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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2007 Chiara Fornarola
Copyright (C) 2007, 2009, 2011 Ferdinando Ametrano
Copyright (C) 2007, 2009 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.
*/
/*! \file assetswap.hpp
\brief Bullet bond vs Libor swap
*/
#ifndef quantlib_asset_swap_hpp
#define quantlib_asset_swap_hpp
#include <ql/instruments/swap.hpp>
#include <ql/instruments/bond.hpp>
#include <ql/time/schedule.hpp>
#include <ql/time/daycounter.hpp>
namespace QuantLib {
class IborIndex;
//! Bullet bond vs %Libor swap
/*! for mechanics of par asset swap and market asset swap, refer to
"Introduction to Asset Swap", Lehman Brothers European Fixed
Income Research - January 2000, D. O'Kane
\ingroup instruments
\warning bondCleanPrice must be the (forward) price at the
floatSchedule start date
\bug fair prices are not calculated correctly when using
indexed coupons.
*/
class AssetSwap : public Swap {
public:
class arguments;
class results;
/*! If the passed iborIndex is an overnight rate such as
SOFR, ESTR or SONIA, the floatSchedule argument is
required and will be used to build overnight-indexed
coupons.
*/
AssetSwap(bool payBondCoupon,
ext::shared_ptr<Bond> bond,
Real bondCleanPrice,
const ext::shared_ptr<IborIndex>& iborIndex,
Spread spread,
Schedule floatSchedule = Schedule(),
const DayCounter& floatingDayCount = DayCounter(),
bool parAssetSwap = true,
Real gearing = 1.0,
Real nonParRepayment = Null<Real>(),
Date dealMaturity = Date());
/*! \deprecated Use the other overload.
Deprecated in version 1.37.
*/
[[deprecated("Use the other overload")]]
AssetSwap(bool parAssetSwap,
ext::shared_ptr<Bond> bond,
Real bondCleanPrice,
Real nonParRepayment,
Real gearing,
const ext::shared_ptr<IborIndex>& iborIndex,
Spread spread = 0.0,
const DayCounter& floatingDayCount = DayCounter(),
Date dealMaturity = Date(),
bool payBondCoupon = false);
// results
Spread fairSpread() const;
Real floatingLegBPS() const;
Real floatingLegNPV() const;
Real fairCleanPrice() const;
Real fairNonParRepayment() const;
// inspectors
bool parSwap() const { return parSwap_; }
Spread spread() const { return spread_; }
Real cleanPrice() const { return bondCleanPrice_; }
Real nonParRepayment() const { return nonParRepayment_; }
const ext::shared_ptr<Bond>& bond() const { return bond_; }
bool payBondCoupon() const { return (payer_[0] == -1.0); }
const Leg& bondLeg() const { return legs_[0]; }
const Leg& floatingLeg() const { return legs_[1]; }
// other
void setupArguments(PricingEngine::arguments* args) const override;
void fetchResults(const PricingEngine::results*) const override;
private:
void setupExpired() const override;
ext::shared_ptr<Bond> bond_;
Real bondCleanPrice_, nonParRepayment_;
Spread spread_;
bool parSwap_;
Date upfrontDate_;
// results
mutable Spread fairSpread_;
mutable Real fairCleanPrice_, fairNonParRepayment_;
};
//! %Arguments for asset swap calculation
class AssetSwap::arguments : public Swap::arguments {
public:
arguments() = default;
std::vector<Date> fixedResetDates;
std::vector<Date> fixedPayDates;
std::vector<Real> fixedCoupons;
std::vector<Time> floatingAccrualTimes;
std::vector<Date> floatingResetDates;
std::vector<Date> floatingFixingDates;
std::vector<Date> floatingPayDates;
std::vector<Spread> floatingSpreads;
void validate() const override;
};
//! %Results from simple swap calculation
class AssetSwap::results : public Swap::results {
public:
Spread fairSpread;
Real fairCleanPrice, fairNonParRepayment;
void reset() override;
};
}
#endif
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