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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Roland Lichters
Copyright (C) 2009 Ferdinando Ametrano
Copyright (C) 2017 Joseph Jeisman
Copyright (C) 2017 Fabrice Lecuyer
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/fixedratecoupon.hpp>
#include <ql/cashflows/overnightindexedcoupon.hpp>
#include <ql/instruments/overnightindexedswap.hpp>
#include <utility>
namespace QuantLib {
OvernightIndexedSwap::OvernightIndexedSwap(Type type,
Real nominal,
const Schedule& schedule,
Rate fixedRate,
DayCounter fixedDC,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
Spread spread,
Integer paymentLag,
BusinessDayConvention paymentAdjustment,
const Calendar& paymentCalendar,
bool telescopicValueDates,
RateAveraging::Type averagingMethod,
Natural lookbackDays,
Natural lockoutDays,
bool applyObservationShift)
: OvernightIndexedSwap(type,
std::vector<Real>(1, nominal),
schedule,
fixedRate,
std::move(fixedDC),
overnightIndex,
spread,
paymentLag,
paymentAdjustment,
paymentCalendar,
telescopicValueDates,
averagingMethod,
lookbackDays,
lockoutDays,
applyObservationShift) {}
OvernightIndexedSwap::OvernightIndexedSwap(Type type,
const std::vector<Real>& nominals,
const Schedule& schedule,
Rate fixedRate,
DayCounter fixedDC,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
Spread spread,
Integer paymentLag,
BusinessDayConvention paymentAdjustment,
const Calendar& paymentCalendar,
bool telescopicValueDates,
RateAveraging::Type averagingMethod,
Natural lookbackDays,
Natural lockoutDays,
bool applyObservationShift)
: OvernightIndexedSwap(type,
nominals,
schedule,
fixedRate,
std::move(fixedDC),
nominals,
schedule,
overnightIndex,
spread,
paymentLag,
paymentAdjustment,
paymentCalendar,
telescopicValueDates,
averagingMethod,
lookbackDays,
lockoutDays,
applyObservationShift) {}
OvernightIndexedSwap::OvernightIndexedSwap(Type type,
Real nominal,
Schedule fixedSchedule,
Rate fixedRate,
DayCounter fixedDC,
Schedule overnightSchedule,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
Spread spread,
Integer paymentLag,
BusinessDayConvention paymentAdjustment,
const Calendar& paymentCalendar,
bool telescopicValueDates,
RateAveraging::Type averagingMethod,
Natural lookbackDays,
Natural lockoutDays,
bool applyObservationShift)
: OvernightIndexedSwap(type,
std::vector<Real>(1, nominal),
std::move(fixedSchedule),
fixedRate,
std::move(fixedDC),
std::vector<Real>(1, nominal),
std::move(overnightSchedule),
overnightIndex,
spread,
paymentLag,
paymentAdjustment,
paymentCalendar,
telescopicValueDates,
averagingMethod,
lookbackDays,
lockoutDays,
applyObservationShift) {}
OvernightIndexedSwap::OvernightIndexedSwap(Type type,
std::vector<Real> fixedNominals,
Schedule fixedSchedule,
Rate fixedRate,
DayCounter fixedDC,
const std::vector<Real>& overnightNominals,
Schedule overnightSchedule,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
Spread spread,
Integer paymentLag,
BusinessDayConvention paymentAdjustment,
const Calendar& paymentCalendar,
bool telescopicValueDates,
RateAveraging::Type averagingMethod,
Natural lookbackDays,
Natural lockoutDays,
bool applyObservationShift)
: FixedVsFloatingSwap(type, std::move(fixedNominals), std::move(fixedSchedule), fixedRate, std::move(fixedDC),
overnightNominals, std::move(overnightSchedule), overnightIndex,
spread, DayCounter(), ext::nullopt, paymentLag, paymentCalendar),
overnightIndex_(overnightIndex), averagingMethod_(averagingMethod),
lookbackDays_(lookbackDays), lockoutDays_(lockoutDays),
applyObservationShift_(applyObservationShift) {
legs_[1] =
OvernightLeg(floatingSchedule(), overnightIndex_)
.withNotionals(overnightNominals)
.withSpreads(spread)
.withTelescopicValueDates(telescopicValueDates)
.withPaymentLag(paymentLag)
.withPaymentAdjustment(paymentAdjustment)
.withPaymentCalendar(paymentCalendar.empty() ?
floatingSchedule().calendar() :
paymentCalendar)
.withAveragingMethod(averagingMethod_)
.withLookbackDays(lookbackDays_)
.withLockoutDays(lockoutDays_)
.withObservationShift(applyObservationShift_);
for (const auto& c : legs_[1])
registerWith(c);
}
void OvernightIndexedSwap::setupFloatingArguments(arguments* args) const {
const Leg& floatingCoupons = floatingLeg();
Size n = floatingCoupons.size();
args->floatingResetDates = args->floatingPayDates = args->floatingFixingDates = std::vector<Date>(n);
args->floatingAccrualTimes = std::vector<Time>(n);
args->floatingSpreads = std::vector<Spread>(n);
args->floatingCoupons = args->floatingNominals = std::vector<Real>(n);
for (Size i=0; i<n; ++i) {
auto coupon = ext::dynamic_pointer_cast<OvernightIndexedCoupon>(floatingCoupons[i]);
args->floatingResetDates[i] = coupon->accrualStartDate();
args->floatingPayDates[i] = coupon->date();
args->floatingNominals[i] = coupon->nominal();
args->floatingFixingDates[i] = coupon->fixingDate();
args->floatingAccrualTimes[i] = coupon->accrualPeriod();
args->floatingSpreads[i] = coupon->spread();
try {
args->floatingCoupons[i] = coupon->amount();
} catch (Error&) {
args->floatingCoupons[i] = Null<Real>();
}
}
}
}
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