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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2004, 2007 StatPro Italia srl
Copyright (C) 2022 Ralf Konrad Eckel
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/pricingengines/swap/discretizedswap.hpp>
#include <ql/settings.hpp>
#include <utility>
namespace QuantLib {
namespace {
inline bool isResetTimeInPast(const Time& resetTime,
const Time& payTime,
const bool& includeTodaysCashFlows) {
return (resetTime < 0.0) &&
((payTime > 0.0) || (includeTodaysCashFlows && (payTime == 0.0)));
}
}
DiscretizedSwap::DiscretizedSwap(const VanillaSwap::arguments& args,
const Date& referenceDate,
const DayCounter& dayCounter)
: DiscretizedSwap(
args,
referenceDate,
dayCounter,
std::vector<CouponAdjustment>(args.fixedPayDates.size(), CouponAdjustment::pre),
std::vector<CouponAdjustment>(args.floatingPayDates.size(), CouponAdjustment::pre)) {}
DiscretizedSwap::DiscretizedSwap(const VanillaSwap::arguments& args,
const Date& referenceDate,
const DayCounter& dayCounter,
std::vector<CouponAdjustment> fixedCouponAdjustments,
std::vector<CouponAdjustment> floatingCouponAdjustments)
: arguments_(args), fixedCouponAdjustments_(std::move(fixedCouponAdjustments)),
floatingCouponAdjustments_(std::move(floatingCouponAdjustments)) {
QL_REQUIRE(
fixedCouponAdjustments_.size() == arguments_.fixedPayDates.size(),
"The fixed coupon adjustments must have the same size as the number of fixed coupons.");
QL_REQUIRE(floatingCouponAdjustments_.size() == arguments_.floatingPayDates.size(),
"The floating coupon adjustments must have the same size as the number of "
"floating coupons.");
// NOLINTNEXTLINE(readability-implicit-bool-conversion)
auto includeTodaysCashFlows = Settings::instance().includeTodaysCashFlows() &&
*Settings::instance().includeTodaysCashFlows(); // NOLINT(bugprone-unchecked-optional-access)
auto nrOfFixedCoupons = args.fixedResetDates.size();
fixedResetTimes_.resize(nrOfFixedCoupons);
fixedPayTimes_.resize(nrOfFixedCoupons);
fixedResetTimeIsInPast_.resize(nrOfFixedCoupons);
for (Size i = 0; i < nrOfFixedCoupons; ++i) {
auto resetTime = dayCounter.yearFraction(referenceDate, args.fixedResetDates[i]);
auto payTime = dayCounter.yearFraction(referenceDate, args.fixedPayDates[i]);
auto resetIsInPast = isResetTimeInPast(resetTime, payTime, includeTodaysCashFlows);
fixedResetTimes_[i] = resetTime;
fixedPayTimes_[i] = payTime;
fixedResetTimeIsInPast_[i] = resetIsInPast;
if (resetIsInPast)
fixedCouponAdjustments_[i] = CouponAdjustment::post;
}
auto nrOfFloatingCoupons = args.floatingResetDates.size();
floatingResetTimes_.resize(nrOfFloatingCoupons);
floatingPayTimes_.resize(nrOfFloatingCoupons);
floatingResetTimeIsInPast_.resize(nrOfFloatingCoupons);
for (Size i = 0; i < nrOfFloatingCoupons; ++i) {
auto resetTime = dayCounter.yearFraction(referenceDate, args.floatingResetDates[i]);
auto payTime = dayCounter.yearFraction(referenceDate, args.floatingPayDates[i]);
auto resetIsInPast = isResetTimeInPast(resetTime, payTime, includeTodaysCashFlows);
floatingResetTimes_[i] = resetTime;
floatingPayTimes_[i] = payTime;
floatingResetTimeIsInPast_[i] = resetIsInPast;
if (resetIsInPast)
floatingCouponAdjustments_[i] = CouponAdjustment::post;
}
}
void DiscretizedSwap::reset(Size size) {
values_ = Array(size, 0.0);
adjustValues();
}
std::vector<Time> DiscretizedSwap::mandatoryTimes() const {
std::vector<Time> times;
for (Real t : fixedResetTimes_) {
if (t >= 0.0)
times.push_back(t);
}
for (Real t : fixedPayTimes_) {
if (t >= 0.0)
times.push_back(t);
}
for (Real t : floatingResetTimes_) {
if (t >= 0.0)
times.push_back(t);
}
for (Real t : floatingPayTimes_) {
if (t >= 0.0)
times.push_back(t);
}
return times;
}
void DiscretizedSwap::preAdjustValuesImpl() {
// floating payments
for (Size i = 0; i < floatingResetTimes_.size(); i++) {
Time t = floatingResetTimes_[i];
if (floatingCouponAdjustments_[i] == CouponAdjustment::pre && t >= 0.0 && isOnTime(t)) {
addFloatingCoupon(i);
}
}
// fixed payments
for (Size i = 0; i < fixedResetTimes_.size(); i++) {
Time t = fixedResetTimes_[i];
if (fixedCouponAdjustments_[i] == CouponAdjustment::pre && t >= 0.0 && isOnTime(t)) {
addFixedCoupon(i);
}
}
}
void DiscretizedSwap::postAdjustValuesImpl() {
// floating payments
for (Size i = 0; i < floatingResetTimes_.size(); i++) {
Time t = floatingResetTimes_[i];
if (floatingCouponAdjustments_[i] == CouponAdjustment::post && t >= 0.0 && isOnTime(t)) {
addFloatingCoupon(i);
}
}
// fixed payments
for (Size i = 0; i < fixedResetTimes_.size(); i++) {
Time t = fixedResetTimes_[i];
if (fixedCouponAdjustments_[i] == CouponAdjustment::post && t >= 0.0 && isOnTime(t)) {
addFixedCoupon(i);
}
}
// fixed coupons whose reset time is in the past won't be managed
// in preAdjustValues()
for (Size i = 0; i < fixedPayTimes_.size(); i++) {
Time t = fixedPayTimes_[i];
if (fixedResetTimeIsInPast_[i] && isOnTime(t)) {
Real fixedCoupon = arguments_.fixedCoupons[i];
if (arguments_.type == Swap::Payer)
values_ -= fixedCoupon;
else
values_ += fixedCoupon;
}
}
// the same applies to floating payments whose rate is already fixed
for (Size i = 0; i < floatingPayTimes_.size(); i++) {
Time t = floatingPayTimes_[i];
if (floatingResetTimeIsInPast_[i] && isOnTime(t)) {
Real currentFloatingCoupon = arguments_.floatingCoupons[i];
QL_REQUIRE(currentFloatingCoupon != Null<Real>(),
"current floating coupon not given");
if (arguments_.type == Swap::Payer)
values_ += currentFloatingCoupon;
else
values_ -= currentFloatingCoupon;
}
}
}
void DiscretizedSwap::addFixedCoupon(Size i) {
DiscretizedDiscountBond bond;
bond.initialize(method(), fixedPayTimes_[i]);
bond.rollback(time_);
Real fixedCoupon = arguments_.fixedCoupons[i];
for (Size j = 0; j < values_.size(); j++) {
Real coupon = fixedCoupon * bond.values()[j];
if (arguments_.type == Swap::Payer)
values_[j] -= coupon;
else
values_[j] += coupon;
}
}
void DiscretizedSwap::addFloatingCoupon(Size i) {
DiscretizedDiscountBond bond;
bond.initialize(method(), floatingPayTimes_[i]);
bond.rollback(time_);
QL_REQUIRE(arguments_.nominal != Null<Real>(),
"non-constant nominals are not supported yet");
Real nominal = arguments_.nominal;
Time T = arguments_.floatingAccrualTimes[i];
Spread spread = arguments_.floatingSpreads[i];
Real accruedSpread = nominal * T * spread;
for (Size j = 0; j < values_.size(); j++) {
Real coupon = nominal * (1.0 - bond.values()[j]) + accruedSpread * bond.values()[j];
if (arguments_.type == Swap::Payer)
values_[j] += coupon;
else
values_[j] -= coupon;
}
}
}
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