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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Roland Lichters
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/indexes/bmaindex.hpp>
#include <ql/currencies/america.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <ql/time/daycounters/actualactual.hpp>
namespace QuantLib {
namespace {
Date previousWednesday(const Date& date) {
Weekday w = date.weekday();
if (w >= 4) // roll back w-4 days
return date - (w - 4) * Days;
else // roll forward 4-w days and back one week
return date + (4 - w - 7) * Days;
}
Date nextWednesday(const Date& date) {
return previousWednesday(date+7);
}
}
BMAIndex::BMAIndex(const Handle<YieldTermStructure>& h)
: InterestRateIndex("BMA",
1 * Weeks,
1,
USDCurrency(),
UnitedStates(UnitedStates::NYSE),
ActualActual(ActualActual::ISDA)),
termStructure_(h) {
registerWith (h);
}
bool BMAIndex::isValidFixingDate(const Date& date) const {
Calendar cal = fixingCalendar();
// either the fixing date is last Wednesday, or all days
// between last Wednesday included and the fixing date are
// holidays
for (Date d = previousWednesday(date); d<date; ++d) {
if (cal.isBusinessDay(d))
return false;
}
// also, the fixing date itself must be a business day
return cal.isBusinessDay(date);
}
Handle<YieldTermStructure> BMAIndex::forwardingTermStructure() const {
return termStructure_;
}
Date BMAIndex::maturityDate(const Date& valueDate) const {
Calendar cal = fixingCalendar();
Date fixingDate = cal.advance(valueDate, -1, Days);
Date nextWednesday = previousWednesday(fixingDate+7);
return cal.advance(nextWednesday, 1, Days);
}
Schedule BMAIndex::fixingSchedule(const Date& start, const Date& end) {
return MakeSchedule().from(previousWednesday(start))
.to(nextWednesday(end))
.withFrequency(Weekly)
.withCalendar(fixingCalendar())
.withConvention(Following)
.forwards();
}
Rate BMAIndex::forecastFixing(const Date& fixingDate) const {
QL_REQUIRE(!termStructure_.empty(),
"null term structure set to this instance of " << name());
Date start = fixingCalendar().advance(fixingDate, 1, Days);
Date end = maturityDate(start);
return termStructure_->forwardRate(start, end,
dayCounter_,
Simple);
}
}
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