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/*
Copyright (C) 2006, 2009 Ferdinando Ametrano
Copyright (C) 2006, 2007, 2009 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/indexes/swapindex.hpp>
#include <ql/instruments/makevanillaswap.hpp>
#include <ql/instruments/makeois.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/time/schedule.hpp>
#include <sstream>
using boost::shared_ptr;
namespace QuantLib {
SwapIndex::SwapIndex(const std::string& familyName,
const Period& tenor,
Natural settlementDays,
Currency currency,
const Calendar& fixingCalendar,
const Period& fixedLegTenor,
BusinessDayConvention fixedLegConvention,
const DayCounter& fixedLegDayCounter,
const shared_ptr<IborIndex>& iborIndex)
: InterestRateIndex(familyName, tenor, settlementDays,
currency, fixingCalendar, fixedLegDayCounter),
tenor_(tenor), iborIndex_(iborIndex),
fixedLegTenor_(fixedLegTenor),
fixedLegConvention_(fixedLegConvention),
exogenousDiscount_(false),
discount_(Handle<YieldTermStructure>()) {
registerWith(iborIndex_);
}
SwapIndex::SwapIndex(const std::string& familyName,
const Period& tenor,
Natural settlementDays,
Currency currency,
const Calendar& fixingCalendar,
const Period& fixedLegTenor,
BusinessDayConvention fixedLegConvention,
const DayCounter& fixedLegDayCounter,
const shared_ptr<IborIndex>& iborIndex,
const Handle<YieldTermStructure>& discount)
: InterestRateIndex(familyName, tenor, settlementDays,
currency, fixingCalendar, fixedLegDayCounter),
tenor_(tenor), iborIndex_(iborIndex),
fixedLegTenor_(fixedLegTenor),
fixedLegConvention_(fixedLegConvention),
exogenousDiscount_(true),
discount_(discount) {
registerWith(iborIndex_);
}
Handle<YieldTermStructure> SwapIndex::forwardingTermStructure() const {
return iborIndex_->forwardingTermStructure();
}
Handle<YieldTermStructure> SwapIndex::discountingTermStructure() const {
return discount_; // empty if not exogenous
}
Rate SwapIndex::forecastFixing(const Date& fixingDate) const {
return underlyingSwap(fixingDate)->fairRate();
}
shared_ptr<VanillaSwap>
SwapIndex::underlyingSwap(const Date& fixingDate) const {
QL_REQUIRE(fixingDate!=Date(), "null fixing date");
// caching mechanism
if (lastFixingDate_!=fixingDate) {
Rate fixedRate = 0.0;
if (exogenousDiscount_)
lastSwap_ = MakeVanillaSwap(tenor_, iborIndex_, fixedRate)
.withEffectiveDate(valueDate(fixingDate))
.withFixedLegCalendar(fixingCalendar())
.withFixedLegDayCount(dayCounter_)
.withFixedLegTenor(fixedLegTenor_)
.withFixedLegConvention(fixedLegConvention_)
.withFixedLegTerminationDateConvention(fixedLegConvention_)
.withDiscountingTermStructure(discount_);
else
lastSwap_ = MakeVanillaSwap(tenor_, iborIndex_, fixedRate)
.withEffectiveDate(valueDate(fixingDate))
.withFixedLegCalendar(fixingCalendar())
.withFixedLegDayCount(dayCounter_)
.withFixedLegTenor(fixedLegTenor_)
.withFixedLegConvention(fixedLegConvention_)
.withFixedLegTerminationDateConvention(fixedLegConvention_);
lastFixingDate_ = fixingDate;
}
return lastSwap_;
}
Date SwapIndex::maturityDate(const Date& valueDate) const {
Date fixDate = fixingDate(valueDate);
return underlyingSwap(fixDate)->maturityDate();
}
shared_ptr<SwapIndex>
SwapIndex::clone(const Handle<YieldTermStructure>& forwarding) const {
if (exogenousDiscount_)
return shared_ptr<SwapIndex>(new
SwapIndex(familyName(),
tenor(),
fixingDays(),
currency(),
fixingCalendar(),
fixedLegTenor(),
fixedLegConvention(),
dayCounter(),
iborIndex_->clone(forwarding),
discount_));
else
return shared_ptr<SwapIndex>(new
SwapIndex(familyName(),
tenor(),
fixingDays(),
currency(),
fixingCalendar(),
fixedLegTenor(),
fixedLegConvention(),
dayCounter(),
iborIndex_->clone(forwarding)));
}
shared_ptr<SwapIndex>
SwapIndex::clone(const Handle<YieldTermStructure>& forwarding,
const Handle<YieldTermStructure>& discounting) const {
return shared_ptr<SwapIndex>(new
SwapIndex(familyName(),
tenor(),
fixingDays(),
currency(),
fixingCalendar(),
fixedLegTenor(),
fixedLegConvention(),
dayCounter(),
iborIndex_->clone(forwarding),
discounting));
}
shared_ptr<SwapIndex>
SwapIndex::clone(const Period& tenor) const {
if (exogenousDiscount_)
return shared_ptr<SwapIndex>(new
SwapIndex(familyName(),
tenor,
fixingDays(),
currency(),
fixingCalendar(),
fixedLegTenor(),
fixedLegConvention(),
dayCounter(),
iborIndex(),
discountingTermStructure()));
else
return shared_ptr<SwapIndex>(new
SwapIndex(familyName(),
tenor,
fixingDays(),
currency(),
fixingCalendar(),
fixedLegTenor(),
fixedLegConvention(),
dayCounter(),
iborIndex()));
}
OvernightIndexedSwapIndex::OvernightIndexedSwapIndex(
const std::string& familyName,
const Period& tenor,
Natural settlementDays,
Currency currency,
const shared_ptr<OvernightIndex>& overnightIndex)
: SwapIndex(familyName, tenor, settlementDays,
currency, overnightIndex->fixingCalendar(),
1*Years, ModifiedFollowing, overnightIndex->dayCounter(),
overnightIndex),
overnightIndex_(overnightIndex) {}
boost::shared_ptr<OvernightIndexedSwap>
OvernightIndexedSwapIndex::underlyingSwap(const Date& fixingDate) const {
QL_REQUIRE(fixingDate!=Date(), "null fixing date");
// caching mechanism
if (lastFixingDate_!=fixingDate) {
Rate fixedRate = 0.0;
lastSwap_ = MakeOIS(tenor_, overnightIndex_, fixedRate)
.withEffectiveDate(valueDate(fixingDate))
.withFixedLegDayCount(dayCounter_);
lastFixingDate_ = fixingDate;
}
return lastSwap_;
}
}
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