpotValue();
break;
default:
QL_FAIL("unknown compounding convention ("
<< Integer(subPeriodsNettingType_) << ")");
}
return underlyingSpotValue_;
}
Real OvernightIndexFuture::spotIncome(const Handle<YieldTermStructure>&) const {
underlyingIncome_ = 0;
return underlyingIncome_;
}
Real OvernightIndexFuture::forwardValue() const {
calculate();
return underlyingSpotValue_;
}
Real OvernightIndexFuture::convexityAdjustment() const {
return convexityAdjustment_.empty() ? 0.0 :
convexityAdjustment_->value();
}
}
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