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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2021 Marcin Rybacki
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/simplecashflow.hpp>
#include <ql/cashflows/multipleresetscoupon.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/instruments/zerocouponswap.hpp>
#include <utility>
namespace QuantLib {
namespace {
ext::shared_ptr<CashFlow>
compoundedSubPeriodicCoupon(const Date& paymentDate,
const Date& startDate,
const Date& maturityDate,
Real nominal,
const ext::shared_ptr<IborIndex>& index) {
Schedule schedule = MakeSchedule()
.from(startDate)
.to(maturityDate)
.withTenor(index->tenor())
.withCalendar(index->fixingCalendar())
.withConvention(index->businessDayConvention())
.backwards()
.endOfMonth(index->endOfMonth());
auto floatCpn = ext::make_shared<MultipleResetsCoupon>(
paymentDate, nominal, schedule, index->fixingDays(), index);
floatCpn->setPricer(ext::make_shared<CompoundingMultipleResetsPricer>());
return floatCpn;
}
}
ZeroCouponSwap::ZeroCouponSwap(Type type,
Real baseNominal,
const Date& startDate,
const Date& maturityDate,
ext::shared_ptr<IborIndex> iborIndex,
const Calendar& paymentCalendar,
BusinessDayConvention paymentConvention,
Natural paymentDelay)
: Swap(2), type_(type), baseNominal_(baseNominal), iborIndex_(std::move(iborIndex)),
startDate_(startDate), maturityDate_(maturityDate) {
QL_REQUIRE(!(baseNominal < 0.0), "base nominal cannot be negative");
QL_REQUIRE(startDate < maturityDate,
"start date (" << startDate
<< ") later than or equal to maturity date ("
<< maturityDate << ")");
paymentDate_ = paymentCalendar.advance(maturityDate, paymentDelay, Days, paymentConvention);
legs_[1].push_back(compoundedSubPeriodicCoupon(paymentDate_, startDate, maturityDate,
baseNominal_, iborIndex_));
for (auto i = legs_[1].begin(); i < legs_[1].end(); ++i)
registerWith(*i);
switch (type_) {
case Payer:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
case Receiver:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
default:
QL_FAIL("unknown zero coupon swap type");
}
}
ZeroCouponSwap::ZeroCouponSwap(Type type,
Real baseNominal,
const Date& startDate,
const Date& maturityDate,
Real fixedPayment,
ext::shared_ptr<IborIndex> iborIndex,
const Calendar& paymentCalendar,
BusinessDayConvention paymentConvention,
Natural paymentDelay)
: ZeroCouponSwap(type,
baseNominal,
startDate,
maturityDate,
std::move(iborIndex),
paymentCalendar,
paymentConvention,
paymentDelay) {
legs_[0].push_back(
ext::shared_ptr<CashFlow>(new SimpleCashFlow(fixedPayment, paymentDate_)));
}
ZeroCouponSwap::ZeroCouponSwap(Type type,
Real baseNominal,
const Date& startDate,
const Date& maturityDate,
Rate fixedRate,
const DayCounter& fixedDayCounter,
ext::shared_ptr<IborIndex> iborIndex,
const Calendar& paymentCalendar,
BusinessDayConvention paymentConvention,
Natural paymentDelay)
: ZeroCouponSwap(type,
baseNominal,
startDate,
maturityDate,
std::move(iborIndex),
paymentCalendar,
paymentConvention,
paymentDelay) {
InterestRate interest(fixedRate, fixedDayCounter, Compounded, Annual);
legs_[0].push_back(ext::shared_ptr<CashFlow>(
new FixedRateCoupon(paymentDate_, baseNominal_, interest, startDate, maturityDate)));
}
Real ZeroCouponSwap::fixedLegNPV() const {
return legNPV(0);
}
Real ZeroCouponSwap::floatingLegNPV() const {
return legNPV(1);
}
Real ZeroCouponSwap::fairFixedPayment() const {
// Knowing that for the fair payment NPV = 0.0, where:
// NPV = (discount at fixed amount pay date) * (payer\receiver * fixed amount)
// + (discount at float amount pay date) * (-payer\receiver * float amount)
// we have:
// fair amount = NPV float / discount at fixed amount pay date
// with NPV float corrected for the payer sign.
Real scaling = payer(1) ? -1.0 : 1.0;
return floatingLegNPV() / (endDiscounts(0) * scaling);
}
Rate ZeroCouponSwap::fairFixedRate(const DayCounter& dayCounter) const {
// Given the relation between the fixed payment (N^FIX) and the fixed rate (R),
// N^FIX = N * [(1 + R)^T - 1],
// the compound factor C = (1 + R)^T
// can be equivalently expressed as:
// C = N^FIX / N + 1
Real compound = fairFixedPayment() / baseNominal_ + 1.0;
return InterestRate::impliedRate(compound, dayCounter, Compounded, Annual, startDate_,
maturityDate_);
}
const Leg& ZeroCouponSwap::fixedLeg() const { return leg(0); }
const Leg& ZeroCouponSwap::floatingLeg() const { return leg(1); }
Real ZeroCouponSwap::fixedPayment() const { return fixedLeg()[0]->amount(); }
}
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