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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2018 Roy Zywina
Copyright (C) 2019 Eisuke Tani
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/overnightindexfuture.hpp>
#include <ql/indexes/indexmanager.hpp>
#include <ql/event.hpp>
#include <utility>
namespace QuantLib {
OvernightIndexFuture::OvernightIndexFuture(ext::shared_ptr<OvernightIndex> overnightIndex,
const Date& valueDate,
const Date& maturityDate,
Handle<Quote> convexityAdjustment,
RateAveraging::Type averagingMethod)
: overnightIndex_(std::move(overnightIndex)), valueDate_(valueDate),
maturityDate_(maturityDate), convexityAdjustment_(std::move(convexityAdjustment)),
averagingMethod_(averagingMethod) {
QL_REQUIRE(overnightIndex_, "null overnight index");
registerWith(overnightIndex_);
registerWith(convexityAdjustment_);
registerWith(Settings::instance().evaluationDate());
}
Real OvernightIndexFuture::averagedRate() const {
Date today = Settings::instance().evaluationDate();
Calendar calendar = overnightIndex_->fixingCalendar();
DayCounter dayCounter = overnightIndex_->dayCounter();
Handle<YieldTermStructure> forwardCurve = overnightIndex_->forwardingTermStructure();
Real avg = 0;
Date d1 = valueDate_;
// d1 could be a holiday
Date fixingDate = calendar.adjust(d1, Preceding);
const auto& history = overnightIndex_->timeSeries();
Real fwd;
while (d1 < maturityDate_) {
Date d2 = calendar.advance(d1, 1, Days);
if (fixingDate < today) {
fwd = history[fixingDate];
QL_REQUIRE(fwd != Null<Real>(),
"missing rate on " << fixingDate << " for index " << overnightIndex_->name());
} else if (fixingDate == today) {
fwd = history[fixingDate];
if (fwd == Null<Real>())
fwd = forwardCurve->forwardRate(fixingDate, d2, dayCounter, Simple).rate();
} else {
fwd = forwardCurve->forwardRate(fixingDate, d2, dayCounter, Simple).rate();
}
// The rate is accrued starting from d1 even when the fixing date is earlier.
// d2 might be beyond the maturity date if the latter is a holiday.
avg += fwd * dayCounter.yearFraction(d1, std::min(d2, maturityDate_));
fixingDate = d1 = d2;
}
return avg / dayCounter.yearFraction(valueDate_, maturityDate_);
}
Real OvernightIndexFuture::compoundedRate() const {
Date today = Settings::instance().evaluationDate();
Calendar calendar = overnightIndex_->fixingCalendar();
DayCounter dayCounter = overnightIndex_->dayCounter();
Handle<YieldTermStructure> forwardCurve = overnightIndex_->forwardingTermStructure();
Real prod = 1;
Date forwardDiscountStart = valueDate_;
if (today > valueDate_) {
// can't value on a weekend inside reference period because we
// won't know the reset rate until start of next business day.
// user can supply an estimate if they really want to do this
today = calendar.adjust(today);
forwardDiscountStart = today;
// for valuations inside the reference period, index quotes
// must have been populated in the history
const auto& history = overnightIndex_->timeSeries();
Date d1 = valueDate_;
// d1 could be a holiday
Date fixingDate = calendar.adjust(d1, Preceding);
while (d1 < today) {
Real r = history[fixingDate];
QL_REQUIRE(r != Null<Real>(),
"missing rate on " << fixingDate << " for index " << overnightIndex_->name());
Date d2 = calendar.advance(d1, 1, Days);
// The rate is accrued starting from d1 even when the fixing date is earlier.
// We can't get to the maturity date inside this loop,
// so we don't need to cap d2 like we do in averagedRate above.
prod *= 1 + r * dayCounter.yearFraction(d1, d2);
fixingDate = d1 = d2;
}
// here d1 == today, and we might have today's fixing already
if (today < maturityDate_) {
Real r = history[today];
if (r != Null<Real>()) {
Date tomorrow = calendar.advance(today, 1, Days);
prod *= 1 + r * dayCounter.yearFraction(today, tomorrow);
forwardDiscountStart = tomorrow;
}
}
}
// the telescopic part goes from the end of the last known fixing to the maturity
DiscountFactor forwardDiscount =
forwardCurve->discount(maturityDate_) / forwardCurve->discount(forwardDiscountStart);
prod /= forwardDiscount;
return (prod - 1) / dayCounter.yearFraction(valueDate_, maturityDate_);
}
Real OvernightIndexFuture::rate() const {
switch (averagingMethod_) {
case RateAveraging::Simple:
return averagedRate();
case RateAveraging::Compound:
return compoundedRate();
default:
QL_FAIL("unknown compounding convention (" << Integer(averagingMethod_) << ")");
}
}
bool OvernightIndexFuture::isExpired() const {
return detail::simple_event(maturityDate_).hasOccurred();
}
Real OvernightIndexFuture::convexityAdjustment() const {
return convexityAdjustment_.empty() ? 0.0 : convexityAdjustment_->value();
}
void OvernightIndexFuture::performCalculations() const {
Rate R = convexityAdjustment() + rate();
NPV_ = 100.0 * (1.0 - R);
}
}
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