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|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008 StatPro Italia srl
Copyright (C) 2007, 2008, 2009, 2015 Ferdinando Ametrano
Copyright (C) 2007, 2009 Roland Lichters
Copyright (C) 2015 Maddalena Zanzi
Copyright (C) 2015 Paolo Mazzocchi
Copyright (C) 2018 Matthias Lungwitz
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/ratehelpers.hpp>
#include <ql/time/imm.hpp>
#include <ql/time/asx.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <ql/time/calendars/jointcalendar.hpp>
#include <ql/instruments/makevanillaswap.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/quote.hpp>
#include <ql/currency.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/time/imm.hpp>
#include <ql/utilities/null_deleter.hpp>
namespace QuantLib {
FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
const Date& iborStartDate,
Natural lengthInMonths,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter,
const Handle<Quote>& convAdj,
Futures::Type type)
: RateHelper(price), convAdj_(convAdj) {
switch (type) {
case Futures::IMM:
QL_REQUIRE(IMM::isIMMdate(iborStartDate, false),
iborStartDate << " is not a valid IMM date");
break;
case Futures::ASX:
QL_REQUIRE(ASX::isASXdate(iborStartDate, false),
iborStartDate << " is not a valid ASX date");
break;
default:
QL_FAIL("unknown futures type (" << Integer(type) << ")");
}
earliestDate_ = iborStartDate;
maturityDate_ = calendar.advance(iborStartDate, lengthInMonths*Months,
convention, endOfMonth);
yearFraction_ = dayCounter.yearFraction(earliestDate_, maturityDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;
registerWith(convAdj_);
}
FuturesRateHelper::FuturesRateHelper(Real price,
const Date& iborStartDate,
Natural lengthInMonths,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter,
Rate convAdj,
Futures::Type type)
: RateHelper(price),
convAdj_(Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(convAdj))))
{
switch (type) {
case Futures::IMM:
QL_REQUIRE(IMM::isIMMdate(iborStartDate, false),
iborStartDate << " is not a valid IMM date");
break;
case Futures::ASX:
QL_REQUIRE(ASX::isASXdate(iborStartDate, false),
iborStartDate << " is not a valid ASX date");
break;
default:
QL_FAIL("unknown futures type (" << Integer(type) << ")");
}
earliestDate_ = iborStartDate;
maturityDate_ = calendar.advance(iborStartDate, lengthInMonths*Months,
convention, endOfMonth);
yearFraction_ = dayCounter.yearFraction(earliestDate_, maturityDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;
}
FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
const Date& iborStartDate,
const Date& iborEndDate,
const DayCounter& dayCounter,
const Handle<Quote>& convAdj,
Futures::Type type)
: RateHelper(price), convAdj_(convAdj) {
switch (type) {
case Futures::IMM:
QL_REQUIRE(IMM::isIMMdate(iborStartDate, false),
iborStartDate << " is not a valid IMM date");
if (iborEndDate == Date()) {
// advance 3 months
maturityDate_ = IMM::nextDate(iborStartDate, false);
maturityDate_ = IMM::nextDate(maturityDate_, false);
maturityDate_ = IMM::nextDate(maturityDate_, false);
}
else {
QL_REQUIRE(iborEndDate>iborStartDate,
"end date (" << iborEndDate <<
") must be greater than start date (" <<
iborStartDate << ")");
maturityDate_ = iborEndDate;
}
break;
case Futures::ASX:
QL_REQUIRE(ASX::isASXdate(iborStartDate, false),
iborStartDate << " is not a valid ASX date");
if (iborEndDate == Date()) {
// advance 3 months
maturityDate_ = ASX::nextDate(iborStartDate, false);
maturityDate_ = ASX::nextDate(maturityDate_, false);
maturityDate_ = ASX::nextDate(maturityDate_, false);
}
else {
QL_REQUIRE(iborEndDate>iborStartDate,
"end date (" << iborEndDate <<
") must be greater than start date (" <<
iborStartDate << ")");
maturityDate_ = iborEndDate;
}
break;
default:
QL_FAIL("unknown futures type (" << Integer(type) << ")");
}
earliestDate_ = iborStartDate;
yearFraction_ = dayCounter.yearFraction(earliestDate_, maturityDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;
registerWith(convAdj_);
}
FuturesRateHelper::FuturesRateHelper(Real price,
const Date& iborStartDate,
const Date& iborEndDate,
const DayCounter& dayCounter,
Rate convAdj,
Futures::Type type)
: RateHelper(price),
convAdj_(Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(convAdj))))
{
switch (type) {
case Futures::IMM:
QL_REQUIRE(IMM::isIMMdate(iborStartDate, false),
iborStartDate << " is not a valid IMM date");
if (iborEndDate == Date()) {
// advance 3 months
maturityDate_ = IMM::nextDate(iborStartDate, false);
maturityDate_ = IMM::nextDate(maturityDate_, false);
maturityDate_ = IMM::nextDate(maturityDate_, false);
}
else {
QL_REQUIRE(iborEndDate>iborStartDate,
"end date (" << iborEndDate <<
") must be greater than start date (" <<
iborStartDate << ")");
maturityDate_ = iborEndDate;
}
break;
case Futures::ASX:
QL_REQUIRE(ASX::isASXdate(iborStartDate, false),
iborStartDate << " is not a valid ASX date");
if (iborEndDate == Date()) {
// advance 3 months
maturityDate_ = ASX::nextDate(iborStartDate, false);
maturityDate_ = ASX::nextDate(maturityDate_, false);
maturityDate_ = ASX::nextDate(maturityDate_, false);
}
else {
QL_REQUIRE(iborEndDate>iborStartDate,
"end date (" << iborEndDate <<
") must be greater than start date (" <<
iborStartDate << ")");
latestRelevantDate_ = iborEndDate;
}
break;
default:
QL_FAIL("unknown futures type (" << Integer(type) << ")");
}
earliestDate_ = iborStartDate;
yearFraction_ = dayCounter.yearFraction(earliestDate_, maturityDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;
}
FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
const Date& iborStartDate,
const ext::shared_ptr<IborIndex>& i,
const Handle<Quote>& convAdj,
Futures::Type type)
: RateHelper(price), convAdj_(convAdj) {
switch (type) {
case Futures::IMM:
QL_REQUIRE(IMM::isIMMdate(iborStartDate, false),
iborStartDate << " is not a valid IMM date");
break;
case Futures::ASX:
QL_REQUIRE(ASX::isASXdate(iborStartDate, false),
iborStartDate << " is not a valid ASX date");
break;
default:
QL_FAIL("unknown futures type (" << Integer(type) << ")");
}
earliestDate_ = iborStartDate;
const Calendar& cal = i->fixingCalendar();
maturityDate_ = cal.advance(iborStartDate, i->tenor(),
i->businessDayConvention());
yearFraction_ = i->dayCounter().yearFraction(earliestDate_,
maturityDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;
registerWith(convAdj);
}
FuturesRateHelper::FuturesRateHelper(Real price,
const Date& iborStartDate,
const ext::shared_ptr<IborIndex>& i,
Rate convAdj,
Futures::Type type)
: RateHelper(price),
convAdj_(Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(convAdj))))
{
switch (type) {
case Futures::IMM:
QL_REQUIRE(IMM::isIMMdate(iborStartDate, false),
iborStartDate << " is not a valid IMM date");
break;
case Futures::ASX:
QL_REQUIRE(ASX::isASXdate(iborStartDate, false),
iborStartDate << " is not a valid ASX date");
break;
default:
QL_FAIL("unknown futures type (" << Integer(type) << ")");
}
earliestDate_ = iborStartDate;
const Calendar& cal = i->fixingCalendar();
maturityDate_ = cal.advance(iborStartDate, i->tenor(),
i->businessDayConvention());
yearFraction_ = i->dayCounter().yearFraction(earliestDate_,
maturityDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;
}
Real FuturesRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
Rate forwardRate = (termStructure_->discount(earliestDate_) /
termStructure_->discount(maturityDate_) - 1.0) / yearFraction_;
Rate convAdj = convAdj_.empty() ? 0.0 : convAdj_->value();
// Convexity, as FRA/futures adjustment, has been used in the
// past to take into account futures margining vs FRA.
// Therefore, there's no requirement for it to be non-negative.
Rate futureRate = forwardRate + convAdj;
return 100.0 * (1.0 - futureRate);
}
Real FuturesRateHelper::convexityAdjustment() const {
return convAdj_.empty() ? 0.0 : convAdj_->value();
}
void FuturesRateHelper::accept(AcyclicVisitor& v) {
Visitor<FuturesRateHelper>* v1 =
dynamic_cast<Visitor<FuturesRateHelper>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
RateHelper::accept(v);
}
DepositRateHelper::DepositRateHelper(const Handle<Quote>& rate,
const Period& tenor,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter)
: RelativeDateRateHelper(rate) {
iborIndex_ = ext::make_shared<IborIndex>("no-fix", // never take fixing into account
tenor, fixingDays,
Currency(), calendar, convention,
endOfMonth, dayCounter, termStructureHandle_);
initializeDates();
}
DepositRateHelper::DepositRateHelper(Rate rate,
const Period& tenor,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter)
: RelativeDateRateHelper(rate) {
iborIndex_ = ext::make_shared<IborIndex>("no-fix", // never take fixing into account
tenor, fixingDays,
Currency(), calendar, convention,
endOfMonth, dayCounter, termStructureHandle_);
initializeDates();
}
DepositRateHelper::DepositRateHelper(const Handle<Quote>& rate,
const ext::shared_ptr<IborIndex>& i)
: RelativeDateRateHelper(rate) {
iborIndex_ = i->clone(termStructureHandle_);
initializeDates();
}
DepositRateHelper::DepositRateHelper(Rate rate,
const ext::shared_ptr<IborIndex>& i)
: RelativeDateRateHelper(rate) {
iborIndex_ = i->clone(termStructureHandle_);
initializeDates();
}
Real DepositRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
// the forecast fixing flag is set to true because
// we do not want to take fixing into account
return iborIndex_->fixing(fixingDate_, true);
}
void DepositRateHelper::setTermStructure(YieldTermStructure* t) {
// do not set the relinkable handle as an observer -
// force recalculation when needed---the index is not lazy
bool observer = false;
ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());
termStructureHandle_.linkTo(temp, observer);
RelativeDateRateHelper::setTermStructure(t);
}
void DepositRateHelper::initializeDates() {
// if the evaluation date is not a business day
// then move to the next business day
Date referenceDate =
iborIndex_->fixingCalendar().adjust(evaluationDate_);
earliestDate_ = iborIndex_->valueDate(referenceDate);
fixingDate_ = iborIndex_->fixingDate(earliestDate_);
maturityDate_ = iborIndex_->maturityDate(earliestDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;
}
void DepositRateHelper::accept(AcyclicVisitor& v) {
Visitor<DepositRateHelper>* v1 =
dynamic_cast<Visitor<DepositRateHelper>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
RateHelper::accept(v);
}
FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
Natural monthsToStart,
Natural monthsToEnd,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter,
Pillar::Choice pillarChoice,
Date customPillarDate,
bool useIndexedCoupon)
: RelativeDateRateHelper(rate), periodToStart_(monthsToStart*Months),
pillarChoice_(pillarChoice), useIndexedCoupon_(useIndexedCoupon) {
QL_REQUIRE(monthsToEnd>monthsToStart,
"monthsToEnd (" << monthsToEnd <<
") must be grater than monthsToStart (" << monthsToStart <<
")");
// no way to take fixing into account,
// even if we would like to for FRA over today
iborIndex_ = ext::make_shared<IborIndex>("no-fix", // correct family name would be needed
(monthsToEnd-monthsToStart)*Months,
fixingDays,
Currency(), calendar, convention,
endOfMonth, dayCounter, termStructureHandle_);
pillarDate_ = customPillarDate;
initializeDates();
}
FraRateHelper::FraRateHelper(Rate rate,
Natural monthsToStart,
Natural monthsToEnd,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter,
Pillar::Choice pillarChoice,
Date customPillarDate,
bool useIndexedCoupon)
: RelativeDateRateHelper(rate), periodToStart_(monthsToStart*Months),
pillarChoice_(pillarChoice), useIndexedCoupon_(useIndexedCoupon) {
QL_REQUIRE(monthsToEnd>monthsToStart,
"monthsToEnd (" << monthsToEnd <<
") must be grater than monthsToStart (" << monthsToStart <<
")");
// no way to take fixing into account,
// even if we would like to for FRA over today
iborIndex_ = ext::make_shared<IborIndex>("no-fix", // correct family name would be needed
(monthsToEnd-monthsToStart)*Months,
fixingDays,
Currency(), calendar, convention,
endOfMonth, dayCounter, termStructureHandle_);
pillarDate_ = customPillarDate;
initializeDates();
}
FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
Natural monthsToStart,
const ext::shared_ptr<IborIndex>& i,
Pillar::Choice pillarChoice,
Date customPillarDate,
bool useIndexedCoupon)
: RelativeDateRateHelper(rate), periodToStart_(monthsToStart*Months),
pillarChoice_(pillarChoice), useIndexedCoupon_(useIndexedCoupon) {
// take fixing into account
iborIndex_ = i->clone(termStructureHandle_);
// We want to be notified of changes of fixings, but we don't
// want notifications from termStructureHandle_ (they would
// interfere with bootstrapping.)
iborIndex_->unregisterWith(termStructureHandle_);
registerWith(iborIndex_);
pillarDate_ = customPillarDate;
initializeDates();
}
FraRateHelper::FraRateHelper(Rate rate,
Natural monthsToStart,
const ext::shared_ptr<IborIndex>& i,
Pillar::Choice pillarChoice,
Date customPillarDate,
bool useIndexedCoupon)
: RelativeDateRateHelper(rate), periodToStart_(monthsToStart*Months),
pillarChoice_(pillarChoice), useIndexedCoupon_(useIndexedCoupon) {
// take fixing into account
iborIndex_ = i->clone(termStructureHandle_);
// see above
iborIndex_->unregisterWith(termStructureHandle_);
registerWith(iborIndex_);
pillarDate_ = customPillarDate;
initializeDates();
}
FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
Period periodToStart,
Natural lengthInMonths,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter,
Pillar::Choice pillarChoice,
Date customPillarDate,
bool useIndexedCoupon)
: RelativeDateRateHelper(rate), periodToStart_(periodToStart),
pillarChoice_(pillarChoice), useIndexedCoupon_(useIndexedCoupon) {
// no way to take fixing into account,
// even if we would like to for FRA over today
iborIndex_ = ext::make_shared<IborIndex>("no-fix", // correct family name would be needed
lengthInMonths*Months,
fixingDays,
Currency(), calendar, convention,
endOfMonth, dayCounter, termStructureHandle_);
pillarDate_ = customPillarDate;
initializeDates();
}
FraRateHelper::FraRateHelper(Rate rate,
Period periodToStart,
Natural lengthInMonths,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter,
Pillar::Choice pillarChoice,
Date customPillarDate,
bool useIndexedCoupon)
: RelativeDateRateHelper(rate), periodToStart_(periodToStart),
pillarChoice_(pillarChoice), useIndexedCoupon_(useIndexedCoupon) {
// no way to take fixing into account,
// even if we would like to for FRA over today
iborIndex_ = ext::make_shared<IborIndex>("no-fix", // correct family name would be needed
lengthInMonths*Months,
fixingDays,
Currency(), calendar, convention,
endOfMonth, dayCounter, termStructureHandle_);
pillarDate_ = customPillarDate;
initializeDates();
}
FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
Period periodToStart,
const ext::shared_ptr<IborIndex>& i,
Pillar::Choice pillarChoice,
Date customPillarDate,
bool useIndexedCoupon)
: RelativeDateRateHelper(rate), periodToStart_(periodToStart),
pillarChoice_(pillarChoice), useIndexedCoupon_(useIndexedCoupon) {
// take fixing into account
iborIndex_ = i->clone(termStructureHandle_);
// see above
iborIndex_->unregisterWith(termStructureHandle_);
registerWith(iborIndex_);
pillarDate_ = customPillarDate;
initializeDates();
}
FraRateHelper::FraRateHelper(Rate rate,
Period periodToStart,
const ext::shared_ptr<IborIndex>& i,
Pillar::Choice pillarChoice,
Date customPillarDate,
bool useIndexedCoupon)
: RelativeDateRateHelper(rate), periodToStart_(periodToStart),
pillarChoice_(pillarChoice), useIndexedCoupon_(useIndexedCoupon) {
// take fixing into account
iborIndex_ = i->clone(termStructureHandle_);
// see above
iborIndex_->unregisterWith(termStructureHandle_);
registerWith(iborIndex_);
pillarDate_ = customPillarDate;
initializeDates();
}
FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
Natural immOffsetStart,
Natural immOffsetEnd,
const ext::shared_ptr<IborIndex>& i,
Pillar::Choice pillarChoice,
Date customPillarDate,
bool useIndexedCoupon)
: RelativeDateRateHelper(rate), immOffsetStart_(immOffsetStart), immOffsetEnd_(immOffsetEnd),
pillarChoice_(pillarChoice), useIndexedCoupon_(useIndexedCoupon) {
// take fixing into account
iborIndex_ = i->clone(termStructureHandle_);
// see above
iborIndex_->unregisterWith(termStructureHandle_);
registerWith(iborIndex_);
pillarDate_ = customPillarDate;
initializeDates();
}
FraRateHelper::FraRateHelper(Rate rate,
Natural immOffsetStart,
Natural immOffsetEnd,
const ext::shared_ptr<IborIndex>& i,
Pillar::Choice pillarChoice,
Date customPillarDate,
bool useIndexedCoupon)
: RelativeDateRateHelper(rate), immOffsetStart_(immOffsetStart), immOffsetEnd_(immOffsetEnd),
pillarChoice_(pillarChoice), useIndexedCoupon_(useIndexedCoupon) {
// take fixing into account
iborIndex_ = i->clone(termStructureHandle_);
// see above
iborIndex_->unregisterWith(termStructureHandle_);
registerWith(iborIndex_);
pillarDate_ = customPillarDate;
initializeDates();
}
Real FraRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
if (useIndexedCoupon_)
return iborIndex_->fixing(fixingDate_, true);
else
return (termStructure_->discount(earliestDate_) /
termStructure_->discount(maturityDate_) -
1.0) /
spanningTime_;
}
void FraRateHelper::setTermStructure(YieldTermStructure* t) {
// do not set the relinkable handle as an observer -
// force recalculation when needed---the index is not lazy
bool observer = false;
ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());
termStructureHandle_.linkTo(temp, observer);
RelativeDateRateHelper::setTermStructure(t);
}
namespace {
Date nthImmDate(const Date& asof, const Size n) {
Date imm = asof;
for (Size i = 0; i < n; ++i) {
imm = IMM::nextDate(imm, true);
}
return imm;
}
}
void FraRateHelper::initializeDates() {
// if the evaluation date is not a business day
// then move to the next business day
Date referenceDate =
iborIndex_->fixingCalendar().adjust(evaluationDate_);
Date spotDate = iborIndex_->fixingCalendar().advance(
referenceDate, iborIndex_->fixingDays()*Days);
if (periodToStart_) { // NOLINT(readability-implicit-bool-conversion)
earliestDate_ = iborIndex_->fixingCalendar().advance(
spotDate, *periodToStart_, iborIndex_->businessDayConvention(),
iborIndex_->endOfMonth());
// maturity date is calculated from spot date
maturityDate_ = iborIndex_->fixingCalendar().advance(
spotDate, *periodToStart_ + iborIndex_->tenor(), iborIndex_->businessDayConvention(),
iborIndex_->endOfMonth());
} else if ((immOffsetStart_) && (immOffsetEnd_)) { // NOLINT(readability-implicit-bool-conversion)
earliestDate_ = iborIndex_->fixingCalendar().adjust(nthImmDate(spotDate, *immOffsetStart_));
maturityDate_ = iborIndex_->fixingCalendar().adjust(nthImmDate(spotDate, *immOffsetEnd_));
} else {
QL_FAIL("neither periodToStart nor immOffsetStart/End given");
}
if (useIndexedCoupon_)
// latest relevant date is calculated from earliestDate_
latestRelevantDate_ = iborIndex_->maturityDate(earliestDate_);
else {
latestRelevantDate_ = maturityDate_;
spanningTime_ = iborIndex_->dayCounter().yearFraction(earliestDate_, maturityDate_);
}
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_ = pillarDate_; // backward compatibility
fixingDate_ = iborIndex_->fixingDate(earliestDate_);
}
void FraRateHelper::accept(AcyclicVisitor& v) {
Visitor<FraRateHelper>* v1 =
dynamic_cast<Visitor<FraRateHelper>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
RateHelper::accept(v);
}
SwapRateHelper::SwapRateHelper(const Handle<Quote>& rate,
const ext::shared_ptr<SwapIndex>& swapIndex,
const Handle<Quote>& spread,
const Period& fwdStart,
const Handle<YieldTermStructure>& discount,
Pillar::Choice pillarChoice,
Date customPillarDate,
bool endOfMonth)
: RelativeDateRateHelper(rate),
settlementDays_(Null<Natural>()),
tenor_(swapIndex->tenor()), pillarChoice_(pillarChoice),
calendar_(swapIndex->fixingCalendar()),
fixedConvention_(swapIndex->fixedLegConvention()),
fixedFrequency_(swapIndex->fixedLegTenor().frequency()),
fixedDayCount_(swapIndex->dayCounter()),
spread_(spread), endOfMonth_(endOfMonth),
fwdStart_(fwdStart), discountHandle_(discount) {
// take fixing into account
iborIndex_ = swapIndex->iborIndex()->clone(termStructureHandle_);
// We want to be notified of changes of fixings, but we don't
// want notifications from termStructureHandle_ (they would
// interfere with bootstrapping.)
iborIndex_->unregisterWith(termStructureHandle_);
registerWith(iborIndex_);
registerWith(spread_);
registerWith(discountHandle_);
pillarDate_ = customPillarDate;
initializeDates();
}
SwapRateHelper::SwapRateHelper(const Handle<Quote>& rate,
const Period& tenor,
const Calendar& calendar,
Frequency fixedFrequency,
BusinessDayConvention fixedConvention,
const DayCounter& fixedDayCount,
const ext::shared_ptr<IborIndex>& iborIndex,
const Handle<Quote>& spread,
const Period& fwdStart,
const Handle<YieldTermStructure>& discount,
Natural settlementDays,
Pillar::Choice pillarChoice,
Date customPillarDate,
bool endOfMonth)
: RelativeDateRateHelper(rate),
settlementDays_(settlementDays),
tenor_(tenor), pillarChoice_(pillarChoice),
calendar_(calendar),
fixedConvention_(fixedConvention),
fixedFrequency_(fixedFrequency),
fixedDayCount_(fixedDayCount),
spread_(spread), endOfMonth_(endOfMonth),
fwdStart_(fwdStart), discountHandle_(discount) {
// take fixing into account
iborIndex_ = iborIndex->clone(termStructureHandle_);
// We want to be notified of changes of fixings, but we don't
// want notifications from termStructureHandle_ (they would
// interfere with bootstrapping.)
iborIndex_->unregisterWith(termStructureHandle_);
registerWith(iborIndex_);
registerWith(spread_);
registerWith(discountHandle_);
pillarDate_ = customPillarDate;
initializeDates();
}
SwapRateHelper::SwapRateHelper(Rate rate,
const ext::shared_ptr<SwapIndex>& swapIndex,
const Handle<Quote>& spread,
const Period& fwdStart,
const Handle<YieldTermStructure>& discount,
Pillar::Choice pillarChoice,
Date customPillarDate,
bool endOfMonth)
: RelativeDateRateHelper(rate),
settlementDays_(Null<Natural>()),
tenor_(swapIndex->tenor()), pillarChoice_(pillarChoice),
calendar_(swapIndex->fixingCalendar()),
fixedConvention_(swapIndex->fixedLegConvention()),
fixedFrequency_(swapIndex->fixedLegTenor().frequency()),
fixedDayCount_(swapIndex->dayCounter()),
spread_(spread), endOfMonth_(endOfMonth),
fwdStart_(fwdStart), discountHandle_(discount) {
// take fixing into account
iborIndex_ = swapIndex->iborIndex()->clone(termStructureHandle_);
// We want to be notified of changes of fixings, but we don't
// want notifications from termStructureHandle_ (they would
// interfere with bootstrapping.)
iborIndex_->unregisterWith(termStructureHandle_);
registerWith(iborIndex_);
registerWith(spread_);
registerWith(discountHandle_);
pillarDate_ = customPillarDate;
initializeDates();
}
SwapRateHelper::SwapRateHelper(Rate rate,
const Period& tenor,
const Calendar& calendar,
Frequency fixedFrequency,
BusinessDayConvention fixedConvention,
const DayCounter& fixedDayCount,
const ext::shared_ptr<IborIndex>& iborIndex,
const Handle<Quote>& spread,
const Period& fwdStart,
const Handle<YieldTermStructure>& discount,
Natural settlementDays,
Pillar::Choice pillarChoice,
Date customPillarDate,
bool endOfMonth)
: RelativeDateRateHelper(rate),
settlementDays_(settlementDays),
tenor_(tenor), pillarChoice_(pillarChoice),
calendar_(calendar),
fixedConvention_(fixedConvention),
fixedFrequency_(fixedFrequency),
fixedDayCount_(fixedDayCount),
spread_(spread), endOfMonth_(endOfMonth),
fwdStart_(fwdStart), discountHandle_(discount) {
// take fixing into account
iborIndex_ = iborIndex->clone(termStructureHandle_);
// We want to be notified of changes of fixings, but we don't
// want notifications from termStructureHandle_ (they would
// interfere with bootstrapping.)
iborIndex_->unregisterWith(termStructureHandle_);
registerWith(iborIndex_);
registerWith(spread_);
registerWith(discountHandle_);
pillarDate_ = customPillarDate;
initializeDates();
}
void SwapRateHelper::initializeDates() {
// 1. do not pass the spread here, as it might be a Quote
// i.e. it can dinamically change
// 2. input discount curve Handle might be empty now but it could
// be assigned a curve later; use a RelinkableHandle here
swap_ = MakeVanillaSwap(tenor_, iborIndex_, 0.0, fwdStart_)
.withSettlementDays(settlementDays_)
.withDiscountingTermStructure(discountRelinkableHandle_)
.withFixedLegDayCount(fixedDayCount_)
.withFixedLegTenor(Period(fixedFrequency_))
.withFixedLegConvention(fixedConvention_)
.withFixedLegTerminationDateConvention(fixedConvention_)
.withFixedLegCalendar(calendar_)
.withFixedLegEndOfMonth(endOfMonth_)
.withFloatingLegCalendar(calendar_)
.withFloatingLegEndOfMonth(endOfMonth_);
earliestDate_ = swap_->startDate();
maturityDate_ = swap_->maturityDate();
ext::shared_ptr<IborCoupon> lastCoupon =
ext::dynamic_pointer_cast<IborCoupon>(swap_->floatingLeg().back());
latestRelevantDate_ = std::max(maturityDate_, lastCoupon->fixingEndDate());
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_ = pillarDate_; // backward compatibility
}
void SwapRateHelper::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 SwapRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
// we didn't register as observers - force calculation
swap_->recalculate();
// weak implementation... to be improved
static const Spread basisPoint = 1.0e-4;
Real floatingLegNPV = swap_->floatingLegNPV();
Spread spread = spread_.empty() ? 0.0 : spread_->value();
Real spreadNPV = swap_->floatingLegBPS()/basisPoint*spread;
Real totNPV = - (floatingLegNPV+spreadNPV);
Real result = totNPV/(swap_->fixedLegBPS()/basisPoint);
return result;
}
void SwapRateHelper::accept(AcyclicVisitor& v) {
Visitor<SwapRateHelper>* v1 =
dynamic_cast<Visitor<SwapRateHelper>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
RateHelper::accept(v);
}
BMASwapRateHelper::BMASwapRateHelper(
const Handle<Quote>& liborFraction,
const Period& tenor,
Natural settlementDays,
const Calendar& calendar,
// bma leg
const Period& bmaPeriod,
BusinessDayConvention bmaConvention,
const DayCounter& bmaDayCount,
const ext::shared_ptr<BMAIndex>& bmaIndex,
// libor leg
const ext::shared_ptr<IborIndex>& iborIndex)
: RelativeDateRateHelper(liborFraction),
tenor_(tenor), settlementDays_(settlementDays),
calendar_(calendar),
bmaPeriod_(bmaPeriod),
bmaConvention_(bmaConvention),
bmaDayCount_(bmaDayCount),
bmaIndex_(bmaIndex),
iborIndex_(iborIndex) {
registerWith(iborIndex_);
registerWith(bmaIndex_);
initializeDates();
}
void BMASwapRateHelper::initializeDates() {
// if the evaluation date is not a business day
// then move to the next business day
JointCalendar jc(calendar_,
iborIndex_->fixingCalendar());
Date referenceDate = jc.adjust(evaluationDate_);
earliestDate_ =
calendar_.advance(referenceDate, settlementDays_ * Days, Following);
Date maturity = earliestDate_ + tenor_;
// dummy BMA index with curve/swap arguments
ext::shared_ptr<BMAIndex> clonedIndex(new BMAIndex(termStructureHandle_));
Schedule bmaSchedule =
MakeSchedule().from(earliestDate_).to(maturity)
.withTenor(bmaPeriod_)
.withCalendar(bmaIndex_->fixingCalendar())
.withConvention(bmaConvention_)
.backwards();
Schedule liborSchedule =
MakeSchedule().from(earliestDate_).to(maturity)
.withTenor(iborIndex_->tenor())
.withCalendar(iborIndex_->fixingCalendar())
.withConvention(iborIndex_->businessDayConvention())
.endOfMonth(iborIndex_->endOfMonth())
.backwards();
swap_ = ext::shared_ptr<BMASwap>(new BMASwap(BMASwap::Payer, 100.0,
liborSchedule,
0.75, // arbitrary
0.0,
iborIndex_,
iborIndex_->dayCounter(),
bmaSchedule,
clonedIndex,
bmaDayCount_));
swap_->setPricingEngine(ext::shared_ptr<PricingEngine>(new
DiscountingSwapEngine(iborIndex_->forwardingTermStructure())));
Date d = calendar_.adjust(swap_->maturityDate(), Following);
Weekday w = d.weekday();
Date nextWednesday = (w >= 4) ?
d + (11 - w) * Days :
d + (4 - w) * Days;
latestDate_ = clonedIndex->valueDate(
clonedIndex->fixingCalendar().adjust(nextWednesday));
}
void BMASwapRateHelper::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);
RelativeDateRateHelper::setTermStructure(t);
}
Real BMASwapRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
// we didn't register as observers - force calculation
swap_->recalculate();
return swap_->fairLiborFraction();
}
void BMASwapRateHelper::accept(AcyclicVisitor& v) {
Visitor<BMASwapRateHelper>* v1 =
dynamic_cast<Visitor<BMASwapRateHelper>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
RateHelper::accept(v);
}
FxSwapRateHelper::FxSwapRateHelper(const Handle<Quote>& fwdPoint,
const Handle<Quote>& spotFx,
const Period& tenor,
Natural fixingDays,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
bool isFxBaseCurrencyCollateralCurrency,
const Handle<YieldTermStructure>& coll,
const Calendar& tradingCalendar)
: RelativeDateRateHelper(fwdPoint), spot_(spotFx), tenor_(tenor),
fixingDays_(fixingDays), cal_(calendar), conv_(convention),
eom_(endOfMonth),
isFxBaseCurrencyCollateralCurrency_(isFxBaseCurrencyCollateralCurrency),
collHandle_(coll), tradingCalendar_(tradingCalendar) {
registerWith(spot_);
registerWith(collHandle_);
if (tradingCalendar_.empty())
jointCalendar_ = cal_;
else
jointCalendar_ = JointCalendar(tradingCalendar_, cal_,
JoinHolidays);
initializeDates();
}
void FxSwapRateHelper::initializeDates() {
// if the evaluation date is not a business day
// then move to the next business day
Date refDate = cal_.adjust(evaluationDate_);
earliestDate_ = cal_.advance(refDate, fixingDays_*Days);
if (!tradingCalendar_.empty()) {
// check if fx trade can be settled in US, if not, adjust it
earliestDate_ = jointCalendar_.adjust(earliestDate_);
latestDate_ = jointCalendar_.advance(earliestDate_, tenor_,
conv_, eom_);
} else {
latestDate_ = cal_.advance(earliestDate_, tenor_, conv_, eom_);
}
}
Real FxSwapRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
QL_REQUIRE(!collHandle_.empty(), "collateral term structure not set");
DiscountFactor d1 = collHandle_->discount(earliestDate_);
DiscountFactor d2 = collHandle_->discount(latestDate_);
Real collRatio = d1 / d2;
d1 = termStructureHandle_->discount(earliestDate_);
d2 = termStructureHandle_->discount(latestDate_);
Real ratio = d1 / d2;
Real spot = spot_->value();
if (isFxBaseCurrencyCollateralCurrency_) {
return (ratio/collRatio-1)*spot;
} else {
return (collRatio/ratio-1)*spot;
}
}
void FxSwapRateHelper::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);
collRelinkableHandle_.linkTo(*collHandle_, observer);
RelativeDateRateHelper::setTermStructure(t);
}
void FxSwapRateHelper::accept(AcyclicVisitor& v) {
Visitor<FxSwapRateHelper>* v1 =
dynamic_cast<Visitor<FxSwapRateHelper>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
RateHelper::accept(v);
}
}
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