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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2013, 2016 Peter Caspers
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/nonstandardswap.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/cashflows/cmscoupon.hpp>
#include <ql/cashflows/capflooredcoupon.hpp>
#include <ql/cashflows/cashflowvectors.hpp>
#include <ql/cashflows/cashflows.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
NonstandardSwap::NonstandardSwap(const VanillaSwap &fromVanilla)
: Swap(2), type_((VanillaSwap::Type)fromVanilla.type()),
fixedNominal_(std::vector<Real>(fromVanilla.fixedLeg().size(),
fromVanilla.nominal())),
floatingNominal_(std::vector<Real>(fromVanilla.floatingLeg().size(),
fromVanilla.nominal())),
fixedSchedule_(fromVanilla.fixedSchedule()),
fixedRate_(std::vector<Real>(fromVanilla.fixedLeg().size(),
fromVanilla.fixedRate())),
fixedDayCount_(fromVanilla.fixedDayCount()),
floatingSchedule_(fromVanilla.floatingSchedule()),
iborIndex_(fromVanilla.iborIndex()),
spread_(std::vector<Real>(fromVanilla.floatingLeg().size(), fromVanilla.spread())),
gearing_(std::vector<Real>(fromVanilla.floatingLeg().size(), 1.0)),
singleSpreadAndGearing_(true),
floatingDayCount_(fromVanilla.floatingDayCount()),
paymentConvention_(fromVanilla.paymentConvention()),
intermediateCapitalExchange_(false), finalCapitalExchange_(false) {
init();
}
NonstandardSwap::NonstandardSwap(
const VanillaSwap::Type type, const std::vector<Real> &fixedNominal,
const std::vector<Real> &floatingNominal, const Schedule &fixedSchedule,
const std::vector<Real> &fixedRate, const DayCounter &fixedDayCount,
const Schedule &floatingSchedule,
const ext::shared_ptr<IborIndex> &iborIndex, const Real gearing,
const Spread spread, const DayCounter &floatingDayCount,
const bool intermediateCapitalExchange, const bool finalCapitalExchange,
boost::optional<BusinessDayConvention> paymentConvention)
: Swap(2), type_(type), fixedNominal_(fixedNominal),
floatingNominal_(floatingNominal), fixedSchedule_(fixedSchedule),
fixedRate_(fixedRate), fixedDayCount_(fixedDayCount),
floatingSchedule_(floatingSchedule), iborIndex_(iborIndex),
spread_(std::vector<Real>(floatingNominal.size(), spread)),
gearing_(std::vector<Real>(floatingNominal.size(), gearing)),
singleSpreadAndGearing_(true),
floatingDayCount_(floatingDayCount),
intermediateCapitalExchange_(intermediateCapitalExchange),
finalCapitalExchange_(finalCapitalExchange) {
if (paymentConvention) // NOLINT(readability-implicit-bool-conversion)
paymentConvention_ = *paymentConvention;
else
paymentConvention_ = floatingSchedule_.businessDayConvention();
init();
}
NonstandardSwap::NonstandardSwap(
const VanillaSwap::Type type, const std::vector<Real> &fixedNominal,
const std::vector<Real> &floatingNominal, const Schedule &fixedSchedule,
const std::vector<Real> &fixedRate, const DayCounter &fixedDayCount,
const Schedule &floatingSchedule,
const ext::shared_ptr<IborIndex> &iborIndex,
const std::vector<Real> &gearing, const std::vector<Spread> &spread,
const DayCounter &floatingDayCount,
const bool intermediateCapitalExchange, const bool finalCapitalExchange,
boost::optional<BusinessDayConvention> paymentConvention)
: Swap(2), type_(type), fixedNominal_(fixedNominal),
floatingNominal_(floatingNominal), fixedSchedule_(fixedSchedule),
fixedRate_(fixedRate), fixedDayCount_(fixedDayCount),
floatingSchedule_(floatingSchedule), iborIndex_(iborIndex),
spread_(spread), gearing_(gearing), singleSpreadAndGearing_(false),
floatingDayCount_(floatingDayCount),
intermediateCapitalExchange_(intermediateCapitalExchange),
finalCapitalExchange_(finalCapitalExchange) {
if (paymentConvention) // NOLINT(readability-implicit-bool-conversion)
paymentConvention_ = *paymentConvention;
else
paymentConvention_ = floatingSchedule_.businessDayConvention();
init();
}
void NonstandardSwap::init() {
QL_REQUIRE(fixedNominal_.size() == fixedRate_.size(),
"Fixed nominal size ("
<< fixedNominal_.size()
<< ") does not match fixed rate size ("
<< fixedRate_.size() << ")");
QL_REQUIRE(fixedNominal_.size() == fixedSchedule_.size() - 1,
"Fixed nominal size (" << fixedNominal_.size()
<< ") does not match schedule size ("
<< fixedSchedule_.size() << ") - 1");
QL_REQUIRE(floatingNominal_.size() == floatingSchedule_.size() - 1,
"Floating nominal size ("
<< floatingNominal_.size()
<< ") does not match schedule size ("
<< floatingSchedule_.size() << ") - 1");
QL_REQUIRE(floatingNominal_.size() == spread_.size(),
"Floating nominal size (" << floatingNominal_.size()
<< ") does not match spread size ("
<< spread_.size() << ")");
QL_REQUIRE(floatingNominal_.size() == gearing_.size(),
"Floating nominal size ("
<< floatingNominal_.size()
<< ") does not match gearing size (" << gearing_.size()
<< ")");
// if the gearing is zero then the ibor leg will be set up with fixed
// coupons which makes trouble here in this context. We therefore use
// a dirty trick and enforce the gearing to be non zero.
for (Size i = 0; i < gearing_.size(); ++i) {
if (close(gearing_[i], 0.0))
gearing_[i] = QL_EPSILON;
}
legs_[0] = FixedRateLeg(fixedSchedule_)
.withNotionals(fixedNominal_)
.withCouponRates(fixedRate_, fixedDayCount_)
.withPaymentAdjustment(paymentConvention_);
legs_[1] = IborLeg(floatingSchedule_, iborIndex_)
.withNotionals(floatingNominal_)
.withPaymentDayCounter(floatingDayCount_)
.withPaymentAdjustment(paymentConvention_)
.withSpreads(spread_)
.withGearings(gearing_);
if (intermediateCapitalExchange_) {
for (Size i = 0; i < legs_[0].size() - 1; i++) {
Real cap = fixedNominal_[i] - fixedNominal_[i + 1];
if (!close(cap, 0.0)) {
std::vector<ext::shared_ptr<CashFlow> >::iterator it1 =
legs_[0].begin();
std::advance(it1, i + 1);
legs_[0].insert(
it1, ext::shared_ptr<CashFlow>(
new Redemption(cap, legs_[0][i]->date())));
std::vector<Real>::iterator it2 = fixedNominal_.begin();
std::advance(it2, i + 1);
fixedNominal_.insert(it2, fixedNominal_[i]);
std::vector<Real>::iterator it3 = fixedRate_.begin();
std::advance(it3, i + 1);
fixedRate_.insert(it3, 0.0);
i++;
}
}
for (Size i = 0; i < legs_[1].size() - 1; i++) {
Real cap = floatingNominal_[i] - floatingNominal_[i + 1];
if (!close(cap, 0.0)) {
std::vector<ext::shared_ptr<CashFlow> >::iterator it1 =
legs_[1].begin();
std::advance(it1, i + 1);
legs_[1].insert(
it1, ext::shared_ptr<CashFlow>(
new Redemption(cap, legs_[1][i]->date())));
std::vector<Real>::iterator it2 = floatingNominal_.begin();
std::advance(it2, i + 1);
floatingNominal_.insert(it2, floatingNominal_[i]);
i++;
}
}
}
if (finalCapitalExchange_) {
legs_[0].push_back(ext::shared_ptr<CashFlow>(
new Redemption(fixedNominal_.back(), legs_[0].back()->date())));
fixedNominal_.push_back(fixedNominal_.back());
fixedRate_.push_back(0.0);
legs_[1].push_back(ext::shared_ptr<CashFlow>(new Redemption(
floatingNominal_.back(), legs_[1].back()->date())));
floatingNominal_.push_back(floatingNominal_.back());
}
for (Leg::const_iterator i = legs_[1].begin(); i < legs_[1].end(); ++i)
registerWith(*i);
switch (type_) {
case VanillaSwap::Payer:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
case VanillaSwap::Receiver:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
default:
QL_FAIL("Unknown nonstandard-swap type");
}
}
void NonstandardSwap::setupArguments(PricingEngine::arguments *args) const {
Swap::setupArguments(args);
NonstandardSwap::arguments *arguments =
dynamic_cast<NonstandardSwap::arguments *>(args);
if (arguments == 0)
return; // swap engine ...
arguments->type = type_;
arguments->fixedNominal = fixedNominal_;
arguments->floatingNominal = floatingNominal_;
arguments->fixedRate = fixedRate_;
const Leg &fixedCoupons = fixedLeg();
arguments->fixedResetDates = arguments->fixedPayDates =
std::vector<Date>(fixedCoupons.size());
arguments->fixedCoupons = std::vector<Real>(fixedCoupons.size());
arguments->fixedIsRedemptionFlow =
std::vector<bool>(fixedCoupons.size(), false);
for (Size i = 0; i < fixedCoupons.size(); ++i) {
ext::shared_ptr<FixedRateCoupon> coupon =
ext::dynamic_pointer_cast<FixedRateCoupon>(fixedCoupons[i]);
if (coupon != 0) {
arguments->fixedPayDates[i] = coupon->date();
arguments->fixedResetDates[i] = coupon->accrualStartDate();
arguments->fixedCoupons[i] = coupon->amount();
} else {
ext::shared_ptr<CashFlow> cashflow =
ext::dynamic_pointer_cast<CashFlow>(fixedCoupons[i]);
std::vector<Date>::const_iterator j =
std::find(arguments->fixedPayDates.begin(),
arguments->fixedPayDates.end(), cashflow->date());
QL_REQUIRE(j != arguments->fixedPayDates.end(),
"nominal redemption on "
<< cashflow->date()
<< "has no corresponding coupon");
Size jIdx = j - arguments->fixedPayDates.begin();
arguments->fixedIsRedemptionFlow[i] = true;
arguments->fixedCoupons[i] = cashflow->amount();
arguments->fixedResetDates[i] =
arguments->fixedResetDates[jIdx];
arguments->fixedPayDates[i] = cashflow->date();
}
}
const Leg &floatingCoupons = floatingLeg();
arguments->floatingResetDates = arguments->floatingPayDates =
arguments->floatingFixingDates =
std::vector<Date>(floatingCoupons.size());
arguments->floatingAccrualTimes =
std::vector<Time>(floatingCoupons.size());
arguments->floatingSpreads =
std::vector<Spread>(floatingCoupons.size());
arguments->floatingGearings = std::vector<Real>(floatingCoupons.size());
arguments->floatingCoupons = std::vector<Real>(floatingCoupons.size());
arguments->floatingIsRedemptionFlow =
std::vector<bool>(floatingCoupons.size(), false);
for (Size i = 0; i < floatingCoupons.size(); ++i) {
ext::shared_ptr<IborCoupon> coupon =
ext::dynamic_pointer_cast<IborCoupon>(floatingCoupons[i]);
if (coupon != 0) {
arguments->floatingResetDates[i] = coupon->accrualStartDate();
arguments->floatingPayDates[i] = coupon->date();
arguments->floatingFixingDates[i] = coupon->fixingDate();
arguments->floatingAccrualTimes[i] = coupon->accrualPeriod();
arguments->floatingSpreads[i] = coupon->spread();
arguments->floatingGearings[i] = coupon->gearing();
try {
arguments->floatingCoupons[i] = coupon->amount();
}
catch (Error &) {
arguments->floatingCoupons[i] = Null<Real>();
}
} else {
ext::shared_ptr<CashFlow> cashflow =
ext::dynamic_pointer_cast<CashFlow>(floatingCoupons[i]);
std::vector<Date>::const_iterator j = std::find(
arguments->floatingPayDates.begin(),
arguments->floatingPayDates.end(), cashflow->date());
QL_REQUIRE(j != arguments->floatingPayDates.end(),
"nominal redemption on "
<< cashflow->date()
<< "has no corresponding coupon");
Size jIdx = j - arguments->floatingPayDates.begin();
arguments->floatingIsRedemptionFlow[i] = true;
arguments->floatingCoupons[i] = cashflow->amount();
arguments->floatingResetDates[i] =
arguments->floatingResetDates[jIdx];
arguments->floatingFixingDates[i] =
arguments->floatingFixingDates[jIdx];
arguments->floatingAccrualTimes[i] = 0.0;
arguments->floatingSpreads[i] = 0.0;
arguments->floatingGearings[i] = 1.0;
arguments->floatingPayDates[i] = cashflow->date();
}
}
arguments->iborIndex = iborIndex();
}
void NonstandardSwap::setupExpired() const { Swap::setupExpired(); }
void NonstandardSwap::fetchResults(const PricingEngine::results *r) const {
Swap::fetchResults(r);
}
void NonstandardSwap::arguments::validate() const {
Swap::arguments::validate();
QL_REQUIRE(fixedNominal.size() == fixedPayDates.size(),
"number of fixed leg nominals plus redemption flows "
"different from number of payment dates");
QL_REQUIRE(fixedRate.size() == fixedPayDates.size(),
"number of fixed rates plus redemption flows different from "
"number of payment dates");
QL_REQUIRE(floatingNominal.size() == floatingPayDates.size(),
"number of float leg nominals different from number of "
"payment dates");
QL_REQUIRE(fixedResetDates.size() == fixedPayDates.size(),
"number of fixed start dates different from "
"number of fixed payment dates");
QL_REQUIRE(fixedPayDates.size() == fixedCoupons.size(),
"number of fixed payment dates different from "
"number of fixed coupon amounts");
QL_REQUIRE(floatingResetDates.size() == floatingPayDates.size(),
"number of floating start dates different from "
"number of floating payment dates");
QL_REQUIRE(floatingFixingDates.size() == floatingPayDates.size(),
"number of floating fixing dates different from "
"number of floating payment dates");
QL_REQUIRE(floatingAccrualTimes.size() == floatingPayDates.size(),
"number of floating accrual Times different from "
"number of floating payment dates");
QL_REQUIRE(floatingSpreads.size() == floatingPayDates.size(),
"number of floating spreads different from "
"number of floating payment dates");
QL_REQUIRE(floatingPayDates.size() == floatingCoupons.size(),
"number of floating payment dates different from "
"number of floating coupon amounts");
}
void NonstandardSwap::results::reset() { Swap::results::reset(); }
}
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