1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2018 Roy Zywina
Copyright (C) 2019, 2020 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/overnightindexfutureratehelper.hpp>
#include <ql/utilities/null_deleter.hpp>
namespace QuantLib {
namespace {
Date getValidSofrStart(Month month, Year year, Frequency freq) {
return freq == Monthly ?
UnitedStates(UnitedStates::GovernmentBond).adjust(Date(1, month, year)) :
Date::nthWeekday(3, Wednesday, month, year);
}
Date getValidSofrEnd(Month month, Year year, Frequency freq) {
if (freq == Monthly) {
Calendar dc = UnitedStates(UnitedStates::GovernmentBond);
Date d = dc.endOfMonth(Date(1, month, year));
return dc.advance(d, 1*Days);
} else {
Date d = getValidSofrStart(month, year, freq) + Period(freq);
return Date::nthWeekday(3, Wednesday, d.month(), d.year());
}
}
}
OvernightIndexFutureRateHelper::OvernightIndexFutureRateHelper(
const Handle<Quote>& price,
// first day of reference period
const Date& valueDate,
// delivery date
const Date& maturityDate,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
const Handle<Quote>& convexityAdjustment,
const OvernightIndexFuture::NettingType subPeriodsNettingType)
: RateHelper(price) {
ext::shared_ptr<Payoff> payoff;
future_ = ext::make_shared<OvernightIndexFuture>(
overnightIndex, payoff, valueDate, maturityDate, termStructureHandle_,
convexityAdjustment, subPeriodsNettingType);
earliestDate_ = valueDate;
latestDate_ = maturityDate;
}
Real OvernightIndexFutureRateHelper::impliedQuote() const {
return future_->spotValue();
}
void OvernightIndexFutureRateHelper::setTermStructure(YieldTermStructure* t) {
// do not set the relinkable handle as an observer -
// force recalculation when needed
bool observer = false;
ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());
termStructureHandle_.linkTo(temp, observer);
RateHelper::setTermStructure(t);
}
void OvernightIndexFutureRateHelper::accept(AcyclicVisitor& v) {
Visitor<OvernightIndexFutureRateHelper>* v1 =
dynamic_cast<Visitor<OvernightIndexFutureRateHelper>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
RateHelper::accept(v);
}
Real OvernightIndexFutureRateHelper::convexityAdjustment() const {
return future_->convexityAdjustment();
}
SofrFutureRateHelper::SofrFutureRateHelper(
const Handle<Quote>& price,
Month referenceMonth,
Year referenceYear,
Frequency referenceFreq,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
const Handle<Quote>& convexityAdjustment,
const OvernightIndexFuture::NettingType subPeriodsNettingType)
: OvernightIndexFutureRateHelper(price,
getValidSofrStart(referenceMonth, referenceYear, referenceFreq),
getValidSofrEnd(referenceMonth, referenceYear, referenceFreq),
overnightIndex,
convexityAdjustment,
subPeriodsNettingType) {
QL_REQUIRE(referenceFreq == Quarterly || referenceFreq == Monthly,
"only monthly and quarterly SOFR futures accepted");
if (referenceFreq == Quarterly) {
QL_REQUIRE(referenceMonth == Mar || referenceMonth == Jun || referenceMonth == Sep ||
referenceMonth == Dec,
"quarterly SOFR futures can only start in Mar,Jun,Sep,Dec");
}
}
SofrFutureRateHelper::SofrFutureRateHelper(
Real price,
Month referenceMonth,
Year referenceYear,
Frequency referenceFreq,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
Real convexityAdjustment,
const OvernightIndexFuture::NettingType subPeriodsNettingType)
: OvernightIndexFutureRateHelper(
Handle<Quote>(ext::make_shared<SimpleQuote>(price)),
getValidSofrStart(referenceMonth, referenceYear, referenceFreq),
getValidSofrEnd(referenceMonth, referenceYear, referenceFreq),
overnightIndex,
Handle<Quote>(ext::make_shared<SimpleQuote>(convexityAdjustment)),
subPeriodsNettingType) {
QL_REQUIRE(referenceFreq == Quarterly || referenceFreq == Monthly,
"only monthly and quarterly SOFR futures accepted");
if (referenceFreq == Quarterly) {
QL_REQUIRE(referenceMonth == Mar || referenceMonth == Jun || referenceMonth == Sep ||
referenceMonth == Dec,
"quarterly SOFR futures can only start in Mar,Jun,Sep,Dec");
}
}
}
|
