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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 Jose Aparicio
Copyright (C) 2014 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/instruments/makecds.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/calendars/weekendsonly.hpp>
namespace QuantLib {
MakeCreditDefaultSwap::MakeCreditDefaultSwap(const Period &tenor,
const Real couponRate)
: side_(Protection::Buyer), nominal_(1.0), tenor_(tenor),
couponTenor_(3 * Months), couponRate_(couponRate), upfrontRate_(0.0),
dayCounter_(Actual360()), lastPeriodDayCounter_(Actual360(true)),
rule_(DateGeneration::CDS), cashSettlementDays_(3) {}
MakeCreditDefaultSwap::MakeCreditDefaultSwap(const Date &termDate,
const Real couponRate)
: side_(Protection::Buyer), nominal_(1.0), termDate_(termDate),
couponTenor_(3 * Months), couponRate_(couponRate), upfrontRate_(0.0),
dayCounter_(Actual360()), lastPeriodDayCounter_(Actual360(true)),
rule_(DateGeneration::CDS), cashSettlementDays_(3) {}
MakeCreditDefaultSwap::operator CreditDefaultSwap() const {
ext::shared_ptr<CreditDefaultSwap> swap = *this;
return *swap;
}
MakeCreditDefaultSwap::operator ext::shared_ptr<CreditDefaultSwap>() const {
Date tradeDate = (tradeDate_ != Date()) ? tradeDate_ : Settings::instance().evaluationDate();
Date upfrontDate = WeekendsOnly().advance(tradeDate, cashSettlementDays_, Days);
Date protectionStart;
if (rule_ == DateGeneration::CDS2015 || rule_ == DateGeneration::CDS) {
protectionStart = tradeDate;
} else {
protectionStart = tradeDate + 1;
}
Date end;
if (tenor_) { // NOLINT(readability-implicit-bool-conversion)
if (rule_ == DateGeneration::CDS2015 || rule_ == DateGeneration::CDS || rule_ == DateGeneration::OldCDS) {
end = cdsMaturity(tradeDate, *tenor_, rule_);
} else {
end = tradeDate + *tenor_;
}
} else {
// we have two exclusive constructors; if we don't have a tenor, we have a term date
end = *termDate_; // NOLINT(bugprone-unchecked-optional-access)
}
Schedule schedule(protectionStart, end, couponTenor_, WeekendsOnly(), Following,
Unadjusted, rule_, false);
ext::shared_ptr<CreditDefaultSwap> cds =
ext::make_shared<CreditDefaultSwap>(
side_, nominal_, upfrontRate_, couponRate_, schedule, Following,
dayCounter_, true, true, protectionStart, upfrontDate,
ext::shared_ptr<Claim>(), lastPeriodDayCounter_, true, tradeDate, cashSettlementDays_);
cds->setPricingEngine(engine_);
return cds;
}
MakeCreditDefaultSwap &
MakeCreditDefaultSwap::withUpfrontRate(Real upfrontRate) {
upfrontRate_ = upfrontRate;
return *this;
}
MakeCreditDefaultSwap &
MakeCreditDefaultSwap::withSide(Protection::Side side) {
side_ = side;
return *this;
}
MakeCreditDefaultSwap &MakeCreditDefaultSwap::withNominal(Real nominal) {
nominal_ = nominal;
return *this;
}
MakeCreditDefaultSwap &
MakeCreditDefaultSwap::withCouponTenor(Period couponTenor) {
couponTenor_ = couponTenor;
return *this;
}
MakeCreditDefaultSwap &
MakeCreditDefaultSwap::withDayCounter(DayCounter &dayCounter) {
dayCounter_ = dayCounter;
return *this;
}
MakeCreditDefaultSwap &MakeCreditDefaultSwap::withLastPeriodDayCounter(
DayCounter &lastPeriodDayCounter) {
lastPeriodDayCounter_ = lastPeriodDayCounter;
return *this;
}
MakeCreditDefaultSwap& MakeCreditDefaultSwap::withDateGenerationRule(DateGeneration::Rule rule) {
rule_ = rule;
return *this;
}
MakeCreditDefaultSwap& MakeCreditDefaultSwap::withCashSettlementDays(Natural cashSettlementDays) {
cashSettlementDays_ = cashSettlementDays;
return *this;
}
MakeCreditDefaultSwap &MakeCreditDefaultSwap::withPricingEngine(
const ext::shared_ptr<PricingEngine> &engine) {
engine_ = engine;
return *this;
}
MakeCreditDefaultSwap& MakeCreditDefaultSwap::withTradeDate(const Date& tradeDate) {
tradeDate_ = tradeDate;
return *this;
}
}
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