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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007, 2009 StatPro Italia srl
Copyright (C) 2011 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/cashflows/cashflows.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/optional.hpp>
#include <utility>
namespace QuantLib {
DiscountingSwapEngine::DiscountingSwapEngine(
Handle<YieldTermStructure> discountCurve,
const ext::optional<bool>& includeSettlementDateFlows,
Date settlementDate,
Date npvDate)
: discountCurve_(std::move(discountCurve)),
includeSettlementDateFlows_(includeSettlementDateFlows), settlementDate_(settlementDate),
npvDate_(npvDate) {
registerWith(discountCurve_);
}
void DiscountingSwapEngine::calculate() const {
QL_REQUIRE(!discountCurve_.empty(),
"discounting term structure handle is empty");
results_.value = 0.0;
results_.errorEstimate = Null<Real>();
Date refDate = discountCurve_->referenceDate();
Date settlementDate = settlementDate_;
if (settlementDate_==Date()) {
settlementDate = refDate;
} else {
QL_REQUIRE(settlementDate>=refDate,
"settlement date (" << settlementDate << ") before "
"discount curve reference date (" << refDate << ")");
}
results_.valuationDate = npvDate_;
if (npvDate_==Date()) {
results_.valuationDate = refDate;
} else {
QL_REQUIRE(npvDate_>=refDate,
"npv date (" << npvDate_ << ") before "
"discount curve reference date (" << refDate << ")");
}
results_.npvDateDiscount = discountCurve_->discount(results_.valuationDate);
Size n = arguments_.legs.size();
results_.legNPV.resize(n);
results_.legBPS.resize(n);
results_.startDiscounts.resize(n);
results_.endDiscounts.resize(n);
bool includeRefDateFlows = includeSettlementDateFlows_ ? // NOLINT(readability-implicit-bool-conversion)
*includeSettlementDateFlows_ :
Settings::instance().includeReferenceDateEvents();
for (Size i=0; i<n; ++i) {
try {
const YieldTermStructure& discount_ref = **discountCurve_;
std::tie(results_.legNPV[i], results_.legBPS[i]) =
CashFlows::npvbps(arguments_.legs[i],
discount_ref,
includeRefDateFlows,
settlementDate,
results_.valuationDate);
results_.legNPV[i] *= arguments_.payer[i];
results_.legBPS[i] *= arguments_.payer[i];
if (!arguments_.legs[i].empty()) {
Date d1 = CashFlows::startDate(arguments_.legs[i]);
if (d1>=refDate)
results_.startDiscounts[i] = discountCurve_->discount(d1);
else
results_.startDiscounts[i] = Null<DiscountFactor>();
Date d2 = CashFlows::maturityDate(arguments_.legs[i]);
if (d2>=refDate)
results_.endDiscounts[i] = discountCurve_->discount(d2);
else
results_.endDiscounts[i] = Null<DiscountFactor>();
} else {
results_.startDiscounts[i] = Null<DiscountFactor>();
results_.endDiscounts[i] = Null<DiscountFactor>();
}
} catch (std::exception &e) {
QL_FAIL(io::ordinal(i+1) << " leg: " << e.what());
}
results_.value += results_.legNPV[i];
}
}
}
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