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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2021 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
<https://www.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/cashflows/iborcoupon.hpp>
#include <ql/cashflows/overnightindexedcoupon.hpp>
#include <ql/experimental/termstructures/basisswapratehelpers.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/utilities/null_deleter.hpp>
#include <utility>
namespace QuantLib {
IborIborBasisSwapRateHelper::IborIborBasisSwapRateHelper(
const Handle<Quote>& basis,
const Period& tenor,
Natural settlementDays,
Calendar calendar,
BusinessDayConvention convention,
bool endOfMonth,
const ext::shared_ptr<IborIndex>& baseIndex,
const ext::shared_ptr<IborIndex>& otherIndex,
Handle<YieldTermStructure> discountHandle,
bool bootstrapBaseCurve)
: RelativeDateRateHelper(basis), tenor_(tenor), settlementDays_(settlementDays),
calendar_(std::move(calendar)), convention_(convention), endOfMonth_(endOfMonth),
discountHandle_(std::move(discountHandle)), bootstrapBaseCurve_(bootstrapBaseCurve) {
// we need to clone the index whose forecast curve we want to bootstrap
// and copy the other one
if (bootstrapBaseCurve_) {
baseIndex_ = baseIndex->clone(termStructureHandle_);
baseIndex_->unregisterWith(termStructureHandle_);
otherIndex_ = otherIndex;
} else {
baseIndex_ = baseIndex;
otherIndex_ = otherIndex->clone(termStructureHandle_);
otherIndex_->unregisterWith(termStructureHandle_);
}
registerWith(baseIndex_);
registerWith(otherIndex_);
registerWith(discountHandle_);
IborIborBasisSwapRateHelper::initializeDates();
}
void IborIborBasisSwapRateHelper::initializeDates() {
Date today = Settings::instance().evaluationDate();
earliestDate_ = calendar_.advance(today, settlementDays_ * Days, Following);
maturityDate_ = calendar_.advance(earliestDate_, tenor_, convention_);
Schedule baseSchedule =
MakeSchedule().from(earliestDate_).to(maturityDate_)
.withTenor(baseIndex_->tenor())
.withCalendar(calendar_)
.withConvention(convention_)
.endOfMonth(endOfMonth_)
.forwards();
Leg baseLeg = IborLeg(baseSchedule, baseIndex_).withNotionals(100.0);
auto lastBaseCoupon = ext::dynamic_pointer_cast<IborCoupon>(baseLeg.back());
Schedule otherSchedule =
MakeSchedule().from(earliestDate_).to(maturityDate_)
.withTenor(otherIndex_->tenor())
.withCalendar(calendar_)
.withConvention(convention_)
.endOfMonth(endOfMonth_)
.forwards();
Leg otherLeg = IborLeg(otherSchedule, otherIndex_).withNotionals(100.0);
auto lastOtherCoupon = ext::dynamic_pointer_cast<IborCoupon>(otherLeg.back());
latestRelevantDate_ = std::max(maturityDate_,
std::max(lastBaseCoupon->fixingEndDate(),
lastOtherCoupon->fixingEndDate()));
pillarDate_ = latestRelevantDate_;
swap_ = ext::make_shared<Swap>(baseLeg, otherLeg);
swap_->setPricingEngine(ext::make_shared<DiscountingSwapEngine>(discountHandle_));
}
void IborIborBasisSwapRateHelper::setTermStructure(YieldTermStructure* t) {
bool observer = false;
ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());
termStructureHandle_.linkTo(temp, observer);
RelativeDateRateHelper::setTermStructure(t);
}
Real IborIborBasisSwapRateHelper::impliedQuote() const {
swap_->deepUpdate();
return - (swap_->NPV() / swap_->legBPS(0)) * 1.0e-4;
}
void IborIborBasisSwapRateHelper::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<IborIborBasisSwapRateHelper>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
RateHelper::accept(v);
}
OvernightIborBasisSwapRateHelper::OvernightIborBasisSwapRateHelper(
const Handle<Quote>& basis,
const Period& tenor,
Natural settlementDays,
Calendar calendar,
BusinessDayConvention convention,
bool endOfMonth,
const ext::shared_ptr<OvernightIndex>& baseIndex,
const ext::shared_ptr<IborIndex>& otherIndex,
Handle<YieldTermStructure> discountHandle)
: RelativeDateRateHelper(basis), tenor_(tenor), settlementDays_(settlementDays),
calendar_(std::move(calendar)), convention_(convention), endOfMonth_(endOfMonth),
discountHandle_(std::move(discountHandle)) {
// we need to clone the index whose forecast curve we want to bootstrap
// and copy the other one
baseIndex_ = baseIndex;
otherIndex_ = otherIndex->clone(termStructureHandle_);
otherIndex_->unregisterWith(termStructureHandle_);
registerWith(baseIndex_);
registerWith(otherIndex_);
registerWith(discountHandle_);
OvernightIborBasisSwapRateHelper::initializeDates();
}
void OvernightIborBasisSwapRateHelper::initializeDates() {
Date today = Settings::instance().evaluationDate();
earliestDate_ = calendar_.advance(today, settlementDays_ * Days, Following);
maturityDate_ = calendar_.advance(earliestDate_, tenor_, convention_);
Schedule schedule =
MakeSchedule().from(earliestDate_).to(maturityDate_)
.withTenor(otherIndex_->tenor())
.withCalendar(calendar_)
.withConvention(convention_)
.endOfMonth(endOfMonth_)
.forwards();
Leg baseLeg = OvernightLeg(schedule, baseIndex_).withNotionals(100.0);
Leg otherLeg = IborLeg(schedule, otherIndex_).withNotionals(100.0);
auto lastOtherCoupon = ext::dynamic_pointer_cast<IborCoupon>(otherLeg.back());
latestRelevantDate_ = std::max(maturityDate_, lastOtherCoupon->fixingEndDate());
pillarDate_ = latestRelevantDate_;
swap_ = ext::make_shared<Swap>(baseLeg, otherLeg);
swap_->setPricingEngine(ext::make_shared<DiscountingSwapEngine>(
discountHandle_.empty() ? termStructureHandle_ : discountHandle_));
}
void OvernightIborBasisSwapRateHelper::setTermStructure(YieldTermStructure* t) {
// do not set the relinkable handle as an observer -
// force recalculation when needed---the index is not lazy
bool observer = false;
ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());
termStructureHandle_.linkTo(temp, observer);
RelativeDateRateHelper::setTermStructure(t);
}
Real OvernightIborBasisSwapRateHelper::impliedQuote() const {
swap_->deepUpdate();
return - (swap_->NPV() / swap_->legBPS(0)) * 1.0e-4;
}
void OvernightIborBasisSwapRateHelper::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<OvernightIborBasisSwapRateHelper>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
RateHelper::accept(v);
}
}
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