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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Allen Kuo
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/event.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/instruments/forwardrateagreement.hpp>
#include <utility>
#include <iostream>
namespace QuantLib {
QL_DEPRECATED_DISABLE_WARNING
ForwardRateAgreement::ForwardRateAgreement(const Date& valueDate,
const Date& maturityDate,
Position::Type type,
Rate strikeForwardRate,
Real notionalAmount,
const ext::shared_ptr<IborIndex>& index,
Handle<YieldTermStructure> discountCurve,
bool useIndexedCoupon)
: fraType_(type), notionalAmount_(notionalAmount), index_(index),
useIndexedCoupon_(useIndexedCoupon), dayCounter_(index->dayCounter()),
calendar_(index->fixingCalendar()), businessDayConvention_(index->businessDayConvention()),
settlementDays_(index->fixingDays()), valueDate_(valueDate), maturityDate_(maturityDate),
discountCurve_(std::move(discountCurve)) {
maturityDate_ = calendar_.adjust(maturityDate_, businessDayConvention_);
registerWith(Settings::instance().evaluationDate());
registerWith(discountCurve_);
QL_REQUIRE(notionalAmount > 0.0, "notionalAmount must be positive");
strikeForwardRate_ = InterestRate(strikeForwardRate,
index->dayCounter(),
Simple, Once);
Real strike = notionalAmount_ *
strikeForwardRate_.compoundFactor(valueDate_,
maturityDate_);
payoff_ = ext::shared_ptr<Payoff>(new ForwardTypePayoff(fraType_,
strike));
// incomeDiscountCurve_ is irrelevant to an FRA
incomeDiscountCurve_ = discountCurve_;
// income is irrelevant to FRA - set it to zero
underlyingIncome_ = 0.0;
registerWith(index_);
}
ForwardRateAgreement::ForwardRateAgreement(const Date& valueDate,
Position::Type type,
Rate strikeForwardRate,
Real notionalAmount,
const ext::shared_ptr<IborIndex>& index,
Handle<YieldTermStructure> discountCurve)
: ForwardRateAgreement(valueDate, index->maturityDate(valueDate), type, strikeForwardRate,
notionalAmount, index, std::move(discountCurve), true) {}
Date ForwardRateAgreement::settlementDate() const {
return calendar_.advance(Settings::instance().evaluationDate(),
settlementDays_, Days);
}
QL_DEPRECATED_ENABLE_WARNING
Date ForwardRateAgreement::fixingDate() const {
return index_->fixingDate(valueDate_);
}
bool ForwardRateAgreement::isExpired() const {
return detail::simple_event(valueDate_).hasOccurred();
}
Real ForwardRateAgreement::spotIncome(
const Handle<YieldTermStructure>&) const {
return 0.0;
}
// In theory, no need to implement this for a FRA (could directly
// supply a forwardValue). For the sake of keeping a consistent
// framework, we adhere to the concept of the forward contract as
// defined in the base class, with an underlying having a
// spotPrice (in this case, a loan or deposit with an NPV). Thus,
// spotValue() is defined here.
Real ForwardRateAgreement::spotValue() const {
calculate();
Handle<YieldTermStructure> discount =
discountCurve_.empty() ? index_->forwardingTermStructure() : discountCurve_;
return notionalAmount_ *
forwardRate().compoundFactor(valueDate_, maturityDate_) *
discount->discount(maturityDate_);
}
Real ForwardRateAgreement::amount() const {
calculate();
return amount_;
}
InterestRate ForwardRateAgreement::forwardRate() const {
calculate();
return forwardRate_;
}
void ForwardRateAgreement::setupExpired() const {
Instrument::setupExpired();
calculateForwardRate();
}
void ForwardRateAgreement::performCalculations() const {
calculateAmount();
Handle<YieldTermStructure> discount =
discountCurve_.empty() ? index_->forwardingTermStructure() : discountCurve_;
NPV_ = amount_ * discount->discount(valueDate_);
QL_DEPRECATED_DISABLE_WARNING
underlyingSpotValue_ = spotValue();
underlyingIncome_ = 0.0;
QL_DEPRECATED_ENABLE_WARNING
}
void ForwardRateAgreement::calculateForwardRate() const {
if (useIndexedCoupon_)
forwardRate_ =
InterestRate(index_->fixing(fixingDate()), index_->dayCounter(), Simple, Once);
else
// par coupon approximation
forwardRate_ =
InterestRate((index_->forwardingTermStructure()->discount(valueDate_) /
index_->forwardingTermStructure()->discount(maturityDate_) -
1.0) /
index_->dayCounter().yearFraction(valueDate_, maturityDate_),
index_->dayCounter(), Simple, Once);
}
void ForwardRateAgreement::calculateAmount() const {
calculateForwardRate();
Integer sign = fraType_ == Position::Long? 1 : -1;
Rate F = forwardRate_.rate();
Rate K = strikeForwardRate_.rate();
Time T = forwardRate_.dayCounter().yearFraction(valueDate_, maturityDate_);
amount_ = notionalAmount_ * sign * (F - K) * T / (1.0 + F * T);
}
QL_DEPRECATED_DISABLE_WARNING
Real ForwardRateAgreement::forwardValue() const {
calculate();
Handle<YieldTermStructure> discount =
discountCurve_.empty() ? index_->forwardingTermStructure() : discountCurve_;
return (underlyingSpotValue_ - underlyingIncome_) / discount->discount(maturityDate_);
}
InterestRate ForwardRateAgreement::impliedYield(Real underlyingSpotValue,
Real forwardValue,
Date settlementDate,
Compounding comp,
const DayCounter& dayCounter) {
Time t = dayCounter.yearFraction(settlementDate, maturityDate_);
Real compoundingFactor =
forwardValue / (underlyingSpotValue - spotIncome(incomeDiscountCurve_));
return InterestRate::impliedRate(compoundingFactor, dayCounter, comp, Annual, t);
}
QL_DEPRECATED_ENABLE_WARNING
}
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