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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Toyin Akin
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/coupons/subperiodcoupons.hpp>
#include <ql/cashflows/cashflowvectors.hpp>
#include <ql/time/schedule.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <cmath>
namespace QuantLib {
SubPeriodsCoupon::SubPeriodsCoupon(
const Date& paymentDate,
Real nominal,
const boost::shared_ptr<IborIndex>& index,
const Date& startDate,
const Date& endDate,
Natural fixingDays,
const DayCounter& dayCounter,
Real gearing,
Rate couponSpread,
Rate rateSpread,
const Date& refPeriodStart,
const Date& refPeriodEnd)
: FloatingRateCoupon(paymentDate, nominal, startDate, endDate,
fixingDays, index, gearing, couponSpread,
refPeriodStart, refPeriodEnd, dayCounter),
rateSpread_(rateSpread) {
const Handle<YieldTermStructure>& rateCurve =
index->forwardingTermStructure();
const Date& referenceDate = rateCurve->referenceDate();
observationsSchedule_ = boost::shared_ptr<Schedule>(new
Schedule(startDate, endDate,
index->tenor(),
NullCalendar(),
Unadjusted,
Unadjusted,
DateGeneration::Forward,
false));
observationDates_ = observationsSchedule_->dates();
observationDates_.pop_back(); //remove end date
observations_ = observationDates_.size();
startTime_ = dayCounter.yearFraction(referenceDate, startDate);
endTime_ = dayCounter.yearFraction(referenceDate, endDate);
for (Size i=0; i<observations_; ++i) {
observationTimes_.push_back(
dayCounter.yearFraction(referenceDate, observationDates_[i]));
}
}
void SubPeriodsCoupon::accept(AcyclicVisitor& v) {
Visitor<SubPeriodsCoupon>* v1 =
dynamic_cast<Visitor<SubPeriodsCoupon>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
FloatingRateCoupon::accept(v);
}
void SubPeriodsPricer::initialize(const FloatingRateCoupon& coupon) {
coupon_ = dynamic_cast<const SubPeriodsCoupon*>(&coupon);
QL_REQUIRE(coupon_, "sub-periods coupon required");
gearing_ = coupon_->gearing();
spread_ = coupon_->spread();
Date paymentDate = coupon_->date();
boost::shared_ptr<IborIndex> index =
boost::dynamic_pointer_cast<IborIndex>(coupon_->index());
const Handle<YieldTermStructure>& rateCurve =
index->forwardingTermStructure();
discount_ = rateCurve->discount(paymentDate);
accrualFactor_ = coupon_->accrualPeriod();
spreadLegValue_ = spread_ * accrualFactor_* discount_;
startTime_ = coupon_->startTime();
endTime_ = coupon_->endTime();
observationTimes_ = coupon_->observationTimes();
observations_ = coupon_->observations();
const std::vector<Date>& observationDates =
coupon_->observationsSchedule()->dates();
QL_REQUIRE(observationDates.size()==observations_+2,
"incompatible size of initialValues vector");
initialValues_ = std::vector<Real>(observationDates.size(),0.);
observationCvg_ = std::vector<Real>(observationDates.size(),0.);
observationIndexStartDates_ =
std::vector<Date>(observationDates.size());
observationIndexEndDates_ =
std::vector<Date>(observationDates.size());
Calendar calendar = index->fixingCalendar();
for(Size i=0; i<observationDates.size(); i++) {
Date fixingDate = calendar.advance(
observationDates[i],
-static_cast<Integer>(coupon_->fixingDays()),
Days);
initialValues_[i] =
index->fixing(fixingDate) + coupon_->rateSpread();
Date fixingValueDate = index->valueDate(fixingDate);
Date endValueDate = index->maturityDate(fixingValueDate);
observationIndexStartDates_[i] = fixingValueDate;
observationIndexEndDates_[i] = endValueDate;
observationCvg_[i] =
index->dayCounter().yearFraction(fixingValueDate, endValueDate);
}
}
Real SubPeriodsPricer::swapletRate() const {
return swapletPrice()/(accrualFactor_*discount_);
}
Real SubPeriodsPricer::capletPrice(Rate) const {
QL_FAIL("SubPeriodsPricer::capletPrice not implemented");
}
Rate SubPeriodsPricer::capletRate(Rate) const {
QL_FAIL("SubPeriodsPricer::capletRate not implemented");
}
Real SubPeriodsPricer::floorletPrice(Rate) const {
QL_FAIL("SubPeriodsPricer::floorletPrice not implemented");
}
Rate SubPeriodsPricer::floorletRate(Rate) const {
QL_FAIL("SubPeriodsPricer::floorletRate not implemented");
}
Real AveragingRatePricer::swapletPrice() const {
// past or future fixing is managed in InterestRateIndex::fixing()
Size nCount = initialValues_.size();
double dAvgRate = 0.0, dTotalCvg = 0.0, dTotalPayment = 0.0;
for (Size i=0; i<nCount; i++) {
dTotalPayment += initialValues_[i] * observationCvg_[i];
dTotalCvg += observationCvg_[i];
}
dAvgRate = dTotalPayment/dTotalCvg;
Real swapletPrice = dAvgRate*coupon_->accrualPeriod()*discount_;
return gearing_ * swapletPrice + spreadLegValue_;
}
Real CompoundingRatePricer::swapletPrice() const {
// past or future fixing is managed in InterestRateIndex::fixing()
double dNotional = 1.0;
Size nCount = initialValues_.size();
double dCompRate = 0.0, dTotalCvg = 0.0, dTotalPayment = 0.0;
for (Size i=0; i<nCount; i++) {
dTotalPayment = initialValues_[i] * observationCvg_[i]*dNotional;
dNotional += dTotalPayment;
dTotalCvg += observationCvg_[i];
}
dCompRate = (dNotional - 1.0)/dTotalCvg;
Real swapletPrice = dCompRate*coupon_->accrualPeriod()*discount_;
return gearing_ * swapletPrice + spreadLegValue_;
}
}
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