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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007, 2008, 2014 Ferdinando Ametrano
Copyright (C) 2007 Giorgio Facchinetti
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/cashflows.hpp>
#include <ql/exercise.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/instruments/makeois.hpp>
#include <ql/instruments/makeswaption.hpp>
#include <ql/instruments/makevanillaswap.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/optional.hpp>
#include <ql/settings.hpp>
#include <utility>
namespace QuantLib {
MakeSwaption::MakeSwaption(ext::shared_ptr<SwapIndex> swapIndex,
const Period& optionTenor,
Rate strike)
: swapIndex_(std::move(swapIndex)), delivery_(Settlement::Physical),
settlementMethod_(Settlement::PhysicalOTC), optionTenor_(optionTenor),
optionConvention_(ModifiedFollowing), strike_(strike),
underlyingType_(Swap::Payer), nominal_(1.0) {}
MakeSwaption::MakeSwaption(ext::shared_ptr<SwapIndex> swapIndex,
const Date& fixingDate,
Rate strike)
: swapIndex_(std::move(swapIndex)), delivery_(Settlement::Physical),
settlementMethod_(Settlement::PhysicalOTC), optionConvention_(ModifiedFollowing),
fixingDate_(fixingDate), strike_(strike), underlyingType_(Swap::Payer) {}
MakeSwaption::operator Swaption() const {
ext::shared_ptr<Swaption> swaption = *this;
return *swaption;
}
MakeSwaption::operator ext::shared_ptr<Swaption>() const {
const Calendar& fixingCalendar = swapIndex_->fixingCalendar();
Date refDate = Settings::instance().evaluationDate();
// if the evaluation date is not a business day
// then move to the next business day
refDate = fixingCalendar.adjust(refDate);
if (fixingDate_ == Date())
fixingDate_ = fixingCalendar.advance(refDate, optionTenor_,
optionConvention_);
if (exerciseDate_ == Date()) {
exercise_ = ext::shared_ptr<Exercise>(new
EuropeanExercise(fixingDate_));
} else {
QL_REQUIRE(exerciseDate_ <= fixingDate_,
"exercise date (" << exerciseDate_ << ") must be less "
"than or equal to fixing date (" << fixingDate_ << ")");
exercise_ = ext::shared_ptr<Exercise>(new
EuropeanExercise(exerciseDate_));
}
Rate usedStrike;
ext::shared_ptr<OvernightIndexedSwapIndex> OIswap_index = ext::dynamic_pointer_cast<OvernightIndexedSwapIndex>(swapIndex_);
if (strike_ == Null<Rate>()) {
// ATM on curve(s) attached to index
QL_REQUIRE(!swapIndex_->forwardingTermStructure().empty(),
"null term structure set to this instance of " <<
swapIndex_->name());
if (OIswap_index) {
auto temp = OIswap_index->underlyingSwap(fixingDate_);
temp->setPricingEngine(
ext::make_shared<DiscountingSwapEngine>(
swapIndex_->exogenousDiscount()
? swapIndex_->discountingTermStructure()
: swapIndex_->forwardingTermStructure(),
false
)
);
usedStrike = temp->fairRate();
} else {
auto temp = swapIndex_->underlyingSwap(fixingDate_);
temp->setPricingEngine(
ext::make_shared<DiscountingSwapEngine>(
swapIndex_->exogenousDiscount()
? swapIndex_->discountingTermStructure()
: swapIndex_->forwardingTermStructure(),
false
)
);
usedStrike = temp->fairRate();
}
} else {
usedStrike = strike_;
}
BusinessDayConvention bdc = swapIndex_->fixedLegConvention();
if (OIswap_index) {
underlyingSwap_ =
(ext::shared_ptr<OvernightIndexedSwap>)(
MakeOIS(swapIndex_->tenor(),
OIswap_index->overnightIndex(), usedStrike)
.withEffectiveDate(swapIndex_->valueDate(fixingDate_))
.withPaymentCalendar(swapIndex_->fixingCalendar())
.withFixedLegDayCount(swapIndex_->dayCounter())
.withPaymentAdjustment(bdc)
.withFixedLegConvention(bdc)
.withFixedLegTerminationDateConvention(bdc)
.withType(underlyingType_)
.withNominal(nominal_)
);
} else {
underlyingSwap_ =
(ext::shared_ptr<VanillaSwap>)(
MakeVanillaSwap(swapIndex_->tenor(),
swapIndex_->iborIndex(), usedStrike)
.withEffectiveDate(swapIndex_->valueDate(fixingDate_))
.withFixedLegCalendar(swapIndex_->fixingCalendar())
.withFixedLegDayCount(swapIndex_->dayCounter())
.withFixedLegTenor(swapIndex_->fixedLegTenor())
.withFixedLegConvention(bdc)
.withFixedLegTerminationDateConvention(bdc)
.withType(underlyingType_)
.withNominal(nominal_)
.withIndexedCoupons(useIndexedCoupons_)
);
}
ext::shared_ptr<Swaption> swaption = ext::make_shared<Swaption>(
underlyingSwap_, exercise_, delivery_, settlementMethod_);
swaption->setPricingEngine(engine_);
return swaption;
}
MakeSwaption& MakeSwaption::withSettlementType(Settlement::Type delivery) {
delivery_ = delivery;
return *this;
}
MakeSwaption& MakeSwaption::withSettlementMethod(
Settlement::Method settlementMethod) {
settlementMethod_ = settlementMethod;
return *this;
}
MakeSwaption&
MakeSwaption::withOptionConvention(BusinessDayConvention bdc) {
optionConvention_ = bdc;
return *this;
}
MakeSwaption& MakeSwaption::withExerciseDate(const Date& date) {
exerciseDate_ = date;
return *this;
}
MakeSwaption& MakeSwaption::withUnderlyingType(const Swap::Type type) {
underlyingType_ = type;
return *this;
}
MakeSwaption& MakeSwaption::withPricingEngine(
const ext::shared_ptr<PricingEngine>& engine) {
engine_ = engine;
return *this;
}
MakeSwaption& MakeSwaption::withNominal(Real n) {
nominal_ = n;
return *this;
}
MakeSwaption& MakeSwaption::withIndexedCoupons(const ext::optional<bool>& b) {
useIndexedCoupons_ = b;
return *this;
}
MakeSwaption& MakeSwaption::withAtParCoupons(bool b) {
useIndexedCoupons_ = !b;
return *this;
}
}
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