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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2023 Marcin Rybacki
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/indexes/equityindex.hpp>
#include <ql/settings.hpp>
#include <utility>
namespace QuantLib {
namespace {
Real resolveSpot(const Handle<Quote>& spot, Real lastFixing) {
QL_REQUIRE(!spot.empty() || lastFixing != Null<Real>(),
"Cannot forecast equity index, missing both spot and historical index");
return spot.empty() ? lastFixing : spot->value();
}
}
EquityIndex::EquityIndex(std::string name,
Calendar fixingCalendar,
Handle<YieldTermStructure> interest,
Handle<YieldTermStructure> dividend,
Handle<Quote> spot)
: EquityIndex(std::move(name),
std::move(fixingCalendar),
Currency(),
std::move(interest),
std::move(dividend),
std::move(spot)) {}
EquityIndex::EquityIndex(std::string name,
Calendar fixingCalendar,
Currency currency,
Handle<YieldTermStructure> interest,
Handle<YieldTermStructure> dividend,
Handle<Quote> spot)
: name_(std::move(name)), fixingCalendar_(std::move(fixingCalendar)),
currency_(std::move(currency)), interest_(std::move(interest)),
dividend_(std::move(dividend)), spot_(std::move(spot)) {
registerWith(interest_);
registerWith(dividend_);
registerWith(spot_);
registerWith(Settings::instance().evaluationDate());
registerWith(notifier());
}
Real EquityIndex::fixing(const Date& fixingDate, bool forecastTodaysFixing) const {
QL_REQUIRE(isValidFixingDate(fixingDate), "Fixing date " << fixingDate << " is not valid");
Date today = Settings::instance().evaluationDate();
if (fixingDate > today || (fixingDate == today && forecastTodaysFixing))
return forecastFixing(fixingDate);
Real result = pastFixing(fixingDate);
if (result != Null<Real>())
// if historical fixing is present use it
return result;
if (fixingDate == today && !spot_.empty())
// Today's fixing is missing, but spot is
// provided, so use it as proxy
return spot_->value();
QL_FAIL("Missing " << name() << " fixing for " << fixingDate);
}
Real EquityIndex::forecastFixing(const Date& fixingDate) const {
QL_REQUIRE(!interest_.empty(),
"null interest rate term structure set to this instance of " << name());
Date today = Settings::instance().evaluationDate();
Date lastFixingDate = fixingCalendar_.adjust(today, BusinessDayConvention::Preceding);
Real spot = resolveSpot(spot_, pastFixing(lastFixingDate));
Real forward;
if (!dividend_.empty()) {
forward = spot * dividend_->discount(fixingDate) / interest_->discount(fixingDate);
} else {
forward = spot / interest_->discount(fixingDate);
}
return forward;
}
ext::shared_ptr<EquityIndex> EquityIndex::clone(const Handle<YieldTermStructure>& interest,
const Handle<YieldTermStructure>& dividend,
const Handle<Quote>& spot) const {
return ext::make_shared<EquityIndex>(name(), fixingCalendar(), currency(), interest,
dividend, spot);
}
}
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