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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.
*/
/*! \file nonstandardswap.hpp
\brief vanilla swap but possibly with period dependent nominal and strike
*/
#ifndef quantlib_nonstandard_swap_hpp
#define quantlib_nonstandard_swap_hpp
#include <ql/instruments/swap.hpp>
#include <ql/instruments/vanillaswap.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/schedule.hpp>
#include <boost/optional.hpp>
namespace QuantLib {
class IborIndex;
class SwapIndex;
//! nonstandard swap
class NonstandardSwap : public Swap {
public:
class arguments;
class results;
class engine;
NonstandardSwap(const VanillaSwap &fromVanilla);
NonstandardSwap(Swap::Type type,
std::vector<Real> fixedNominal,
const std::vector<Real>& floatingNominal,
Schedule fixedSchedule,
std::vector<Real> fixedRate,
DayCounter fixedDayCount,
Schedule floatingSchedule,
ext::shared_ptr<IborIndex> iborIndex,
Real gearing,
Spread spread,
DayCounter floatingDayCount,
bool intermediateCapitalExchange = false,
bool finalCapitalExchange = false,
boost::optional<BusinessDayConvention> paymentConvention = boost::none);
NonstandardSwap(Swap::Type type,
std::vector<Real> fixedNominal,
std::vector<Real> floatingNominal,
Schedule fixedSchedule,
std::vector<Real> fixedRate,
DayCounter fixedDayCount,
Schedule floatingSchedule,
ext::shared_ptr<IborIndex> iborIndex,
std::vector<Real> gearing,
std::vector<Spread> spread,
DayCounter floatingDayCount,
bool intermediateCapitalExchange = false,
bool finalCapitalExchange = false,
boost::optional<BusinessDayConvention> paymentConvention = boost::none);
//! \name Inspectors
//@{
Swap::Type type() const;
const std::vector<Real> &fixedNominal() const;
const std::vector<Real> &floatingNominal() const;
const Schedule &fixedSchedule() const;
const std::vector<Real> &fixedRate() const;
const DayCounter &fixedDayCount() const;
const Schedule &floatingSchedule() const;
const ext::shared_ptr<IborIndex> &iborIndex() const;
Spread spread() const;
Real gearing() const;
const std::vector<Spread>& spreads() const;
const std::vector<Real>& gearings() const;
const DayCounter &floatingDayCount() const;
BusinessDayConvention paymentConvention() const;
const Leg &fixedLeg() const;
const Leg &floatingLeg() const;
//@}
//! \name Results
//@{
//@}
// other
void setupArguments(PricingEngine::arguments* args) const override;
void fetchResults(const PricingEngine::results*) const override;
private:
void init();
void setupExpired() const override;
Swap::Type type_;
std::vector<Real> fixedNominal_, floatingNominal_;
Schedule fixedSchedule_;
std::vector<Real> fixedRate_;
DayCounter fixedDayCount_;
Schedule floatingSchedule_;
ext::shared_ptr<IborIndex> iborIndex_;
std::vector<Spread> spread_;
std::vector<Real> gearing_;
bool singleSpreadAndGearing_;
DayCounter floatingDayCount_;
BusinessDayConvention paymentConvention_;
const bool intermediateCapitalExchange_;
const bool finalCapitalExchange_;
// results
};
//! %Arguments for nonstandard swap calculation
class NonstandardSwap::arguments : public Swap::arguments {
public:
arguments() = default;
Swap::Type type = Swap::Receiver;
std::vector<Real> fixedNominal, floatingNominal;
std::vector<Date> fixedResetDates;
std::vector<Date> fixedPayDates;
std::vector<Time> floatingAccrualTimes;
std::vector<Date> floatingResetDates;
std::vector<Date> floatingFixingDates;
std::vector<Date> floatingPayDates;
std::vector<Real> fixedCoupons;
std::vector<Real> fixedRate;
std::vector<Spread> floatingSpreads;
std::vector<Real> floatingGearings;
std::vector<Real> floatingCoupons;
ext::shared_ptr<IborIndex> iborIndex;
std::vector<bool> fixedIsRedemptionFlow;
std::vector<bool> floatingIsRedemptionFlow;
void validate() const override;
};
//! %Results from nonstandard swap calculation
class NonstandardSwap::results : public Swap::results {
public:
void reset() override;
};
class NonstandardSwap::engine
: public GenericEngine<NonstandardSwap::arguments,
NonstandardSwap::results> {};
// inline definitions
inline Swap::Type NonstandardSwap::type() const { return type_; }
inline const std::vector<Real> &NonstandardSwap::fixedNominal() const {
return fixedNominal_;
}
inline const std::vector<Real> &NonstandardSwap::floatingNominal() const {
return floatingNominal_;
}
inline const Schedule &NonstandardSwap::fixedSchedule() const {
return fixedSchedule_;
}
inline const std::vector<Real> &NonstandardSwap::fixedRate() const {
return fixedRate_;
}
inline const DayCounter &NonstandardSwap::fixedDayCount() const {
return fixedDayCount_;
}
inline const Schedule &NonstandardSwap::floatingSchedule() const {
return floatingSchedule_;
}
inline const ext::shared_ptr<IborIndex> &
NonstandardSwap::iborIndex() const {
return iborIndex_;
}
inline Spread NonstandardSwap::spread() const {
QL_REQUIRE(singleSpreadAndGearing_,
"spread is a vector, use spreads inspector instead");
return spread_.front();
}
inline Real NonstandardSwap::gearing() const {
QL_REQUIRE(singleSpreadAndGearing_,
"gearing is a vector, use gearings inspector instead");
return gearing_.front();
}
inline const std::vector<Spread> &NonstandardSwap::spreads() const {
return spread_;
}
inline const std::vector<Real> &NonstandardSwap::gearings() const {
return gearing_;
}
inline const DayCounter &NonstandardSwap::floatingDayCount() const {
return floatingDayCount_;
}
inline BusinessDayConvention NonstandardSwap::paymentConvention() const {
return paymentConvention_;
}
inline const Leg &NonstandardSwap::fixedLeg() const { return legs_[0]; }
inline const Leg &NonstandardSwap::floatingLeg() const { return legs_[1]; }
}
#endif
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