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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2018 Roy Zywina
Copyright (C) 2019 Eisuke Tani
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 overnightindexfuture.hpp
\brief Overnight Index Future
*/
#ifndef quantlib_overnightindexfuture_hpp
#define quantlib_overnightindexfuture_hpp
#include <ql/indexes/iborindex.hpp>
#include <ql/instruments/forward.hpp>
#include <ql/cashflows/rateaveraging.hpp>
namespace QuantLib {
/*! Future on a compounded overnight index investment.
Compatible with SOFR futures and Sonia futures available on
CME and ICE exchanges.
*/
class OvernightIndexFuture : public Instrument {
public:
OvernightIndexFuture(
ext::shared_ptr<OvernightIndex> overnightIndex,
const Date& valueDate,
const Date& maturityDate,
Handle<Quote> convexityAdjustment = Handle<Quote>(),
RateAveraging::Type averagingMethod = RateAveraging::Compound);
Real convexityAdjustment() const;
bool isExpired() const override;
const ext::shared_ptr<OvernightIndex>& overnightIndex() const { return overnightIndex_; }
Date valueDate() const { return valueDate_; }
Date maturityDate() const { return maturityDate_; }
private:
void performCalculations() const override;
Real rate() const;
Real averagedRate() const;
Real compoundedRate() const;
ext::shared_ptr<OvernightIndex> overnightIndex_;
Date valueDate_, maturityDate_;
Handle<Quote> convexityAdjustment_;
RateAveraging::Type averagingMethod_;
};
}
#endif
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