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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009, 2012 Roland Lichters
Copyright (C) 2009, 2012 Ferdinando Ametrano
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/makeois.hpp>
#include <ql/instruments/simplifynotificationgraph.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/cashflows/overnightindexedcoupon.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/termstructures/yield/oisratehelper.hpp>
#include <ql/utilities/null_deleter.hpp>
#include <utility>
namespace QuantLib {
OISRateHelper::OISRateHelper(
Natural settlementDays,
const Period& tenor, // swap maturity
const std::variant<Rate, Handle<Quote>>& fixedRate,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
Handle<YieldTermStructure> discount,
bool telescopicValueDates,
Integer paymentLag,
BusinessDayConvention paymentConvention,
Frequency paymentFrequency,
Calendar paymentCalendar,
const Period& forwardStart,
const std::variant<Spread, Handle<Quote>>& overnightSpread,
Pillar::Choice pillar,
Date customPillarDate,
RateAveraging::Type averagingMethod,
ext::optional<bool> endOfMonth,
ext::optional<Frequency> fixedPaymentFrequency,
Calendar fixedCalendar,
Natural lookbackDays,
Natural lockoutDays,
bool applyObservationShift,
ext::shared_ptr<FloatingRateCouponPricer> pricer,
DateGeneration::Rule rule,
Calendar overnightCalendar,
BusinessDayConvention convention)
: RelativeDateRateHelper(fixedRate), settlementDays_(settlementDays), tenor_(tenor),
discountHandle_(std::move(discount)), telescopicValueDates_(telescopicValueDates),
paymentLag_(paymentLag), paymentConvention_(paymentConvention),
paymentFrequency_(paymentFrequency), paymentCalendar_(std::move(paymentCalendar)),
forwardStart_(forwardStart), overnightSpread_(handleFromVariant(overnightSpread)), pillarChoice_(pillar),
averagingMethod_(averagingMethod), endOfMonth_(endOfMonth),
fixedPaymentFrequency_(fixedPaymentFrequency), fixedCalendar_(std::move(fixedCalendar)),
overnightCalendar_(std::move(overnightCalendar)), convention_(convention),
lookbackDays_(lookbackDays), lockoutDays_(lockoutDays),
applyObservationShift_(applyObservationShift), pricer_(std::move(pricer)), rule_(rule) {
initialize(overnightIndex, customPillarDate);
}
OISRateHelper::OISRateHelper(
const Date& startDate,
const Date& endDate,
const std::variant<Rate, Handle<Quote>>& fixedRate,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
Handle<YieldTermStructure> discount,
bool telescopicValueDates,
Integer paymentLag,
BusinessDayConvention paymentConvention,
Frequency paymentFrequency,
Calendar paymentCalendar,
const std::variant<Spread, Handle<Quote>>& overnightSpread,
Pillar::Choice pillar,
Date customPillarDate,
RateAveraging::Type averagingMethod,
ext::optional<bool> endOfMonth,
ext::optional<Frequency> fixedPaymentFrequency,
Calendar fixedCalendar,
Natural lookbackDays,
Natural lockoutDays,
bool applyObservationShift,
ext::shared_ptr<FloatingRateCouponPricer> pricer,
DateGeneration::Rule rule,
Calendar overnightCalendar,
BusinessDayConvention convention)
: RelativeDateRateHelper(fixedRate, false), startDate_(startDate), endDate_(endDate),
discountHandle_(std::move(discount)), telescopicValueDates_(telescopicValueDates),
paymentLag_(paymentLag), paymentConvention_(paymentConvention),
paymentFrequency_(paymentFrequency), paymentCalendar_(std::move(paymentCalendar)),
overnightSpread_(handleFromVariant(overnightSpread)), pillarChoice_(pillar),
averagingMethod_(averagingMethod), endOfMonth_(endOfMonth),
fixedPaymentFrequency_(fixedPaymentFrequency), fixedCalendar_(std::move(fixedCalendar)),
overnightCalendar_(std::move(overnightCalendar)), convention_(convention),
lookbackDays_(lookbackDays), lockoutDays_(lockoutDays),
applyObservationShift_(applyObservationShift), pricer_(std::move(pricer)), rule_(rule) {
initialize(overnightIndex, customPillarDate);
}
void OISRateHelper::initialize(const ext::shared_ptr<OvernightIndex>& overnightIndex,
Date customPillarDate) {
overnightIndex_ =
ext::dynamic_pointer_cast<OvernightIndex>(overnightIndex->clone(termStructureHandle_));
// We want to be notified of changes of fixings, but we don't
// want notifications from termStructureHandle_ (they would
// interfere with bootstrapping.)
overnightIndex_->unregisterWith(termStructureHandle_);
registerWith(overnightIndex_);
registerWith(discountHandle_);
registerWith(overnightSpread_);
pillarDate_ = customPillarDate;
OISRateHelper::initializeDates();
}
void OISRateHelper::initializeDates() {
// 1. do not pass the spread here, as it might be a Quote
// i.e. it can dynamically change
// 2. input discount curve Handle might be empty now but it could
// be assigned a curve later; use a RelinkableHandle here
auto tmp = MakeOIS(tenor_, overnightIndex_, 0.0, forwardStart_)
.withDiscountingTermStructure(discountRelinkableHandle_)
.withSettlementDays(settlementDays_) // resets effectiveDate
.withEffectiveDate(startDate_)
.withTerminationDate(endDate_)
.withTelescopicValueDates(telescopicValueDates_)
.withPaymentLag(paymentLag_)
.withPaymentAdjustment(paymentConvention_)
.withPaymentFrequency(paymentFrequency_)
.withPaymentCalendar(paymentCalendar_)
.withAveragingMethod(averagingMethod_)
.withLookbackDays(lookbackDays_)
.withLockoutDays(lockoutDays_)
.withRule(rule_)
.withConvention(convention_)
.withTerminationDateConvention(convention_)
.withObservationShift(applyObservationShift_);
if (endOfMonth_) {
tmp.withEndOfMonth(*endOfMonth_);
}
if (fixedPaymentFrequency_) {
tmp.withFixedLegPaymentFrequency(*fixedPaymentFrequency_);
}
if (!fixedCalendar_.empty()) {
tmp.withFixedLegCalendar(fixedCalendar_);
}
if (!overnightCalendar_.empty()) {
tmp.withOvernightLegCalendar(overnightCalendar_);
}
swap_ = tmp;
if (pricer_)
setCouponPricer(swap_->overnightLeg(), pricer_);
simplifyNotificationGraph(*swap_, true);
earliestDate_ = swap_->startDate();
maturityDate_ = swap_->maturityDate();
Date lastPaymentDate = std::max(swap_->overnightLeg().back()->date(),
swap_->fixedLeg().back()->date());
Date lastFixingDate =
ext::dynamic_pointer_cast<OvernightIndexedCoupon>(swap_->overnightLeg().back())->fixingDate();
Date fixingEndDate =
overnightIndex_->maturityDate(overnightIndex_->valueDate(lastFixingDate));
latestRelevantDate_ = latestDate_ = std::max({maturityDate_, lastPaymentDate, fixingEndDate});
switch (pillarChoice_) {
case Pillar::MaturityDate:
pillarDate_ = maturityDate_;
break;
case Pillar::LastRelevantDate:
pillarDate_ = latestRelevantDate_;
break;
case Pillar::CustomDate:
// pillarDate_ already assigned at construction time
QL_REQUIRE(pillarDate_ >= earliestDate_,
"pillar date (" << pillarDate_ << ") must be later "
"than or equal to the instrument's earliest date (" <<
earliestDate_ << ")");
QL_REQUIRE(pillarDate_ <= latestRelevantDate_,
"pillar date (" << pillarDate_ << ") must be before "
"or equal to the instrument's latest relevant date (" <<
latestRelevantDate_ << ")");
break;
default:
QL_FAIL("unknown Pillar::Choice(" << Integer(pillarChoice_) << ")");
}
}
void OISRateHelper::setTermStructure(YieldTermStructure* t) {
// do not set the relinkable handle as an observer -
// force recalculation when needed
bool observer = false;
ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());
termStructureHandle_.linkTo(temp, observer);
if (discountHandle_.empty())
discountRelinkableHandle_.linkTo(temp, observer);
else
discountRelinkableHandle_.linkTo(*discountHandle_, observer);
RelativeDateRateHelper::setTermStructure(t);
}
Real OISRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
// we didn't register as observers - force calculation
swap_->deepUpdate();
// weak implementation... to be improved
static const Spread basisPoint = 1.0e-4;
Real floatingLegNPV = swap_->overnightLegNPV();
Spread spread = overnightSpread_.empty() ? 0.0 : overnightSpread_->value();
Real spreadNPV = swap_->overnightLegBPS()/basisPoint*spread;
Real totNPV = - (floatingLegNPV+spreadNPV);
Real result = totNPV/(swap_->fixedLegBPS()/basisPoint);
return result;
}
void OISRateHelper::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<OISRateHelper>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
RateHelper::accept(v);
}
DatedOISRateHelper::DatedOISRateHelper(const Date& startDate,
const Date& endDate,
const Handle<Quote>& fixedRate,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
Handle<YieldTermStructure> discount,
bool telescopicValueDates,
RateAveraging::Type averagingMethod,
Integer paymentLag,
BusinessDayConvention paymentConvention,
Frequency paymentFrequency,
const Calendar& paymentCalendar,
Spread overnightSpread,
ext::optional<bool> endOfMonth,
ext::optional<Frequency> fixedPaymentFrequency,
const Calendar& fixedCalendar,
Natural lookbackDays,
Natural lockoutDays,
bool applyObservationShift,
const ext::shared_ptr<FloatingRateCouponPricer>& pricer)
: OISRateHelper(startDate, endDate, fixedRate, overnightIndex, std::move(discount), telescopicValueDates,
paymentLag, paymentConvention, paymentFrequency, paymentCalendar,
std::variant<Spread, Handle<Quote>>(overnightSpread),
Pillar::LastRelevantDate, Date(), averagingMethod, endOfMonth, fixedPaymentFrequency,
fixedCalendar, lookbackDays, lockoutDays, applyObservationShift, pricer) {}
}
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