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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2025 Hiroto Ogawa
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/perpetualfutures.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <utility>
namespace QuantLib {
PerpetualFutures::PerpetualFutures(
PerpetualFutures::PayoffType payoffType,
PerpetualFutures::FundingType fundingType,
Period fundingFrequency,
Calendar cal,
DayCounter dc) : payoffType_(payoffType), fundingType_(fundingType), fundingFrequency_(fundingFrequency),
cal_(std::move(cal)), dc_(std::move(dc)) {
}
void PerpetualFutures::setupArguments(PricingEngine::arguments* args) const {
auto* moreArgs = dynamic_cast<PerpetualFutures::arguments*>(args);
QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
moreArgs->payoffType = payoffType_;
moreArgs->fundingType = fundingType_;
moreArgs->fundingFrequency = fundingFrequency_;
moreArgs->cal = cal_;
moreArgs->dc = dc_;
}
PerpetualFutures::arguments::arguments()
: payoffType(PerpetualFutures::PayoffType(-1)), fundingType(PerpetualFutures::FundingType(-1)),
fundingFrequency(Period(8, Hours)), cal(NullCalendar()),
dc(ActualActual(ActualActual::ISDA)) {}
void PerpetualFutures::arguments::validate() const {
switch (payoffType) {
case PerpetualFutures::Linear:
case PerpetualFutures::Inverse:
case PerpetualFutures::Quanto:
break;
default:
QL_FAIL("unknown payoff type");
}
switch (fundingType) {
case PerpetualFutures::FundingWithPreviousSpot:
break;
case PerpetualFutures::FundingWithCurrentSpot:
break;
default:
QL_FAIL("unknown funding type");
}
}
std::ostream& operator<<(std::ostream& out, PerpetualFutures::PayoffType type) {
switch (type) {
case PerpetualFutures::Linear:
return out << "Linear";
case PerpetualFutures::Inverse:
return out << "Inverse";
case PerpetualFutures::Quanto:
return out << "Quanto";
default:
QL_FAIL("unknown PerpetualFutures::PayoffType(" << int(type) << ")");
}
}
std::ostream& operator<<(std::ostream& out, PerpetualFutures::FundingType type) {
switch (type) {
case PerpetualFutures::FundingWithPreviousSpot:
return out << "FundingWithPreviousSpot";
case PerpetualFutures::FundingWithCurrentSpot:
return out << "FundingWithCurrentSpot";
default:
QL_FAIL("unknown PerpetualFutures::FundingType(" << int(type) << ")");
}
}
}
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