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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010, 2011 Ferdinando Ametrano
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/bonds/btp.hpp>
#include <ql/instruments/makevanillaswap.hpp>
#include <ql/pricingengines/bond/bondfunctions.hpp>
#include <ql/time/schedule.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/utilities/dataformatters.hpp>
namespace QuantLib {
CCTEU::CCTEU(const Date& maturityDate,
Spread spread,
const Handle<YieldTermStructure>& fwdCurve,
const Date& startDate,
const Date& issueDate)
: FloatingRateBond(3, 100.0,
Schedule(startDate,
maturityDate, 6*Months,
NullCalendar(), Unadjusted, Unadjusted,
DateGeneration::Backward, true),
boost::shared_ptr<Euribor6M>(new Euribor6M(fwdCurve)),
Actual360(),
Following,
Euribor6M().fixingDays(),
std::vector<Real>(1, 1.0), // gearing
std::vector<Spread>(1, spread),
std::vector<Rate>(), // caps
std::vector<Rate>(), // floors
false, // in arrears
100.0, // redemption
issueDate) {}
BTP::BTP(const Date& maturityDate,
Rate fixedRate,
const Date& startDate,
const Date& issueDate)
: FixedRateBond(3, 100.0,
Schedule(startDate,
maturityDate, 6*Months,
NullCalendar(), Unadjusted, Unadjusted,
DateGeneration::Backward, true),
std::vector<Rate>(1, fixedRate),
ActualActual(ActualActual::ISMA),
ModifiedFollowing, 100.0, issueDate, TARGET()) {}
BTP::BTP(const Date& maturityDate,
Rate fixedRate,
Real redemption,
const Date& startDate,
const Date& issueDate)
: FixedRateBond(3, 100.0,
Schedule(startDate,
maturityDate, 6*Months,
NullCalendar(), Unadjusted, Unadjusted,
DateGeneration::Backward, true),
std::vector<Rate>(1, fixedRate),
ActualActual(ActualActual::ISMA),
ModifiedFollowing, redemption, issueDate, TARGET()) {}
Rate BTP::yield(Real cleanPrice,
Date settlementDate,
Real accuracy,
Size maxEvaluations) const {
return Bond::yield(cleanPrice, ActualActual(ActualActual::ISMA),
Compounded, Annual,
settlementDate, accuracy, maxEvaluations);
}
RendistatoBasket::RendistatoBasket(
const std::vector<boost::shared_ptr<BTP> >& btps,
const std::vector<Real>& outstandings,
const std::vector<Handle<Quote> >& cleanPriceQuotes)
: btps_(btps), outstandings_(outstandings), quotes_(cleanPriceQuotes) {
QL_REQUIRE(!btps_.empty(), "empty RendistatoCalculator Basket");
Size k = btps_.size();
QL_REQUIRE(outstandings_.size()==k,
"mismatch between number of BTPs (" << k <<
") and number of outstandings (" <<
outstandings_.size() << ")");
QL_REQUIRE(quotes_.size()==k,
"mismatch between number of BTPs (" << k <<
") and number of clean prices quotes (" <<
quotes_.size() << ")");
// require non-negative outstanding
for (Size i=0; i<k; ++i) {
QL_REQUIRE(outstandings[i]>=0,
"negative outstanding for " << io::ordinal(i) <<
" bond, maturity " << btps[i]->maturityDate());
// add check for prices ??
}
// TODO: filter out expired bonds, zero outstanding bond, etc
QL_REQUIRE(!btps_.empty(), "invalid bonds only in RendistatoCalculator Basket");
n_ = btps_.size();
outstanding_ = 0.0;
for (Size i=0; i<n_; ++i)
outstanding_ += outstandings[i];
weights_.resize(n_);
for (Size i=0; i<n_; ++i) {
weights_[i] = outstandings[i]/outstanding_;
registerWith(quotes_[i]);
}
}
RendistatoCalculator::RendistatoCalculator(
const boost::shared_ptr<RendistatoBasket>& basket,
const boost::shared_ptr<Euribor>& euriborIndex,
const Handle<YieldTermStructure>& discountCurve)
: basket_(basket),
euriborIndex_(euriborIndex), discountCurve_(discountCurve),
yields_(basket_->size(), 0.05), durations_(basket_->size()),
nSwaps_(15), // TODO: generalize number of swaps and their lenghts
swaps_(nSwaps_),
swapLenghts_(nSwaps_), swapBondDurations_(nSwaps_, Null<Time>()),
swapBondYields_(nSwaps_, 0.05), swapRates_(nSwaps_, Null<Rate>())
{
registerWith(basket_);
registerWith(euriborIndex_);
registerWith(discountCurve_);
Rate dummyRate = 0.05;
for (Size i=0; i<nSwaps_; ++i) {
swapLenghts_[i] = static_cast<Real>(i+1);
swaps_[i] = MakeVanillaSwap(
swapLenghts_[i]*Years, euriborIndex_, dummyRate, 1*Days)
.withDiscountingTermStructure(discountCurve_);
}
}
void RendistatoCalculator::performCalculations() const {
const std::vector<boost::shared_ptr<BTP> >& btps = basket_->btps();
const std::vector<Handle<Quote> >& quotes = basket_->cleanPriceQuotes();
Date bondSettlementDate = btps[0]->settlementDate();
for (Size i=0; i<basket_->size(); ++i) {
yields_[i] = BondFunctions::yield(
*btps[i], quotes[i]->value(),
ActualActual(ActualActual::ISMA), Compounded, Annual,
bondSettlementDate,
// accuracy, maxIterations, guess
1.0e-10, 100, yields_[i]);
durations_[i] = BondFunctions::duration(
*btps[i], yields_[i],
ActualActual(ActualActual::ISMA), Compounded, Annual,
Duration::Modified, bondSettlementDate);
}
duration_ = std::inner_product(basket_->weights().begin(),
basket_->weights().end(),
durations_.begin(), 0.0);
Natural settlDays = 3;
DayCounter fixedDayCount = swaps_[0]->fixedDayCount();
equivalentSwapIndex_ = nSwaps_-1;
swapRates_[0]= swaps_[0]->fairRate();
FixedRateBond swapBond(settlDays,
100.0, // faceAmount
swaps_[0]->fixedSchedule(),
std::vector<Rate>(1, swapRates_[0]),
fixedDayCount,
Following, // paymentConvention
100.0); // redemption
swapBondYields_[0] = BondFunctions::yield(swapBond,
100.0, // floating leg NPV including end payment
ActualActual(ActualActual::ISMA), Compounded, Annual,
bondSettlementDate,
// accuracy, maxIterations, guess
1.0e-10, 100, swapBondYields_[0]);
swapBondDurations_[0] = BondFunctions::duration(
swapBond, swapBondYields_[0],
ActualActual(ActualActual::ISMA), Compounded, Annual,
Duration::Modified, bondSettlementDate);
for (Size i=1; i<nSwaps_; ++i) {
swapRates_[i]= swaps_[i]->fairRate();
FixedRateBond swapBond(settlDays,
100.0, // faceAmount
swaps_[i]->fixedSchedule(),
std::vector<Rate>(1, swapRates_[i]),
fixedDayCount,
Following, // paymentConvention
100.0); // redemption
swapBondYields_[i] = BondFunctions::yield(swapBond,
100.0, // floating leg NPV including end payment
ActualActual(ActualActual::ISMA), Compounded, Annual,
bondSettlementDate,
// accuracy, maxIterations, guess
1.0e-10, 100, swapBondYields_[i]);
swapBondDurations_[i] = BondFunctions::duration(
swapBond, swapBondYields_[i],
ActualActual(ActualActual::ISMA), Compounded, Annual,
Duration::Modified, bondSettlementDate);
if (swapBondDurations_[i] > duration_) {
equivalentSwapIndex_ = i-1;
break; // exit the loop
}
}
return;
}
RendistatoEquivalentSwapLengthQuote::RendistatoEquivalentSwapLengthQuote(
const boost::shared_ptr<RendistatoCalculator>& r) : r_(r) {}
bool RendistatoEquivalentSwapLengthQuote::isValid() const {
try {
value();
return true;
} catch (...) {
return false;
}
}
RendistatoEquivalentSwapSpreadQuote::RendistatoEquivalentSwapSpreadQuote(
const boost::shared_ptr<RendistatoCalculator>& r) : r_(r) {}
bool RendistatoEquivalentSwapSpreadQuote::isValid() const {
try {
value();
return true;
} catch (...) {
return false;
}
}
}
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