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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, 2020 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.
*/
#include <ql/termstructures/yield/overnightindexfutureratehelper.hpp>
#include <ql/indexes/ibor/sofr.hpp>
#include <ql/utilities/null_deleter.hpp>
namespace QuantLib {
namespace {
Date getValidSofrStart(Month month, Year year, Frequency freq) {
return freq == Monthly ?
UnitedStates(UnitedStates::GovernmentBond).adjust(Date(1, month, year)) :
Date::nthWeekday(3, Wednesday, month, year);
}
Date getValidSofrEnd(Month month, Year year, Frequency freq) {
if (freq == Monthly) {
Calendar dc = UnitedStates(UnitedStates::GovernmentBond);
Date d = dc.endOfMonth(Date(1, month, year));
return dc.advance(d, 1*Days);
} else {
Date d = getValidSofrStart(month, year, freq) + Period(freq);
return Date::nthWeekday(3, Wednesday, d.month(), d.year());
}
}
}
OvernightIndexFutureRateHelper::OvernightIndexFutureRateHelper(
const Handle<Quote>& price,
// first day of reference period
const Date& valueDate,
// delivery date
const Date& maturityDate,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
const Handle<Quote>& convexityAdjustment,
RateAveraging::Type averagingMethod)
: RateHelper(price) {
ext::shared_ptr<Payoff> payoff;
ext::shared_ptr<OvernightIndex> index =
ext::dynamic_pointer_cast<OvernightIndex>(overnightIndex->clone(termStructureHandle_));
future_ = ext::make_shared<OvernightIndexFuture>(
index, valueDate, maturityDate, convexityAdjustment, averagingMethod);
earliestDate_ = valueDate;
latestDate_ = maturityDate;
}
Real OvernightIndexFutureRateHelper::impliedQuote() const {
future_->recalculate();
return future_->NPV();
}
void OvernightIndexFutureRateHelper::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);
RateHelper::setTermStructure(t);
}
void OvernightIndexFutureRateHelper::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<OvernightIndexFutureRateHelper>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
RateHelper::accept(v);
}
Real OvernightIndexFutureRateHelper::convexityAdjustment() const {
return future_->convexityAdjustment();
}
SofrFutureRateHelper::SofrFutureRateHelper(
const Handle<Quote>& price,
Month referenceMonth,
Year referenceYear,
Frequency referenceFreq,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
const Handle<Quote>& convexityAdjustment,
RateAveraging::Type averagingMethod)
: OvernightIndexFutureRateHelper(price,
getValidSofrStart(referenceMonth, referenceYear, referenceFreq),
getValidSofrEnd(referenceMonth, referenceYear, referenceFreq),
overnightIndex,
convexityAdjustment,
averagingMethod) {
QL_REQUIRE(referenceFreq == Quarterly || referenceFreq == Monthly,
"only monthly and quarterly SOFR futures accepted");
if (referenceFreq == Quarterly) {
QL_REQUIRE(referenceMonth == Mar || referenceMonth == Jun || referenceMonth == Sep ||
referenceMonth == Dec,
"quarterly SOFR futures can only start in Mar,Jun,Sep,Dec");
}
}
SofrFutureRateHelper::SofrFutureRateHelper(
Real price,
Month referenceMonth,
Year referenceYear,
Frequency referenceFreq,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
Real convexityAdjustment,
RateAveraging::Type averagingMethod)
: OvernightIndexFutureRateHelper(
Handle<Quote>(ext::make_shared<SimpleQuote>(price)),
getValidSofrStart(referenceMonth, referenceYear, referenceFreq),
getValidSofrEnd(referenceMonth, referenceYear, referenceFreq),
overnightIndex,
Handle<Quote>(ext::make_shared<SimpleQuote>(convexityAdjustment)),
averagingMethod) {
QL_REQUIRE(referenceFreq == Quarterly || referenceFreq == Monthly,
"only monthly and quarterly SOFR futures accepted");
if (referenceFreq == Quarterly) {
QL_REQUIRE(referenceMonth == Mar || referenceMonth == Jun || referenceMonth == Sep ||
referenceMonth == Dec,
"quarterly SOFR futures can only start in Mar,Jun,Sep,Dec");
}
}
SofrFutureRateHelper::SofrFutureRateHelper(
const Handle<Quote>& price,
Month referenceMonth,
Year referenceYear,
Frequency referenceFreq,
const Handle<Quote>& convexityAdjustment)
: OvernightIndexFutureRateHelper(price,
getValidSofrStart(referenceMonth, referenceYear, referenceFreq),
getValidSofrEnd(referenceMonth, referenceYear, referenceFreq),
ext::make_shared<Sofr>(),
convexityAdjustment,
referenceFreq == Quarterly ? RateAveraging::Compound : RateAveraging::Simple) {
QL_REQUIRE(referenceFreq == Quarterly || referenceFreq == Monthly,
"only monthly and quarterly SOFR futures accepted");
if (referenceFreq == Quarterly) {
QL_REQUIRE(referenceMonth == Mar || referenceMonth == Jun || referenceMonth == Sep ||
referenceMonth == Dec,
"quarterly SOFR futures can only start in Mar,Jun,Sep,Dec");
}
}
SofrFutureRateHelper::SofrFutureRateHelper(
Real price,
Month referenceMonth,
Year referenceYear,
Frequency referenceFreq,
Real convexityAdjustment)
: OvernightIndexFutureRateHelper(
Handle<Quote>(ext::make_shared<SimpleQuote>(price)),
getValidSofrStart(referenceMonth, referenceYear, referenceFreq),
getValidSofrEnd(referenceMonth, referenceYear, referenceFreq),
ext::make_shared<Sofr>(),
Handle<Quote>(ext::make_shared<SimpleQuote>(convexityAdjustment)),
referenceFreq == Quarterly ? RateAveraging::Compound : RateAveraging::Simple) {
QL_REQUIRE(referenceFreq == Quarterly || referenceFreq == Monthly,
"only monthly and quarterly SOFR futures accepted");
if (referenceFreq == Quarterly) {
QL_REQUIRE(referenceMonth == Mar || referenceMonth == Jun || referenceMonth == Sep ||
referenceMonth == Dec,
"quarterly SOFR futures can only start in Mar,Jun,Sep,Dec");
}
}
}
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