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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Roland Lichters
Copyright (C) 2007 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/instruments/bmaswap.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/cashflows/averagebmacoupon.hpp>
namespace QuantLib {
BMASwap::BMASwap(Type type,
Real nominal,
// Libor leg
const Schedule& liborSchedule,
Real liborFraction,
Spread liborSpread,
const boost::shared_ptr<IborIndex>& liborIndex,
const DayCounter& liborDayCount,
// BMA leg
const Schedule& bmaSchedule,
const boost::shared_ptr<BMAIndex>& bmaIndex,
const DayCounter& bmaDayCount)
: Swap(2), type_(type), nominal_(nominal),
liborFraction_(liborFraction), liborSpread_(liborSpread) {
BusinessDayConvention convention =
liborSchedule.businessDayConvention();
legs_[0] = IborLeg(liborSchedule, liborIndex)
.withNotionals(nominal)
.withPaymentDayCounter(liborDayCount)
.withPaymentAdjustment(convention)
.withFixingDays(liborIndex->fixingDays())
.withGearings(liborFraction)
.withSpreads(liborSpread);
legs_[1] = AverageBMALeg(bmaSchedule, bmaIndex)
.withNotionals(nominal)
.withPaymentDayCounter(bmaDayCount)
.withPaymentAdjustment(bmaSchedule.businessDayConvention());
for (Size j=0; j<2; ++j) {
for (Leg::iterator i = legs_[j].begin(); i!= legs_[j].end(); ++i)
registerWith(*i);
}
switch (type_) {
case Payer:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
case Receiver:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
default:
QL_FAIL("Unknown BMA-swap type");
}
}
Real BMASwap::liborFraction() const {
return liborFraction_;
}
Spread BMASwap::liborSpread() const {
return liborSpread_;
}
Real BMASwap::nominal() const {
return nominal_;
}
BMASwap::Type BMASwap::type() const {
return type_;
}
const Leg& BMASwap::liborLeg() const {
return legs_[0];
}
const Leg& BMASwap::bmaLeg() const {
return legs_[1];
}
Real BMASwap::liborLegBPS() const {
calculate();
QL_REQUIRE(legBPS_[0] != Null<Real>(), "result not available");
return legBPS_[0];
}
Real BMASwap::liborLegNPV() const {
calculate();
QL_REQUIRE(legNPV_[0] != Null<Real>(), "result not available");
return legNPV_[0];
}
Real BMASwap::fairLiborFraction() const {
static Spread basisPoint = 1.0e-4;
Real spreadNPV = (liborSpread_/basisPoint)*liborLegBPS();
Real pureLiborNPV = liborLegNPV() - spreadNPV;
QL_REQUIRE(pureLiborNPV != 0.0,
"result not available (null libor NPV)");
return -liborFraction_ * (bmaLegNPV() + spreadNPV) / pureLiborNPV;
}
Spread BMASwap::fairLiborSpread() const {
static Spread basisPoint = 1.0e-4;
return liborSpread_ - NPV()/(liborLegBPS()/basisPoint);
}
Real BMASwap::bmaLegBPS() const {
calculate();
QL_REQUIRE(legBPS_[1] != Null<Real>(), "result not available");
return legBPS_[1];
}
Real BMASwap::bmaLegNPV() const {
calculate();
QL_REQUIRE(legNPV_[1] != Null<Real>(), "result not available");
return legNPV_[1];
}
}
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