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/*
Copyright (C) 2014 Peter Caspers
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/experimental/coupons/swapspreadindex.hpp>
#include <iomanip>
#include <sstream>
#include <utility>
namespace QuantLib {
SwapSpreadIndex::SwapSpreadIndex(const std::string& familyName,
const ext::shared_ptr<SwapIndex>& swapIndex1,
ext::shared_ptr<SwapIndex> swapIndex2,
const Real gearing1,
const Real gearing2)
: InterestRateIndex(familyName,
swapIndex1->tenor(), // does not make sense, but we have to provide one
swapIndex1->fixingDays(),
swapIndex1->currency(),
swapIndex1->fixingCalendar(),
swapIndex1->dayCounter()),
swapIndex1_(swapIndex1), swapIndex2_(std::move(swapIndex2)), gearing1_(gearing1),
gearing2_(gearing2) {
registerWith(swapIndex1_);
registerWith(swapIndex2_);
std::ostringstream name;
name << std::setprecision(4) << std::fixed << swapIndex1_->name() << "("
<< gearing1 << ") + " << swapIndex2_->name() << "(" << gearing2
<< ")";
name_ = name.str();
QL_REQUIRE(swapIndex1_->fixingDays() == swapIndex2_->fixingDays(),
"index1 fixing days ("
<< swapIndex1_->fixingDays() << ")"
<< "must be equal to index2 fixing days ("
<< swapIndex2_->fixingDays() << ")");
QL_REQUIRE(swapIndex1_->fixingCalendar() ==
swapIndex2_->fixingCalendar(),
"index1 fixingCalendar ("
<< swapIndex1_->fixingCalendar() << ")"
<< "must be equal to index2 fixingCalendar ("
<< swapIndex2_->fixingCalendar() << ")");
QL_REQUIRE(swapIndex1_->currency() == swapIndex2_->currency(),
"index1 currency (" << swapIndex1_->currency() << ")"
<< "must be equal to index2 currency ("
<< swapIndex2_->currency() << ")");
QL_REQUIRE(swapIndex1_->dayCounter() == swapIndex2_->dayCounter(),
"index1 dayCounter ("
<< swapIndex1_->dayCounter() << ")"
<< "must be equal to index2 dayCounter ("
<< swapIndex2_->dayCounter() << ")");
QL_REQUIRE(swapIndex1_->fixedLegTenor() == swapIndex2_->fixedLegTenor(),
"index1 fixedLegTenor ("
<< swapIndex1_->fixedLegTenor() << ")"
<< "must be equal to index2 fixedLegTenor ("
<< swapIndex2_->fixedLegTenor());
QL_REQUIRE(swapIndex1_->fixedLegConvention() ==
swapIndex2_->fixedLegConvention(),
"index1 fixedLegConvention ("
<< swapIndex1_->fixedLegConvention() << ")"
<< "must be equal to index2 fixedLegConvention ("
<< swapIndex2_->fixedLegConvention());
}
}
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