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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 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/quotes/forwardswapquote.hpp>
#include <ql/settings.hpp>
namespace QuantLib {
ForwardSwapQuote::ForwardSwapQuote(
const boost::shared_ptr<SwapIndex>& swapIndex,
const Handle<Quote>& spread,
const Period& fwdStart)
: swapIndex_(swapIndex), spread_(spread), fwdStart_(fwdStart) {
registerWith(swapIndex_);
registerWith(spread_);
registerWith(Settings::instance().evaluationDate());
evaluationDate_ = Settings::instance().evaluationDate();
initializeDates();
}
void ForwardSwapQuote::initializeDates() {
valueDate_ = swapIndex_->fixingCalendar().advance(
evaluationDate_,
swapIndex_->fixingDays()*Days,
Following);
startDate_ = swapIndex_->fixingCalendar().advance(valueDate_,
fwdStart_,
Following);
fixingDate_ = swapIndex_->fixingDate(startDate_);
swap_ = swapIndex_->underlyingSwap(fixingDate_);
}
void ForwardSwapQuote::update() {
if (evaluationDate_ != Settings::instance().evaluationDate()) {
evaluationDate_ = Settings::instance().evaluationDate();
initializeDates();
}
LazyObject::update();
}
const Date& ForwardSwapQuote::valueDate() const {
calculate();
return valueDate_;
}
const Date& ForwardSwapQuote::startDate() const {
calculate();
return startDate_;
}
const Date& ForwardSwapQuote::fixingDate() const {
calculate();
return fixingDate_;
}
Real ForwardSwapQuote::value() const {
calculate();
return result_;
}
bool ForwardSwapQuote::isValid() const {
bool swapIndexIsValid = true;
try {
swap_->recalculate();
} catch (...) {
swapIndexIsValid = false;
}
bool spreadIsValid = spread_.empty() ? true : spread_->isValid();
return swapIndexIsValid && spreadIsValid;
}
void ForwardSwapQuote::performCalculations() const {
// we didn't register as observers - force calculation
swap_->recalculate();
// weak implementation... to be improved
static const Spread basisPoint = 1.0e-4;
Real floatingLegNPV = swap_->floatingLegNPV();
Spread spread = spread_.empty() ? 0.0 : spread_->value();
Real spreadNPV = swap_->floatingLegBPS()/basisPoint*spread;
Real totNPV = - (floatingLegNPV+spreadNPV);
result_ = totNPV/(swap_->fixedLegBPS()/basisPoint);
}
}
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