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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2018 Sebastian Schlenkrich
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.
*/
/*! \file swaptioncfs.cpp
\brief translate swaption into deterministic fixed and float cash flows
*/
#include <ql/experimental/basismodels/swaptioncfs.hpp>
#include <ql/cashflows/coupon.hpp>
#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/exercise.hpp>
#include <ql/settings.hpp>
namespace QuantLib {
IborLegCashFlows::IborLegCashFlows(const Leg& iborLeg,
const Handle<YieldTermStructure>& discountCurve,
bool contTenorSpread)
: refDate_(discountCurve->referenceDate()) {
// we need to find the first coupon for initial payment
Size floatIdx = 0;
while (
(floatIdx + 1 < iborLeg.size()) &&
(refDate_ > (ext::dynamic_pointer_cast<Coupon>(iborLeg[floatIdx]))->accrualStartDate()))
++floatIdx;
if (refDate_ <= (ext::dynamic_pointer_cast<Coupon>(iborLeg[floatIdx]))
->accrualStartDate()) { // otherwise there is no floating coupon left
ext::shared_ptr<Coupon> firstFloatCoupon =
ext::dynamic_pointer_cast<Coupon>(iborLeg[floatIdx]);
floatLeg_.push_back(ext::shared_ptr<CashFlow>(new SimpleCashFlow(
firstFloatCoupon->nominal(), firstFloatCoupon->accrualStartDate())));
// calculate spread payments
for (Size k = floatIdx; k < iborLeg.size(); ++k) {
ext::shared_ptr<Coupon> coupon = ext::dynamic_pointer_cast<Coupon>(iborLeg[k]);
if (!coupon)
QL_FAIL("FloatingLeg CashFlow is no Coupon.");
Date startDate = coupon->accrualStartDate();
Date endDate = coupon->accrualEndDate();
Rate liborForwardRate = coupon->rate();
Rate discForwardRate =
(discountCurve->discount(startDate) / discountCurve->discount(endDate) - 1.0) /
coupon->accrualPeriod();
Rate spread;
Date payDate;
if (contTenorSpread) {
// Db = (1 + Delta L^libor) / (1 + Delta L^ois)
// spread (Db - 1) paid at startDate
spread = ((1.0 + coupon->accrualPeriod() * liborForwardRate) /
(1.0 + coupon->accrualPeriod() * discForwardRate) -
1.0) /
coupon->accrualPeriod();
payDate = startDate;
} else {
// spread L^libor - L^ois
spread = liborForwardRate - discForwardRate;
payDate = coupon->date();
}
floatLeg_.push_back(ext::shared_ptr<CashFlow>(new FixedRateCoupon(
payDate, coupon->nominal(), spread, coupon->dayCounter(), startDate, endDate)));
} // for ...
// finally, add the notional at the last date
ext::shared_ptr<Coupon> lastFloatCoupon =
ext::dynamic_pointer_cast<Coupon>(iborLeg.back());
floatLeg_.push_back(ext::shared_ptr<CashFlow>(new SimpleCashFlow(
-1.0 * lastFloatCoupon->nominal(), lastFloatCoupon->accrualEndDate())));
} // if ...
// assemble raw cash flow data...
Actual365Fixed dc;
// ... float times/weights
for (auto& k : floatLeg_)
floatTimes_.push_back(dc.yearFraction(refDate_, k->date()));
for (auto& k : floatLeg_)
floatWeights_.push_back(k->amount());
}
SwapCashFlows::SwapCashFlows(const ext::shared_ptr<FixedVsFloatingSwap>& swap,
const Handle<YieldTermStructure>& discountCurve,
bool contTenorSpread)
: IborLegCashFlows(swap->floatingLeg(), discountCurve, contTenorSpread) {
// copy fixed leg coupons
Leg fixedLeg = swap->fixedLeg();
for (auto& k : fixedLeg) {
if (ext::dynamic_pointer_cast<Coupon>(k)->accrualStartDate() >= refDate_)
fixedLeg_.push_back(k);
}
Actual365Fixed dc;
// ... fixed times/weights
for (auto& k : fixedLeg_)
fixedTimes_.push_back(dc.yearFraction(refDate_, k->date()));
for (auto& k : fixedLeg_)
fixedWeights_.push_back(k->amount());
for (auto& k : fixedLeg_) {
ext::shared_ptr<Coupon> coupon = ext::dynamic_pointer_cast<Coupon>(k);
if (coupon != nullptr)
annuityWeights_.push_back(coupon->nominal() * coupon->accrualPeriod());
}
}
// constructor to map a swaption to deterministic fixed and floating leg cash flows
SwaptionCashFlows::SwaptionCashFlows(const ext::shared_ptr<Swaption>& swaption,
const Handle<YieldTermStructure>& discountCurve,
bool contTenorSpread)
: SwapCashFlows(swaption->underlying(), discountCurve, contTenorSpread),
swaption_(swaption) {
// assemble raw cash flow data...
Actual365Fixed dc;
// ... exercise times
for (Size k = 0; k < swaption_->exercise()->dates().size(); ++k)
if (swaption_->exercise()->dates()[k] > refDate_) // consider only future exercise dates
exerciseTimes_.push_back(
dc.yearFraction(refDate_, swaption_->exercise()->dates()[k]));
}
}
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