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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Roland Lichters
Copyright (C) 2007 StatPro Italia srl
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/cashflows/averagebmacoupon.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/utilities/vectors.hpp>
namespace QuantLib {
namespace {
Integer bmaCutoffDays = 0; // to be verified
class AverageBMACouponPricer : public FloatingRateCouponPricer {
public:
void initialize(const FloatingRateCoupon& coupon) {
coupon_ = dynamic_cast<const AverageBMACoupon*>(&coupon);
QL_ENSURE(coupon_, "wrong coupon type");
}
Rate swapletRate() const {
const std::vector<Date>& fixingDates = coupon_->fixingDates();
const boost::shared_ptr<InterestRateIndex>& index =
coupon_->index();
Natural cutoffDays = 0; // to be verified
Date startDate = coupon_->accrualStartDate() - cutoffDays,
endDate = coupon_->accrualEndDate() - cutoffDays,
d1 = startDate,
d2 = startDate;
QL_REQUIRE (fixingDates.size() > 0, "fixing date list empty");
QL_REQUIRE (index->valueDate(fixingDates.front()) <= startDate,
"first fixing date valid after period start");
QL_REQUIRE (index->valueDate(fixingDates.back()) >= endDate,
"last fixing date valid before period end");
Rate avgBMA = 0.0;
Integer days = 0;
for (Size i=0; i<fixingDates.size() - 1; ++i) {
Date valueDate = index->valueDate(fixingDates[i]);
Date nextValueDate = index->valueDate(fixingDates[i+1]);
if (fixingDates[i] >= endDate || valueDate >= endDate)
break;
if (fixingDates[i+1] < startDate
|| nextValueDate <= startDate)
continue;
d2 = std::min(nextValueDate, endDate);
avgBMA += index->fixing(fixingDates[i]) * (d2 - d1);
days += d2 - d1;
d1 = d2;
}
avgBMA /= (endDate - startDate);
QL_ENSURE(days == endDate - startDate,
"averaging days " << days << " differ from "
"interest days " << (endDate - startDate));
return coupon_->gearing()*avgBMA + coupon_->spread();
}
Real swapletPrice() const {
QL_FAIL("not available");
}
Real capletPrice(Rate) const {
QL_FAIL("not available");
}
Rate capletRate(Rate) const {
QL_FAIL("not available");
}
Real floorletPrice(Rate) const {
QL_FAIL("not available");
}
Rate floorletRate(Rate) const {
QL_FAIL("not available");
}
private:
const AverageBMACoupon* coupon_;
};
}
AverageBMACoupon::AverageBMACoupon(const Date& paymentDate,
Real nominal,
const Date& startDate,
const Date& endDate,
const boost::shared_ptr<BMAIndex>& index,
Real gearing, Spread spread,
const Date& refPeriodStart,
const Date& refPeriodEnd,
const DayCounter& dayCounter)
: FloatingRateCoupon(paymentDate, nominal, startDate, endDate,
index->fixingDays(), index, gearing, spread,
refPeriodStart, refPeriodEnd, dayCounter, false)
{
Calendar cal = index->fixingCalendar();
Integer fixingDays = Integer(index->fixingDays());
fixingDays += bmaCutoffDays;
Date fixingStart = cal.advance(startDate, -fixingDays*Days, Preceding);
fixingSchedule_ = index->fixingSchedule(fixingStart, endDate);
setPricer(boost::shared_ptr<FloatingRateCouponPricer>(
new AverageBMACouponPricer));
}
Date AverageBMACoupon::fixingDate() const {
QL_FAIL("no single fixing date for average-BMA coupon");
}
std::vector<Date> AverageBMACoupon::fixingDates() const {
return fixingSchedule_.dates();
}
Rate AverageBMACoupon::indexFixing() const {
QL_FAIL("no single fixing for average-BMA coupon");
}
std::vector<Rate> AverageBMACoupon::indexFixings() const {
std::vector<Rate> fixings(fixingSchedule_.size());
for (Size i=0; i<fixings.size(); ++i)
fixings[i] = index_->fixing(fixingSchedule_.date(i));
return fixings;
}
Rate AverageBMACoupon::convexityAdjustment() const {
QL_FAIL("not defined for average-BMA coupon");
}
void AverageBMACoupon::accept(AcyclicVisitor& v) {
Visitor<AverageBMACoupon>* v1 =
dynamic_cast<Visitor<AverageBMACoupon>*>(&v);
if (v1 != 0) {
v1->visit(*this);
} else {
FloatingRateCoupon::accept(v);
}
}
AverageBMALeg::AverageBMALeg(const Schedule& schedule,
const boost::shared_ptr<BMAIndex>& index)
: schedule_(schedule), index_(index), paymentAdjustment_(Following) {}
AverageBMALeg& AverageBMALeg::withNotionals(Real notional) {
notionals_ = std::vector<Real>(1,notional);
return *this;
}
AverageBMALeg& AverageBMALeg::withNotionals(
const std::vector<Real>& notionals) {
notionals_ = notionals;
return *this;
}
AverageBMALeg& AverageBMALeg::withPaymentDayCounter(
const DayCounter& dayCounter) {
paymentDayCounter_ = dayCounter;
return *this;
}
AverageBMALeg& AverageBMALeg::withPaymentAdjustment(
BusinessDayConvention convention) {
paymentAdjustment_ = convention;
return *this;
}
AverageBMALeg& AverageBMALeg::withGearings(Real gearing) {
gearings_ = std::vector<Real>(1,gearing);
return *this;
}
AverageBMALeg& AverageBMALeg::withGearings(
const std::vector<Real>& gearings) {
gearings_ = gearings;
return *this;
}
AverageBMALeg& AverageBMALeg::withSpreads(Spread spread) {
spreads_ = std::vector<Spread>(1,spread);
return *this;
}
AverageBMALeg& AverageBMALeg::withSpreads(
const std::vector<Spread>& spreads) {
spreads_ = spreads;
return *this;
}
AverageBMALeg::operator Leg() const {
QL_REQUIRE(!notionals_.empty(), "no notional given");
Leg cashflows;
// the following is not always correct
Calendar calendar = schedule_.calendar();
Date refStart, start, refEnd, end;
Date paymentDate;
Size n = schedule_.size()-1;
for (Size i=0; i<n; ++i) {
refStart = start = schedule_.date(i);
refEnd = end = schedule_.date(i+1);
paymentDate = calendar.adjust(end, paymentAdjustment_);
if (i == 0 && !schedule_.isRegular(i+1))
refStart = calendar.adjust(end - schedule_.tenor(),
paymentAdjustment_);
if (i == n-1 && !schedule_.isRegular(i+1))
refEnd = calendar.adjust(start + schedule_.tenor(),
paymentAdjustment_);
cashflows.push_back(boost::shared_ptr<CashFlow>(new
AverageBMACoupon(paymentDate,
detail::get(notionals_, i, notionals_.back()),
start, end,
index_,
detail::get(gearings_, i, 1.0),
detail::get(spreads_, i, 0.0),
refStart, refEnd,
paymentDayCounter_)));
}
return cashflows;
}
}
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