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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/energyvanillaswap.hpp>
#include <ql/experimental/commodities/commoditysettings.hpp>
namespace QuantLib {
EnergyVanillaSwap::EnergyVanillaSwap(
bool payer, const Calendar& calendar,
const Money& fixedPrice,
const UnitOfMeasure& fixedPriceUnitOfMeasure,
const boost::shared_ptr<CommodityIndex>& index,
const Currency& payCurrency,
const Currency& receiveCurrency,
const PricingPeriods& pricingPeriods,
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),
payReceive_(payer ? 1 : 0), fixedPrice_(fixedPrice),
fixedPriceUnitOfMeasure_(fixedPriceUnitOfMeasure),
index_(index), payLegTermStructure_(payLegTermStructure),
receiveLegTermStructure_(receiveLegTermStructure),
discountTermStructure_(discountTermStructure) {
QL_REQUIRE(pricingPeriods_.size() > 0, "no pricing periods");
registerWith(index_);
}
bool EnergyVanillaSwap::isExpired() const {
return detail::simple_event(pricingPeriods_.back()->endDate())
.hasOccurred();
}
void EnergyVanillaSwap::performCalculations() const {
try {
if (index_->empty()) {
if (index_->forwardCurveEmpty()) {
QL_FAIL("index [" << index_->name()
<< "] does not have any quotes");
} else {
addPricingError(PricingError::Warning,
"index [" + index_->name() +
"] does not have any quotes; "
"using forward prices from ["
+ index_->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 fixedPriceUomConversionFactor =
calculateUomConversionFactor(
pricingPeriods_[0]->quantity().commodityType(),
fixedPriceUnitOfMeasure_, baseUnitOfMeasure);
Real indexUomConversionFactor =
calculateUomConversionFactor(index_->commodityType(),
index_->unitOfMeasure(),
baseUnitOfMeasure);
Real fixedPriceFxConversionFactor =
calculateFxConversionFactor(fixedPrice_.currency(),
baseCurrency, evaluationDate);
Real indexPriceFxConversionFactor =
calculateFxConversionFactor(index_->currency(),
baseCurrency, evaluationDate);
Real payLegFxConversionFactor =
calculateFxConversionFactor(
baseCurrency,
payReceive_ > 0 ? payCurrency_ : receiveCurrency_,
evaluationDate);
Real receiveLegFxConversionFactor =
calculateFxConversionFactor(
baseCurrency,
payReceive_ > 0 ? receiveCurrency_ : payCurrency_,
evaluationDate);
Date lastQuoteDate = index_->lastQuoteDate();
if (lastQuoteDate < evaluationDate - 1) {
std::ostringstream message;
message << "index [" << index_->name()
<< "] has last quote date of "
<< io::iso_date(lastQuoteDate);
addPricingError(PricingError::Warning, message.str());
}
Real totalQuantityAmount = 0;
// price each period
for (PricingPeriods::const_iterator pi = pricingPeriods_.begin();
pi != pricingPeriods_.end(); pi++) {
const boost::shared_ptr<PricingPeriod>& pricingPeriod = *pi;
QL_REQUIRE(pricingPeriod->quantity().amount() != 0,
"quantity is zero");
Integer periodDayCount = 0;
// get the futures quotes or everything after
Date periodStartDate =
calendar_.adjust(pricingPeriod->startDate());
for (Date stepDate = periodStartDate;
stepDate <= pricingPeriod->endDate();
stepDate = calendar_.advance(stepDate, 1*Days)) {
bool unrealized = stepDate > evaluationDate;
Real quoteValue = 0;
if (stepDate <= lastQuoteDate) {
quoteValue = index_->price(stepDate);
} else {
quoteValue = index_->forwardPrice(stepDate);
}
if (quoteValue == 0) {
std::ostringstream message;
message << "pay quote value for curve ["
<< index_->name() << "] is 0 for date "
<< io::iso_date(stepDate);
addPricingError(PricingError::Warning, message.str());
}
QL_REQUIRE(quoteValue != Null<Real>(),
"curve [" << index_->name() <<
"] missing value for pricing date: "
<< stepDate);
Real fixedLegPriceValue =
fixedPrice_.value() * fixedPriceUomConversionFactor *
fixedPriceFxConversionFactor;
Real floatingLegPriceValue =
quoteValue * indexUomConversionFactor *
indexPriceFxConversionFactor;
Real payLegPriceValue =
payReceive_ > 0 ? fixedLegPriceValue :
floatingLegPriceValue;
Real receiveLegPriceValue =
payReceive_ > 0 ? floatingLegPriceValue :
fixedLegPriceValue;
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) {
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 * payReceive_) > 0) ? payLegFxConversionFactor :
receiveLegFxConversionFactor;
Currency pmtCurrency =
((dDelta * payReceive_) > 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_.empty(), "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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