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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 J. Erik Radmall
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/experimental/commodities/energybasisswap.hpp>
#include <ql/experimental/commodities/commoditysettings.hpp>
namespace QuantLib {
EnergyBasisSwap::EnergyBasisSwap(
const Calendar& calendar,
const boost::shared_ptr<CommodityIndex>& spreadIndex,
const boost::shared_ptr<CommodityIndex>& payIndex,
const boost::shared_ptr<CommodityIndex>& receiveIndex,
bool spreadToPayLeg,
const Currency& payCurrency,
const Currency& receiveCurrency,
const PricingPeriods& pricingPeriods,
const CommodityUnitCost& basis,
const CommodityType& commodityType,
const boost::shared_ptr<SecondaryCosts>& secondaryCosts,
const Handle<YieldTermStructure>& payLegTermStructure,
const Handle<YieldTermStructure>& receiveLegTermStructure,
const Handle<YieldTermStructure>& discountTermStructure)
: EnergySwap(calendar, payCurrency, receiveCurrency,
pricingPeriods, commodityType, secondaryCosts),
spreadIndex_(spreadIndex), payIndex_(payIndex),
receiveIndex_(receiveIndex), spreadToPayLeg_(spreadToPayLeg),
basis_(basis), payLegTermStructure_(payLegTermStructure),
receiveLegTermStructure_(receiveLegTermStructure),
discountTermStructure_(discountTermStructure) {
QL_REQUIRE(pricingPeriods_.size() > 0, "no payment dates");
registerWith(spreadIndex_);
registerWith(payIndex_);
registerWith(receiveIndex_);
}
void EnergyBasisSwap::performCalculations() const {
try {
if (payIndex_->empty()) {
if (payIndex_->forwardCurveEmpty()) {
QL_FAIL("index [" + payIndex_->name() +
"] does not have any quotes or forward prices");
} else {
addPricingError(PricingError::Warning,
"index [" + payIndex_->name() +
"] does not have any quotes; "
"using forward prices from [" +
payIndex_->forwardCurve()->name() + "]");
}
}
if (receiveIndex_->empty()) {
if (receiveIndex_->forwardCurveEmpty()) {
QL_FAIL("index [" + receiveIndex_->name() +
"] does not have any quotes or forward prices");
} else {
addPricingError(PricingError::Warning,
"index [" + receiveIndex_->name() +
"] does not have any quotes; "
"using forward prices from [" +
receiveIndex_->forwardCurve()->name() +
"]");
}
}
NPV_ = 0.0;
additionalResults_.clear();
dailyPositions_.clear();
paymentCashFlows_.clear();
Date evaluationDate = Settings::instance().evaluationDate();
const Currency& baseCurrency =
CommoditySettings::instance().currency();
const UnitOfMeasure baseUnitOfMeasure =
CommoditySettings::instance().unitOfMeasure();
Real quantityUomConversionFactor =
calculateUomConversionFactor(
pricingPeriods_[0]->quantity().commodityType(),
baseUnitOfMeasure,
pricingPeriods_[0]->quantity().unitOfMeasure());
Real payIndexUomConversionFactor =
calculateUomConversionFactor(payIndex_->commodityType(),
payIndex_->unitOfMeasure(),
baseUnitOfMeasure);
Real receiveIndexUomConversionFactor =
calculateUomConversionFactor(receiveIndex_->commodityType(),
receiveIndex_->unitOfMeasure(),
baseUnitOfMeasure);
Real payIndexFxConversionFactor =
calculateFxConversionFactor(payIndex_->currency(),
baseCurrency, evaluationDate);
Real receiveIndexFxConversionFactor =
calculateFxConversionFactor(receiveIndex_->currency(),
baseCurrency, evaluationDate);
Real payLegFxConversionFactor =
calculateFxConversionFactor(baseCurrency, payCurrency_,
evaluationDate);
Real receiveLegFxConversionFactor =
calculateFxConversionFactor(baseCurrency, receiveCurrency_,
evaluationDate);
Real basisUomConversionFactor =
calculateUomConversionFactor(
pricingPeriods_[0]->quantity().commodityType(),
basis_.unitOfMeasure(), baseUnitOfMeasure);
Real basisFxConversionFactor =
calculateFxConversionFactor(baseCurrency,
basis_.amount().currency(),
evaluationDate);
Real basisValue = basis_.amount().value() *
basisUomConversionFactor * basisFxConversionFactor;
Date lastPayIndexQuoteDate = payIndex_->lastQuoteDate();
Date lastReceiveIndexQuoteDate = receiveIndex_->lastQuoteDate();
if (lastPayIndexQuoteDate < evaluationDate - 1) {
std::ostringstream message;
message << "index [" << payIndex_->name()
<< "] has last quote date of "
<< io::iso_date(lastPayIndexQuoteDate);
addPricingError(PricingError::Warning, message.str());
}
if (lastReceiveIndexQuoteDate < evaluationDate - 1) {
std::ostringstream message;
message << "index [" << receiveIndex_->name()
<< "] has last quote date of "
<< io::iso_date(lastReceiveIndexQuoteDate);
addPricingError(PricingError::Warning, message.str());
}
Date lastQuoteDate = std::min(lastPayIndexQuoteDate,
lastReceiveIndexQuoteDate);
Real totalQuantityAmount = 0;
// price each period
for (PricingPeriods::const_iterator pi = pricingPeriods_.begin();
pi != pricingPeriods_.end(); pi++) {
const boost::shared_ptr<PricingPeriod>& pricingPeriod = *pi;
Integer periodDayCount = 0;
// get the index quotes
Date periodStartDate =
calendar_.adjust(pricingPeriod->startDate());
for (Date stepDate = periodStartDate;
stepDate <= pricingPeriod->endDate();
stepDate = calendar_.advance(stepDate, 1*Days)) {
bool unrealized = stepDate > evaluationDate;
Real payQuoteValue = 0;
Real receiveQuoteValue = 0;
if (stepDate <= lastQuoteDate) {
payQuoteValue = payIndex_->price(stepDate);
receiveQuoteValue = receiveIndex_->price(stepDate);
} else {
payQuoteValue = payIndex_->forwardPrice(stepDate);
receiveQuoteValue =
receiveIndex_->forwardPrice(stepDate);
}
if (payQuoteValue == 0) {
std::ostringstream message;
message << "pay quote value for curve ["
<< payIndex_->name() << "] is 0 for date "
<< io::iso_date(stepDate);
addPricingError(PricingError::Warning, message.str());
}
if (receiveQuoteValue == 0) {
std::ostringstream message;
message << "receive quote value for curve ["
<< receiveIndex_->name() << "] is 0 for date "
<< io::iso_date(stepDate);
addPricingError(PricingError::Warning, message.str());
}
QL_REQUIRE(payQuoteValue != Null<Real>(),
"curve [" << payIndex_->name() <<
"] missing value for pricing date: "
<< stepDate);
QL_REQUIRE(receiveQuoteValue != Null<Real>(),
"curve [" << receiveIndex_->name() <<
"] missing value for pricing date: "
<< stepDate);
Real payLegPriceValue =
payQuoteValue * payIndexUomConversionFactor *
payIndexFxConversionFactor;
Real receiveLegPriceValue =
receiveQuoteValue * receiveIndexUomConversionFactor *
receiveIndexFxConversionFactor;
if (spreadToPayLeg_)
payLegPriceValue += basisValue;
else
receiveLegPriceValue += basisValue;
dailyPositions_[stepDate] =
EnergyDailyPosition(stepDate, payLegPriceValue,
receiveLegPriceValue, unrealized);
periodDayCount++;
}
Real periodQuantityAmount =
pricingPeriod->quantity().amount() *
quantityUomConversionFactor;
totalQuantityAmount += periodQuantityAmount;
Real avgDailyQuantityAmount =
periodDayCount == 0 ? 0 :
periodQuantityAmount / periodDayCount;
Real payLegValue = 0;
Real receiveLegValue = 0;
for (std::map<Date, EnergyDailyPosition>::iterator dpi =
dailyPositions_.find(periodStartDate);
dpi != dailyPositions_.end() &&
dpi->first <= pricingPeriod->endDate(); dpi++) {
EnergyDailyPosition& dailyPosition = dpi->second;
dailyPosition.quantityAmount = avgDailyQuantityAmount;
dailyPosition.riskDelta =
(-dailyPosition.payLegPrice + dailyPosition.receiveLegPrice) * avgDailyQuantityAmount;
payLegValue += -dailyPosition.payLegPrice * avgDailyQuantityAmount;
receiveLegValue += dailyPosition.receiveLegPrice * avgDailyQuantityAmount;
}
Real discountFactor = 1;
Real payLegDiscountFactor = 1;
Real receiveLegDiscountFactor = 1;
if (pricingPeriod->paymentDate() >= evaluationDate + 2 /* settlement days*/) {
discountFactor =
discountTermStructure_->discount(
pricingPeriod->paymentDate());
payLegDiscountFactor =
payLegTermStructure_->discount(
pricingPeriod->paymentDate());
receiveLegDiscountFactor =
receiveLegTermStructure_->discount(
pricingPeriod->paymentDate());
}
Real uDelta = receiveLegValue + payLegValue;
Real dDelta = (receiveLegValue * receiveLegDiscountFactor) +
(payLegValue * payLegDiscountFactor);
Real pmtFxConversionFactor =
(dDelta > 0) ? payLegFxConversionFactor : receiveLegFxConversionFactor;
Currency pmtCurrency =
(dDelta > 0) ? receiveCurrency_ : payCurrency_;
Real pmtDiscountFactor =
(dDelta > 0) ? receiveLegDiscountFactor : payLegDiscountFactor;
paymentCashFlows_[pricingPeriod->paymentDate()] =
boost::shared_ptr<CommodityCashFlow> (
new CommodityCashFlow(pricingPeriod->paymentDate(),
Money(baseCurrency,
uDelta * discountFactor),
Money(baseCurrency, uDelta),
Money(pmtCurrency,
dDelta * pmtFxConversionFactor),
Money(pmtCurrency,
uDelta * pmtFxConversionFactor),
discountFactor,
pmtDiscountFactor,
pricingPeriod->paymentDate() <= evaluationDate));
calculateSecondaryCostAmounts(
pricingPeriods_[0]->quantity().commodityType(),
totalQuantityAmount, evaluationDate);
NPV_ += dDelta;
}
QL_REQUIRE(paymentCashFlows_.size() > 0, "no cashflows");
for (SecondaryCostAmounts::const_iterator i =
secondaryCostAmounts_.begin();
i != secondaryCostAmounts_.end(); i++) {
Real amount = i->second.value();
NPV_ -= amount;
}
additionalResults_["dailyPositions"] = dailyPositions_;
} catch (const QuantLib::Error& e) {
addPricingError(PricingError::Error, e.what());
throw;
} catch (const std::exception& e) {
addPricingError(PricingError::Error, e.what());
throw;
}
}
}
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