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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007, 2008 Ferdinando Ametrano
Copyright (C) 2007 Giorgio Facchinetti
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/makeswaption.hpp>
#include <ql/instruments/makevanillaswap.hpp>
#include <ql/cashflows/cashflows.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/exercise.hpp>
#include <ql/settings.hpp>
namespace QuantLib {
MakeSwaption::MakeSwaption(const boost::shared_ptr<SwapIndex>& swapIndex,
const Period& optionTenor,
Rate strike)
: swapIndex_(swapIndex),
delivery_(Settlement::Physical),
optionTenor_(optionTenor),
optionConvention_(ModifiedFollowing),
fixingDate_(Null<Date>()),
strike_(strike),
underlyingType_(VanillaSwap::Payer) {}
MakeSwaption::MakeSwaption(const boost::shared_ptr<SwapIndex>& swapIndex,
const Date& fixingDate,
Rate strike)
: swapIndex_(swapIndex),
delivery_(Settlement::Physical),
optionConvention_(ModifiedFollowing),
fixingDate_(fixingDate),
strike_(strike),
underlyingType_(VanillaSwap::Payer) {}
MakeSwaption::operator Swaption() const {
boost::shared_ptr<Swaption> swaption = *this;
return *swaption;
}
MakeSwaption::operator boost::shared_ptr<Swaption>() const {
const Date& evaluationDate = Settings::instance().evaluationDate();
const Calendar& fixingCalendar = swapIndex_->fixingCalendar();
if(fixingDate_ == Null<Date>())
fixingDate_ = fixingCalendar.advance(evaluationDate, optionTenor_,
optionConvention_);
if (exerciseDate_ == Null<Date>()) {
exercise_ = boost::shared_ptr<Exercise>(new
EuropeanExercise(fixingDate_));
} else {
QL_REQUIRE(exerciseDate_ <= fixingDate_,
"exercise date (" << exerciseDate_ << ") must be less "
"than or equal to fixing date (" << fixingDate_ << ")");
exercise_ = boost::shared_ptr<Exercise>(new
EuropeanExercise(exerciseDate_));
}
Rate usedStrike = strike_;
if (strike_ == Null<Rate>()) {
// ATM on the forecasting curve
QL_REQUIRE(!swapIndex_->forwardingTermStructure().empty(),
"null term structure set to this instance of " <<
swapIndex_->name());
boost::shared_ptr<VanillaSwap> temp =
swapIndex_->underlyingSwap(fixingDate_);
temp->setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(
swapIndex_->forwardingTermStructure(),
false)));
usedStrike = temp->fairRate();
}
BusinessDayConvention bdc = swapIndex_->fixedLegConvention();
underlyingSwap_ =
MakeVanillaSwap(swapIndex_->tenor(),
swapIndex_->iborIndex(), usedStrike)
.withEffectiveDate(swapIndex_->valueDate(fixingDate_))
.withFixedLegCalendar(swapIndex_->fixingCalendar())
.withFixedLegDayCount(swapIndex_->dayCounter())
.withFixedLegTenor(swapIndex_->fixedLegTenor())
.withFixedLegConvention(bdc)
.withFixedLegTerminationDateConvention(bdc)
.withType(underlyingType_);
boost::shared_ptr<Swaption> swaption(new
Swaption(underlyingSwap_, exercise_, delivery_));
swaption->setPricingEngine(engine_);
return swaption;
}
MakeSwaption& MakeSwaption::withSettlementType(Settlement::Type delivery) {
delivery_ = delivery;
return *this;
}
MakeSwaption&
MakeSwaption::withOptionConvention(BusinessDayConvention bdc) {
optionConvention_ = bdc;
return *this;
}
MakeSwaption& MakeSwaption::withExerciseDate(const Date& date) {
exerciseDate_ = date;
return *this;
}
MakeSwaption& MakeSwaption::withUnderlyingType(const VanillaSwap::Type type) {
underlyingType_ = type;
return *this;
}
MakeSwaption& MakeSwaption::withPricingEngine(
const boost::shared_ptr<PricingEngine>& engine) {
engine_ = engine;
return *this;
}
}
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