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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Allen Kuo
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/event.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/instruments/forwardrateagreement.hpp>
#include <utility>
#include <iostream>
namespace QuantLib {
ForwardRateAgreement::ForwardRateAgreement(const ext::shared_ptr<IborIndex>& index,
const Date& valueDate,
Position::Type type,
Rate strikeForwardRate,
Real notionalAmount,
Handle<YieldTermStructure> discountCurve)
: ForwardRateAgreement(index, valueDate, index->maturityDate(valueDate), type,
strikeForwardRate, notionalAmount, std::move(discountCurve)) {
useIndexedCoupon_ = true;
}
ForwardRateAgreement::ForwardRateAgreement(const ext::shared_ptr<IborIndex>& index,
const Date& valueDate,
const Date& maturityDate,
Position::Type type,
Rate strikeForwardRate,
Real notionalAmount,
Handle<YieldTermStructure> discountCurve)
: fraType_(type), notionalAmount_(notionalAmount), index_(index),
useIndexedCoupon_(false), dayCounter_(index->dayCounter()),
calendar_(index->fixingCalendar()), businessDayConvention_(index->businessDayConvention()),
valueDate_(valueDate), maturityDate_(maturityDate),
discountCurve_(std::move(discountCurve)) {
maturityDate_ = calendar_.adjust(maturityDate_, businessDayConvention_);
registerWith(Settings::instance().evaluationDate());
registerWith(discountCurve_);
QL_REQUIRE(notionalAmount > 0.0, "notionalAmount must be positive");
QL_REQUIRE(valueDate_ < maturityDate_, "valueDate must be earlier than maturityDate");
strikeForwardRate_ = InterestRate(strikeForwardRate,
index->dayCounter(),
Simple, Once);
registerWith(index_);
}
Date ForwardRateAgreement::fixingDate() const {
return index_->fixingDate(valueDate_);
}
bool ForwardRateAgreement::isExpired() const {
return detail::simple_event(valueDate_).hasOccurred();
}
Real ForwardRateAgreement::amount() const {
calculate();
return amount_;
}
InterestRate ForwardRateAgreement::forwardRate() const {
calculate();
return forwardRate_;
}
void ForwardRateAgreement::setupExpired() const {
Instrument::setupExpired();
calculateForwardRate();
}
void ForwardRateAgreement::performCalculations() const {
calculateAmount();
Handle<YieldTermStructure> discount =
discountCurve_.empty() ? index_->forwardingTermStructure() : discountCurve_;
NPV_ = amount_ * discount->discount(valueDate_);
}
void ForwardRateAgreement::calculateForwardRate() const {
if (useIndexedCoupon_)
forwardRate_ =
InterestRate(index_->fixing(fixingDate()), index_->dayCounter(), Simple, Once);
else
// par coupon approximation
forwardRate_ =
InterestRate((index_->forwardingTermStructure()->discount(valueDate_) /
index_->forwardingTermStructure()->discount(maturityDate_) -
1.0) /
index_->dayCounter().yearFraction(valueDate_, maturityDate_),
index_->dayCounter(), Simple, Once);
}
void ForwardRateAgreement::calculateAmount() const {
calculateForwardRate();
Integer sign = fraType_ == Position::Long? 1 : -1;
Rate F = forwardRate_.rate();
Rate K = strikeForwardRate_.rate();
Time T = forwardRate_.dayCounter().yearFraction(valueDate_, maturityDate_);
amount_ = notionalAmount_ * sign * (F - K) * T / (1.0 + F * T);
}
}
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