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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009, 2012 Roland Lichters
Copyright (C) 2009, 2012 Ferdinando Ametrano
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/oisratehelper.hpp>
#include <ql/instruments/makeois.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/utilities/null_deleter.hpp>
namespace QuantLib {
OISRateHelper::OISRateHelper(
Natural settlementDays,
const Period& tenor, // swap maturity
const Handle<Quote>& fixedRate,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
const Handle<YieldTermStructure>& discount,
bool telescopicValueDates,
Natural paymentLag,
BusinessDayConvention paymentConvention,
Frequency paymentFrequency,
const Calendar& paymentCalendar,
const Period& forwardStart,
const Spread overnightSpread,
Pillar::Choice pillar,
Date customPillarDate)
: RelativeDateRateHelper(fixedRate),
pillarChoice_(pillar),
settlementDays_(settlementDays), tenor_(tenor),
overnightIndex_(overnightIndex), discountHandle_(discount),
telescopicValueDates_(telescopicValueDates),
paymentLag_(paymentLag), paymentConvention_(paymentConvention),
paymentFrequency_(paymentFrequency),
paymentCalendar_(paymentCalendar),
forwardStart_(forwardStart), overnightSpread_(overnightSpread) {
registerWith(overnightIndex_);
registerWith(discountHandle_);
pillarDate_ = customPillarDate;
initializeDates();
}
void OISRateHelper::initializeDates() {
// dummy OvernightIndex with curve/swap arguments
// review here
ext::shared_ptr<IborIndex> clonedIborIndex =
overnightIndex_->clone(termStructureHandle_);
ext::shared_ptr<OvernightIndex> clonedOvernightIndex =
ext::dynamic_pointer_cast<OvernightIndex>(clonedIborIndex);
// input discount curve Handle might be empty now but it could
// be assigned a curve later; use a RelinkableHandle here
swap_ = MakeOIS(tenor_, clonedOvernightIndex, 0.0, forwardStart_)
.withDiscountingTermStructure(discountRelinkableHandle_)
.withSettlementDays(settlementDays_)
.withTelescopicValueDates(telescopicValueDates_)
.withPaymentLag(paymentLag_)
.withPaymentAdjustment(paymentConvention_)
.withPaymentFrequency(paymentFrequency_)
.withPaymentCalendar(paymentCalendar_)
.withOvernightLegSpread(overnightSpread_);
earliestDate_ = swap_->startDate();
maturityDate_ = swap_->maturityDate();
Date lastPaymentDate = std::max(swap_->overnightLeg().back()->date(),
swap_->fixedLeg().back()->date());
latestRelevantDate_ = std::max(maturityDate_, lastPaymentDate);
switch (pillarChoice_) {
case Pillar::MaturityDate:
pillarDate_ = maturityDate_;
break;
case Pillar::LastRelevantDate:
pillarDate_ = latestRelevantDate_;
break;
case Pillar::CustomDate:
// pillarDate_ already assigned at construction time
QL_REQUIRE(pillarDate_ >= earliestDate_,
"pillar date (" << pillarDate_ << ") must be later "
"than or equal to the instrument's earliest date (" <<
earliestDate_ << ")");
QL_REQUIRE(pillarDate_ <= latestRelevantDate_,
"pillar date (" << pillarDate_ << ") must be before "
"or equal to the instrument's latest relevant date (" <<
latestRelevantDate_ << ")");
break;
default:
QL_FAIL("unknown Pillar::Choice(" << Integer(pillarChoice_) << ")");
}
latestDate_ = std::max(swap_->maturityDate(), lastPaymentDate);
}
void OISRateHelper::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);
if (discountHandle_.empty())
discountRelinkableHandle_.linkTo(temp, observer);
else
discountRelinkableHandle_.linkTo(*discountHandle_, observer);
RelativeDateRateHelper::setTermStructure(t);
}
Real OISRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
// we didn't register as observers - force calculation
swap_->recalculate();
return swap_->fairRate();
}
void OISRateHelper::accept(AcyclicVisitor& v) {
Visitor<OISRateHelper>* v1 =
dynamic_cast<Visitor<OISRateHelper>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
RateHelper::accept(v);
}
DatedOISRateHelper::DatedOISRateHelper(
const Date& startDate,
const Date& endDate,
const Handle<Quote>& fixedRate,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
const Handle<YieldTermStructure>& discount,
bool telescopicValueDates)
: RateHelper(fixedRate), discountHandle_(discount),
telescopicValueDates_(telescopicValueDates) {
registerWith(overnightIndex);
registerWith(discountHandle_);
// dummy OvernightIndex with curve/swap arguments
// review here
ext::shared_ptr<IborIndex> clonedIborIndex =
overnightIndex->clone(termStructureHandle_);
ext::shared_ptr<OvernightIndex> clonedOvernightIndex =
ext::dynamic_pointer_cast<OvernightIndex>(clonedIborIndex);
// input discount curve Handle might be empty now but it could
// be assigned a curve later; use a RelinkableHandle here
swap_ = MakeOIS(Period(), clonedOvernightIndex, 0.0)
.withDiscountingTermStructure(discountRelinkableHandle_)
.withEffectiveDate(startDate)
.withTerminationDate(endDate)
.withTelescopicValueDates(telescopicValueDates_);
earliestDate_ = swap_->startDate();
Date lastPaymentDate = std::max(swap_->overnightLeg().back()->date(),
swap_->fixedLeg().back()->date());
latestDate_ = std::max(swap_->maturityDate(), lastPaymentDate);
}
void DatedOISRateHelper::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);
if (discountHandle_.empty())
discountRelinkableHandle_.linkTo(temp, observer);
else
discountRelinkableHandle_.linkTo(*discountHandle_, observer);
RateHelper::setTermStructure(t);
}
Real DatedOISRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
// we didn't register as observers - force calculation
swap_->deepUpdate();
return swap_->fairRate();
}
void DatedOISRateHelper::accept(AcyclicVisitor& v) {
Visitor<DatedOISRateHelper>* v1 =
dynamic_cast<Visitor<DatedOISRateHelper>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
RateHelper::accept(v);
}
}
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