1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2013 Peter Caspers
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/capflooredcoupon.hpp>
#include <ql/cashflows/cashflows.hpp>
#include <ql/cashflows/cashflowvectors.hpp>
#include <ql/cashflows/cmscoupon.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/experimental/coupons/cmsspreadcoupon.hpp> // internal
#include <ql/indexes/iborindex.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/instruments/floatfloatswap.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/optional.hpp>
#include <utility>
namespace QuantLib {
FloatFloatSwap::FloatFloatSwap(const Swap::Type type,
const Real nominal1,
const Real nominal2,
Schedule schedule1,
ext::shared_ptr<InterestRateIndex> index1,
DayCounter dayCount1,
Schedule schedule2,
ext::shared_ptr<InterestRateIndex> index2,
DayCounter dayCount2,
const bool intermediateCapitalExchange,
const bool finalCapitalExchange,
const Real gearing1,
const Real spread1,
const Real cappedRate1,
const Real flooredRate1,
const Real gearing2,
const Real spread2,
const Real cappedRate2,
const Real flooredRate2,
const ext::optional<BusinessDayConvention>& paymentConvention1,
const ext::optional<BusinessDayConvention>& paymentConvention2)
: Swap(2), type_(type), nominal1_(std::vector<Real>(schedule1.size() - 1, nominal1)),
nominal2_(std::vector<Real>(schedule2.size() - 1, nominal2)),
schedule1_(std::move(schedule1)), schedule2_(std::move(schedule2)),
index1_(std::move(index1)), index2_(std::move(index2)),
gearing1_(std::vector<Real>(schedule1_.size() - 1, gearing1)),
gearing2_(std::vector<Real>(schedule2_.size() - 1, gearing2)),
spread1_(std::vector<Real>(schedule1_.size() - 1, spread1)),
spread2_(std::vector<Real>(schedule2_.size() - 1, spread2)),
cappedRate1_(std::vector<Real>(schedule1_.size() - 1, cappedRate1)),
flooredRate1_(std::vector<Real>(schedule1_.size() - 1, flooredRate1)),
cappedRate2_(std::vector<Real>(schedule2_.size() - 1, cappedRate2)),
flooredRate2_(std::vector<Real>(schedule2_.size() - 1, flooredRate2)),
dayCount1_(std::move(dayCount1)), dayCount2_(std::move(dayCount2)),
intermediateCapitalExchange_(intermediateCapitalExchange),
finalCapitalExchange_(finalCapitalExchange) {
init(paymentConvention1, paymentConvention2);
}
FloatFloatSwap::FloatFloatSwap(const Swap::Type type,
std::vector<Real> nominal1,
std::vector<Real> nominal2,
Schedule schedule1,
ext::shared_ptr<InterestRateIndex> index1,
DayCounter dayCount1,
Schedule schedule2,
ext::shared_ptr<InterestRateIndex> index2,
DayCounter dayCount2,
const bool intermediateCapitalExchange,
const bool finalCapitalExchange,
std::vector<Real> gearing1,
std::vector<Real> spread1,
std::vector<Real> cappedRate1,
std::vector<Real> flooredRate1,
std::vector<Real> gearing2,
std::vector<Real> spread2,
std::vector<Real> cappedRate2,
std::vector<Real> flooredRate2,
const ext::optional<BusinessDayConvention>& paymentConvention1,
const ext::optional<BusinessDayConvention>& paymentConvention2)
: Swap(2), type_(type), nominal1_(std::move(nominal1)), nominal2_(std::move(nominal2)),
schedule1_(std::move(schedule1)), schedule2_(std::move(schedule2)),
index1_(std::move(index1)), index2_(std::move(index2)), gearing1_(std::move(gearing1)),
gearing2_(std::move(gearing2)), spread1_(std::move(spread1)), spread2_(std::move(spread2)),
cappedRate1_(std::move(cappedRate1)), flooredRate1_(std::move(flooredRate1)),
cappedRate2_(std::move(cappedRate2)), flooredRate2_(std::move(flooredRate2)),
dayCount1_(std::move(dayCount1)), dayCount2_(std::move(dayCount2)),
intermediateCapitalExchange_(intermediateCapitalExchange),
finalCapitalExchange_(finalCapitalExchange) {
init(paymentConvention1, paymentConvention2);
}
void FloatFloatSwap::init(
ext::optional<BusinessDayConvention> paymentConvention1,
ext::optional<BusinessDayConvention> paymentConvention2) {
QL_REQUIRE(nominal1_.size() == schedule1_.size() - 1,
"nominal1 size (" << nominal1_.size()
<< ") does not match schedule1 size ("
<< schedule1_.size() << ")");
QL_REQUIRE(nominal2_.size() == schedule2_.size() - 1,
"nominal2 size (" << nominal2_.size()
<< ") does not match schedule2 size ("
<< nominal2_.size() << ")");
QL_REQUIRE(gearing1_.empty() || gearing1_.size() == nominal1_.size(),
"nominal1 size (" << nominal1_.size() << ") does not match gearing1 size ("
<< gearing1_.size() << ")");
QL_REQUIRE(gearing2_.empty() || gearing2_.size() == nominal2_.size(),
"nominal2 size (" << nominal2_.size() << ") does not match gearing2 size ("
<< gearing2_.size() << ")");
QL_REQUIRE(cappedRate1_.empty() || cappedRate1_.size() == nominal1_.size(),
"nominal1 size (" << nominal1_.size() << ") does not match cappedRate1 size ("
<< cappedRate1_.size() << ")");
QL_REQUIRE(cappedRate2_.empty() || cappedRate2_.size() == nominal2_.size(),
"nominal2 size (" << nominal2_.size() << ") does not match cappedRate2 size ("
<< cappedRate2_.size() << ")");
QL_REQUIRE(flooredRate1_.empty() || flooredRate1_.size() == nominal1_.size(),
"nominal1 size (" << nominal1_.size() << ") does not match flooredRate1 size ("
<< flooredRate1_.size() << ")");
QL_REQUIRE(flooredRate2_.empty() || flooredRate2_.size() == nominal2_.size(),
"nominal2 size (" << nominal2_.size() << ") does not match flooredRate2 size ("
<< flooredRate2_.size() << ")");
if (paymentConvention1) // NOLINT(readability-implicit-bool-conversion)
paymentConvention1_ = *paymentConvention1;
else
paymentConvention1_ = schedule1_.businessDayConvention();
if (paymentConvention2) // NOLINT(readability-implicit-bool-conversion)
paymentConvention2_ = *paymentConvention2;
else
paymentConvention2_ = schedule2_.businessDayConvention();
if (gearing1_.empty())
gearing1_ = std::vector<Real>(nominal1_.size(), 1.0);
if (gearing2_.empty())
gearing2_ = std::vector<Real>(nominal2_.size(), 1.0);
if (spread1_.empty())
spread1_ = std::vector<Real>(nominal1_.size(), 0.0);
if (spread2_.empty())
spread2_ = std::vector<Real>(nominal2_.size(), 0.0);
if (cappedRate1_.empty())
cappedRate1_ = std::vector<Real>(nominal1_.size(), Null<Real>());
if (cappedRate2_.empty())
cappedRate2_ = std::vector<Real>(nominal2_.size(), Null<Real>());
if (flooredRate1_.empty())
flooredRate1_ = std::vector<Real>(nominal1_.size(), Null<Real>());
if (flooredRate2_.empty())
flooredRate2_ = std::vector<Real>(nominal2_.size(), Null<Real>());
bool isNull;
isNull = cappedRate1_[0] == Null<Real>();
for (Size i = 0; i < cappedRate1_.size(); i++) {
if (isNull)
QL_REQUIRE(cappedRate1_[i] == Null<Real>(),
"cappedRate1 must be null for all or none entry ("
<< (i + 1) << "th is " << cappedRate1_[i]
<< ")");
else
QL_REQUIRE(cappedRate1_[i] != Null<Real>(),
"cappedRate 1 must be null for all or none entry ("
<< "1st is " << cappedRate1_[0] << ")");
}
isNull = cappedRate2_[0] == Null<Real>();
for (Size i = 0; i < cappedRate2_.size(); i++) {
if (isNull)
QL_REQUIRE(cappedRate2_[i] == Null<Real>(),
"cappedRate2 must be null for all or none entry ("
<< (i + 1) << "th is " << cappedRate2_[i]
<< ")");
else
QL_REQUIRE(cappedRate2_[i] != Null<Real>(),
"cappedRate2 must be null for all or none entry ("
<< "1st is " << cappedRate2_[0] << ")");
}
isNull = flooredRate1_[0] == Null<Real>();
for (Size i = 0; i < flooredRate1_.size(); i++) {
if (isNull)
QL_REQUIRE(flooredRate1_[i] == Null<Real>(),
"flooredRate1 must be null for all or none entry ("
<< (i + 1) << "th is " << flooredRate1_[i]
<< ")");
else
QL_REQUIRE(flooredRate1_[i] != Null<Real>(),
"flooredRate 1 must be null for all or none entry ("
<< "1st is " << flooredRate1_[0] << ")");
}
isNull = flooredRate2_[0] == Null<Real>();
for (Size i = 0; i < flooredRate2_.size(); i++) {
if (isNull)
QL_REQUIRE(flooredRate2_[i] == Null<Real>(),
"flooredRate2 must be null for all or none entry ("
<< (i + 1) << "th is " << flooredRate2_[i]
<< ")");
else
QL_REQUIRE(flooredRate2_[i] != Null<Real>(),
"flooredRate2 must be null for all or none entry ("
<< "1st is " << flooredRate2_[0] << ")");
}
// if the gearing is zero then the ibor / cms leg will be set up with
// fixed coupons which makes trouble here in this context. We therefore
// use a dirty trick and enforce the gearing to be non zero.
for (Real& i : gearing1_)
if (close(i, 0.0))
i = QL_EPSILON;
for (Real& i : gearing2_)
if (close(i, 0.0))
i = QL_EPSILON;
ext::shared_ptr<IborIndex> ibor1 =
ext::dynamic_pointer_cast<IborIndex>(index1_);
ext::shared_ptr<IborIndex> ibor2 =
ext::dynamic_pointer_cast<IborIndex>(index2_);
ext::shared_ptr<SwapIndex> cms1 =
ext::dynamic_pointer_cast<SwapIndex>(index1_);
ext::shared_ptr<SwapIndex> cms2 =
ext::dynamic_pointer_cast<SwapIndex>(index2_);
ext::shared_ptr<SwapSpreadIndex> cmsspread1 =
ext::dynamic_pointer_cast<SwapSpreadIndex>(index1_);
ext::shared_ptr<SwapSpreadIndex> cmsspread2 =
ext::dynamic_pointer_cast<SwapSpreadIndex>(index2_);
QL_REQUIRE(ibor1 != nullptr || cms1 != nullptr || cmsspread1 != nullptr,
"index1 must be ibor or cms or cms spread");
QL_REQUIRE(ibor2 != nullptr || cms2 != nullptr || cmsspread2 != nullptr,
"index2 must be ibor or cms");
if (ibor1 != nullptr) {
IborLeg leg(schedule1_, ibor1);
leg = leg.withNotionals(nominal1_)
.withPaymentDayCounter(dayCount1_)
.withPaymentAdjustment(paymentConvention1_)
.withSpreads(spread1_)
.withGearings(gearing1_);
if (cappedRate1_[0] != Null<Real>())
leg = leg.withCaps(cappedRate1_);
if (flooredRate1_[0] != Null<Real>())
leg = leg.withFloors(flooredRate1_);
legs_[0] = leg;
}
if (ibor2 != nullptr) {
IborLeg leg(schedule2_, ibor2);
leg = leg.withNotionals(nominal2_)
.withPaymentDayCounter(dayCount2_)
.withPaymentAdjustment(paymentConvention2_)
.withSpreads(spread2_)
.withGearings(gearing2_);
if (cappedRate2_[0] != Null<Real>())
leg = leg.withCaps(cappedRate2_);
if (flooredRate2_[0] != Null<Real>())
leg = leg.withFloors(flooredRate2_);
legs_[1] = leg;
}
if (cms1 != nullptr) {
CmsLeg leg(schedule1_, cms1);
leg = leg.withNotionals(nominal1_)
.withPaymentDayCounter(dayCount1_)
.withPaymentAdjustment(paymentConvention1_)
.withSpreads(spread1_)
.withGearings(gearing1_);
if (cappedRate1_[0] != Null<Real>())
leg = leg.withCaps(cappedRate1_);
if (flooredRate1_[0] != Null<Real>())
leg = leg.withFloors(flooredRate1_);
legs_[0] = leg;
}
if (cms2 != nullptr) {
CmsLeg leg(schedule2_, cms2);
leg = leg.withNotionals(nominal2_)
.withPaymentDayCounter(dayCount2_)
.withPaymentAdjustment(paymentConvention2_)
.withSpreads(spread2_)
.withGearings(gearing2_);
if (cappedRate2_[0] != Null<Real>())
leg = leg.withCaps(cappedRate2_);
if (flooredRate2_[0] != Null<Real>())
leg = leg.withFloors(flooredRate2_);
legs_[1] = leg;
}
if (cmsspread1 != nullptr) {
CmsSpreadLeg leg(schedule1_, cmsspread1);
leg = leg.withNotionals(nominal1_)
.withPaymentDayCounter(dayCount1_)
.withPaymentAdjustment(paymentConvention1_)
.withSpreads(spread1_)
.withGearings(gearing1_);
if (cappedRate1_[0] != Null<Real>())
leg = leg.withCaps(cappedRate1_);
if (flooredRate1_[0] != Null<Real>())
leg = leg.withFloors(flooredRate1_);
legs_[0] = leg;
}
if (cmsspread2 != nullptr) {
CmsSpreadLeg leg(schedule2_, cmsspread2);
leg = leg.withNotionals(nominal2_)
.withPaymentDayCounter(dayCount2_)
.withPaymentAdjustment(paymentConvention2_)
.withSpreads(spread2_)
.withGearings(gearing2_);
if (cappedRate2_[0] != Null<Real>())
leg = leg.withCaps(cappedRate2_);
if (flooredRate2_[0] != Null<Real>())
leg = leg.withFloors(flooredRate2_);
legs_[1] = leg;
}
if (intermediateCapitalExchange_) {
for (Size i = 0; i < legs_[0].size() - 1; i++) {
Real cap = nominal1_[i] - nominal1_[i + 1];
if (!close(cap, 0.0)) {
auto it1 = legs_[0].begin();
std::advance(it1, i + 1);
legs_[0].insert(
it1, ext::shared_ptr<CashFlow>(
new Redemption(cap, legs_[0][i]->date())));
auto it2 = nominal1_.begin();
std::advance(it2, i + 1);
nominal1_.insert(it2, nominal1_[i]);
i++;
}
}
for (Size i = 0; i < legs_[1].size() - 1; i++) {
Real cap = nominal2_[i] - nominal2_[i + 1];
if (!close(cap, 0.0)) {
auto it1 = legs_[1].begin();
std::advance(it1, i + 1);
legs_[1].insert(
it1, ext::shared_ptr<CashFlow>(
new Redemption(cap, legs_[1][i]->date())));
auto it2 = nominal2_.begin();
std::advance(it2, i + 1);
nominal2_.insert(it2, nominal2_[i]);
i++;
}
}
}
if (finalCapitalExchange_) {
legs_[0].push_back(ext::shared_ptr<CashFlow>(
new Redemption(nominal1_.back(), legs_[0].back()->date())));
nominal1_.push_back(nominal1_.back());
legs_[1].push_back(ext::shared_ptr<CashFlow>(
new Redemption(nominal2_.back(), legs_[1].back()->date())));
nominal2_.push_back(nominal2_.back());
}
for (auto i = legs_[0].begin(); i < legs_[0].end(); ++i)
registerWith(*i);
for (auto i = legs_[1].begin(); i < legs_[1].end(); ++i)
registerWith(*i);
switch (type_) {
case Swap::Payer:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
case Swap::Receiver:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
default:
QL_FAIL("Unknown float float - swap type");
}
}
void FloatFloatSwap::setupArguments(PricingEngine::arguments *args) const {
Swap::setupArguments(args);
auto* arguments = dynamic_cast<FloatFloatSwap::arguments*>(args);
if (arguments == nullptr)
return; // swap engine ... // QL_REQUIRE(arguments != 0, "argument type does not match");
arguments->type = type_;
arguments->nominal1 = nominal1_;
arguments->nominal2 = nominal2_;
arguments->index1 = index1_;
arguments->index2 = index2_;
const Leg &leg1Coupons = leg1();
const Leg &leg2Coupons = leg2();
arguments->leg1ResetDates = arguments->leg1PayDates =
arguments->leg1FixingDates = std::vector<Date>(leg1Coupons.size());
arguments->leg2ResetDates = arguments->leg2PayDates =
arguments->leg2FixingDates = std::vector<Date>(leg2Coupons.size());
arguments->leg1Spreads = arguments->leg1AccrualTimes =
arguments->leg1Gearings = std::vector<Real>(leg1Coupons.size());
arguments->leg2Spreads = arguments->leg2AccrualTimes =
arguments->leg2Gearings = std::vector<Real>(leg2Coupons.size());
arguments->leg1Coupons =
std::vector<Real>(leg1Coupons.size(), Null<Real>());
arguments->leg2Coupons =
std::vector<Real>(leg2Coupons.size(), Null<Real>());
arguments->leg1IsRedemptionFlow =
std::vector<bool>(leg1Coupons.size(), false);
arguments->leg2IsRedemptionFlow =
std::vector<bool>(leg2Coupons.size(), false);
arguments->leg1CappedRates = arguments->leg1FlooredRates =
std::vector<Real>(leg1Coupons.size(), Null<Real>());
arguments->leg2CappedRates = arguments->leg2FlooredRates =
std::vector<Real>(leg2Coupons.size(), Null<Real>());
for (Size i = 0; i < leg1Coupons.size(); ++i) {
ext::shared_ptr<FloatingRateCoupon> coupon =
ext::dynamic_pointer_cast<FloatingRateCoupon>(leg1Coupons[i]);
if (coupon != nullptr) {
arguments->leg1AccrualTimes[i] = coupon->accrualPeriod();
arguments->leg1PayDates[i] = coupon->date();
arguments->leg1ResetDates[i] = coupon->accrualStartDate();
arguments->leg1FixingDates[i] = coupon->fixingDate();
arguments->leg1Spreads[i] = coupon->spread();
arguments->leg1Gearings[i] = coupon->gearing();
try {
arguments->leg1Coupons[i] = coupon->amount();
}
catch (Error &) {
arguments->leg1Coupons[i] = Null<Real>();
}
ext::shared_ptr<CappedFlooredCoupon> cfcoupon =
ext::dynamic_pointer_cast<CappedFlooredCoupon>(
leg1Coupons[i]);
if (cfcoupon != nullptr) {
arguments->leg1CappedRates[i] = cfcoupon->cap();
arguments->leg1FlooredRates[i] = cfcoupon->floor();
}
} else {
ext::shared_ptr<CashFlow> cashflow =
ext::dynamic_pointer_cast<CashFlow>(leg1Coupons[i]);
auto j =
std::find(arguments->leg1PayDates.begin(),
arguments->leg1PayDates.end(), cashflow->date());
QL_REQUIRE(j != arguments->leg1PayDates.end(),
"nominal redemption on "
<< cashflow->date()
<< "has no corresponding coupon");
Size jIdx = j - arguments->leg1PayDates.begin();
arguments->leg1IsRedemptionFlow[i] = true;
arguments->leg1Coupons[i] = cashflow->amount();
arguments->leg1ResetDates[i] = arguments->leg1ResetDates[jIdx];
arguments->leg1FixingDates[i] =
arguments->leg1FixingDates[jIdx];
arguments->leg1AccrualTimes[i] = 0.0;
arguments->leg1Spreads[i] = 0.0;
arguments->leg1Gearings[i] = 1.0;
arguments->leg1PayDates[i] = cashflow->date();
}
}
for (Size i = 0; i < leg2Coupons.size(); ++i) {
ext::shared_ptr<FloatingRateCoupon> coupon =
ext::dynamic_pointer_cast<FloatingRateCoupon>(leg2Coupons[i]);
if (coupon != nullptr) {
arguments->leg2AccrualTimes[i] = coupon->accrualPeriod();
arguments->leg2PayDates[i] = coupon->date();
arguments->leg2ResetDates[i] = coupon->accrualStartDate();
arguments->leg2FixingDates[i] = coupon->fixingDate();
arguments->leg2Spreads[i] = coupon->spread();
arguments->leg2Gearings[i] = coupon->gearing();
try {
arguments->leg2Coupons[i] = coupon->amount();
}
catch (Error &) {
arguments->leg2Coupons[i] = Null<Real>();
}
ext::shared_ptr<CappedFlooredCoupon> cfcoupon =
ext::dynamic_pointer_cast<CappedFlooredCoupon>(
leg2Coupons[i]);
if (cfcoupon != nullptr) {
arguments->leg2CappedRates[i] = cfcoupon->cap();
arguments->leg2FlooredRates[i] = cfcoupon->floor();
}
} else {
ext::shared_ptr<CashFlow> cashflow =
ext::dynamic_pointer_cast<CashFlow>(leg2Coupons[i]);
auto j =
std::find(arguments->leg2PayDates.begin(),
arguments->leg2PayDates.end(), cashflow->date());
QL_REQUIRE(j != arguments->leg2PayDates.end(),
"nominal redemption on "
<< cashflow->date()
<< "has no corresponding coupon");
Size jIdx = j - arguments->leg2PayDates.begin();
arguments->leg2IsRedemptionFlow[i] = true;
arguments->leg2Coupons[i] = cashflow->amount();
arguments->leg2ResetDates[i] = arguments->leg2ResetDates[jIdx];
arguments->leg2FixingDates[i] =
arguments->leg2FixingDates[jIdx];
arguments->leg2AccrualTimes[i] = 0.0;
arguments->leg2Spreads[i] = 0.0;
arguments->leg2Gearings[i] = 1.0;
arguments->leg2PayDates[i] = cashflow->date();
}
}
}
void FloatFloatSwap::setupExpired() const { Swap::setupExpired(); }
void FloatFloatSwap::fetchResults(const PricingEngine::results *r) const {
Swap::fetchResults(r);
}
void FloatFloatSwap::arguments::validate() const {
Swap::arguments::validate();
QL_REQUIRE(nominal1.size() == leg1ResetDates.size(),
"nominal1 size is different from resetDates1 size");
QL_REQUIRE(nominal1.size() == leg1FixingDates.size(),
"nominal1 size is different from fixingDates1 size");
QL_REQUIRE(nominal1.size() == leg1PayDates.size(),
"nominal1 size is different from payDates1 size");
QL_REQUIRE(nominal1.size() == leg1Spreads.size(),
"nominal1 size is different from spreads1 size");
QL_REQUIRE(nominal1.size() == leg1Gearings.size(),
"nominal1 size is different from gearings1 size");
QL_REQUIRE(nominal1.size() == leg1CappedRates.size(),
"nominal1 size is different from cappedRates1 size");
QL_REQUIRE(nominal1.size() == leg1FlooredRates.size(),
"nominal1 size is different from flooredRates1 size");
QL_REQUIRE(nominal1.size() == leg1Coupons.size(),
"nominal1 size is different from coupons1 size");
QL_REQUIRE(nominal1.size() == leg1AccrualTimes.size(),
"nominal1 size is different from accrualTimes1 size");
QL_REQUIRE(nominal1.size() == leg1IsRedemptionFlow.size(),
"nominal1 size is different from redemption1 size");
QL_REQUIRE(nominal2.size() == leg2ResetDates.size(),
"nominal2 size is different from resetDates2 size");
QL_REQUIRE(nominal2.size() == leg2FixingDates.size(),
"nominal2 size is different from fixingDates2 size");
QL_REQUIRE(nominal2.size() == leg2PayDates.size(),
"nominal2 size is different from payDates2 size");
QL_REQUIRE(nominal2.size() == leg2Spreads.size(),
"nominal2 size is different from spreads2 size");
QL_REQUIRE(nominal2.size() == leg2Gearings.size(),
"nominal2 size is different from gearings2 size");
QL_REQUIRE(nominal2.size() == leg2CappedRates.size(),
"nominal2 size is different from cappedRates2 size");
QL_REQUIRE(nominal2.size() == leg2FlooredRates.size(),
"nominal2 size is different from flooredRates2 size");
QL_REQUIRE(nominal2.size() == leg2Coupons.size(),
"nominal2 size is different from coupons2 size");
QL_REQUIRE(nominal2.size() == leg2AccrualTimes.size(),
"nominal2 size is different from accrualTimes2 size");
QL_REQUIRE(nominal2.size() == leg2IsRedemptionFlow.size(),
"nominal2 size is different from redemption2 size");
QL_REQUIRE(index1 != nullptr, "index1 is null");
QL_REQUIRE(index2 != nullptr, "index2 is null");
}
void FloatFloatSwap::results::reset() { Swap::results::reset(); }
}
|
