1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2025 Hiroto Ogawa
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 perpetualfutures.hpp
\brief Perpetual Futures
*/
#ifndef quantlib_perpetual_futures_hpp
#define quantlib_perpetual_futures_hpp
#include <ql/instrument.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/daycounters/actualactual.hpp>
namespace QuantLib {
// Futures has no termination date mainly for cryptocurrencies
// Base class of perpetual futures
// Funding style is different in different exchange
//! Perpetual Futures
/*! PayoffType is:
- Linear: underlying is FOR/DOM pair and margin and settlement are done in DOM;
- Inverse: underlying is FOR/DOM pair and margin and settlement are done in FOR;
- Quanto: underlying is FOR/DOM pair and margin and settlement are done in Quanto currency;
FundingType is:
- FundingWithPreviousSpot: (cashflow at day t+1) = f_t+1 - f_t - fr_t * (f_t - x_t) - i_diff_t * x_t;
- FundingWithCurrentSpot: (cashflow at day t+1) = f_t+1 - f_t - fr_t * x_t+1 * (f_t - x_t)/x_t - i_diff_t * x_t+1;
where x_t, f_t, fr_t and i_diff_t are a spot and a future price, a funding rate, an interest rate differential at t.
fundingFrequency:
- 0 length: Continuous
- otherwise: Discrete
For more details, refer to
Perpetual Futures Pricing, Damien Ackerer, Julien Hugonnier, Urban Jermann, 2024
https://finance.wharton.upenn.edu/~jermann/AHJ-main-10.pdf
*/
class PerpetualFutures : public Instrument {
public:
class arguments;
class engine;
enum PayoffType { Linear, Inverse, Quanto };
enum FundingType { FundingWithPreviousSpot, FundingWithCurrentSpot };
explicit PerpetualFutures(PerpetualFutures::PayoffType payoffType,
PerpetualFutures::FundingType fundingType = PerpetualFutures::FundingWithCurrentSpot,
Period fundingFrequency = Period(8, Hours),
Calendar cal = NullCalendar(),
DayCounter dc = ActualActual(ActualActual::ISDA));
bool isExpired() const override { return false; }
void setupArguments(PricingEngine::arguments*) const override;
private:
PayoffType payoffType_;
FundingType fundingType_;
Period fundingFrequency_;
Calendar cal_;
DayCounter dc_;
};
std::ostream& operator<<(std::ostream& out, PerpetualFutures::PayoffType type);
std::ostream& operator<<(std::ostream& out, PerpetualFutures::FundingType type);
//! %Arguments for perpetual futures calculation
class PerpetualFutures::arguments : public PricingEngine::arguments {
public:
arguments();
PerpetualFutures::PayoffType payoffType;
PerpetualFutures::FundingType fundingType;
Period fundingFrequency;
Calendar cal;
DayCounter dc;
void validate() const override;
};
//! %Perpetual futures %engine base class
class PerpetualFutures::engine
: public GenericEngine<PerpetualFutures::arguments, PerpetualFutures::results> {
};
}
#endif
|
