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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2011 Ferdinando Ametrano
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2007, 2008 StatPro Italia srl
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/swap.hpp>
#include <ql/cashflows/cashflows.hpp>
#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ostream>
namespace QuantLib {
Swap::Swap(const Leg& firstLeg,
const Leg& secondLeg)
: legs_(2), payer_(2),
legNPV_(2, 0.0), legBPS_(2, 0.0),
startDiscounts_(2, 0.0), endDiscounts_(2, 0.0),
npvDateDiscount_(0.0) {
legs_[0] = firstLeg;
legs_[1] = secondLeg;
payer_[0] = -1.0;
payer_[1] = 1.0;
for (auto& i : legs_[0])
registerWith(i);
for (auto& i : legs_[1])
registerWith(i);
}
Swap::Swap(const std::vector<Leg>& legs,
const std::vector<bool>& payer)
: legs_(legs), payer_(legs.size(), 1.0),
legNPV_(legs.size(), 0.0), legBPS_(legs.size(), 0.0),
startDiscounts_(legs.size(), 0.0), endDiscounts_(legs.size(), 0.0),
npvDateDiscount_(0.0) {
QL_REQUIRE(payer.size()==legs_.size(),
"size mismatch between payer (" << payer.size() <<
") and legs (" << legs_.size() << ")");
for (Size j=0; j<legs_.size(); ++j) {
if (payer[j]) payer_[j]=-1.0;
for (auto& i : legs_[j])
registerWith(i);
}
}
Swap::Swap(Size legs)
: legs_(legs), payer_(legs),
legNPV_(legs, 0.0), legBPS_(legs, 0.0),
startDiscounts_(legs, 0.0), endDiscounts_(legs, 0.0),
npvDateDiscount_(0.0) {}
bool Swap::isExpired() const {
for (const auto& leg : legs_) {
Leg::const_iterator i;
for (i = leg.begin(); i != leg.end(); ++i)
if (!(*i)->hasOccurred())
return false;
}
return true;
}
void Swap::setupExpired() const {
Instrument::setupExpired();
std::fill(legBPS_.begin(), legBPS_.end(), 0.0);
std::fill(legNPV_.begin(), legNPV_.end(), 0.0);
std::fill(startDiscounts_.begin(), startDiscounts_.end(), 0.0);
std::fill(endDiscounts_.begin(), endDiscounts_.end(), 0.0);
npvDateDiscount_ = 0.0;
}
void Swap::setupArguments(PricingEngine::arguments* args) const {
auto* arguments = dynamic_cast<Swap::arguments*>(args);
QL_REQUIRE(arguments != nullptr, "wrong argument type");
arguments->legs = legs_;
arguments->payer = payer_;
}
void Swap::fetchResults(const PricingEngine::results* r) const {
Instrument::fetchResults(r);
const auto* results = dynamic_cast<const Swap::results*>(r);
QL_REQUIRE(results != nullptr, "wrong result type");
if (!results->legNPV.empty()) {
QL_REQUIRE(results->legNPV.size() == legNPV_.size(),
"wrong number of leg NPV returned");
legNPV_ = results->legNPV;
} else {
std::fill(legNPV_.begin(), legNPV_.end(), Null<Real>());
}
if (!results->legBPS.empty()) {
QL_REQUIRE(results->legBPS.size() == legBPS_.size(),
"wrong number of leg BPS returned");
legBPS_ = results->legBPS;
} else {
std::fill(legBPS_.begin(), legBPS_.end(), Null<Real>());
}
if (!results->startDiscounts.empty()) {
QL_REQUIRE(results->startDiscounts.size() == startDiscounts_.size(),
"wrong number of leg start discounts returned");
startDiscounts_ = results->startDiscounts;
} else {
std::fill(startDiscounts_.begin(), startDiscounts_.end(),
Null<DiscountFactor>());
}
if (!results->endDiscounts.empty()) {
QL_REQUIRE(results->endDiscounts.size() == endDiscounts_.size(),
"wrong number of leg end discounts returned");
endDiscounts_ = results->endDiscounts;
} else {
std::fill(endDiscounts_.begin(), endDiscounts_.end(),
Null<DiscountFactor>());
}
if (results->npvDateDiscount != Null<DiscountFactor>()) {
npvDateDiscount_ = results->npvDateDiscount;
} else {
npvDateDiscount_ = Null<DiscountFactor>();
}
}
Size Swap::numberOfLegs() const { return legs_.size(); }
const std::vector<Leg>& Swap::legs() const { return legs_; }
Date Swap::startDate() const {
QL_REQUIRE(!legs_.empty(), "no legs given");
Date d = CashFlows::startDate(legs_[0]);
for (Size j=1; j<legs_.size(); ++j)
d = std::min(d, CashFlows::startDate(legs_[j]));
return d;
}
Date Swap::maturityDate() const {
QL_REQUIRE(!legs_.empty(), "no legs given");
Date d = CashFlows::maturityDate(legs_[0]);
for (Size j=1; j<legs_.size(); ++j)
d = std::max(d, CashFlows::maturityDate(legs_[j]));
return d;
}
void Swap::deepUpdate() {
for (auto& leg : legs_) {
for (auto& k : leg) {
k->deepUpdate();
}
}
update();
}
void Swap::arguments::validate() const {
QL_REQUIRE(legs.size() == payer.size(),
"number of legs and multipliers differ");
}
void Swap::results::reset() {
Instrument::results::reset();
legNPV.clear();
legBPS.clear();
startDiscounts.clear();
endDiscounts.clear();
npvDateDiscount = Null<DiscountFactor>();
}
std::ostream& operator<<(std::ostream& out, Swap::Type t) {
switch (t) {
case Swap::Payer:
return out << "Payer";
case Swap::Receiver:
return out << "Receiver";
default:
QL_FAIL("unknown Swap::Type(" << Integer(t) << ")");
}
}
}
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