NoArbSabrSmileSection::NoArbSabrSmileSection(
Time timeToExpiry, Rate forward, const std::vector<Real> &sabrParams,
Real shift)
: SmileSection(timeToExpiry, DayCounter()), forward_(forward),
params_(sabrParams), shift_(shift) {
init();
}
CappedFlooredCmsCoupon(
const Date& paymentDate,
Real nominal,
const Date& startDate,
const Date& endDate,
Natural fixingDays,
const boost::shared_ptr<SwapIndex>& index,
Real gearing = 1.0,
Spread spread= 0.0,
const Rate cap = Null<Rate>(),
const Rate floor = Null<Rate>(),
const Date& refPeriodStart = Date(),
const Date& refPeriodEnd = Date(),
const DayCounter& dayCounter = DayCounter(),
bool isInArrears = false)
: CappedFlooredCoupon(boost::shared_ptr<FloatingRateCoupon>(new
CmsCoupon(paymentDate, nominal, startDate, endDate, fixingDays,
index, gearing, spread, refPeriodStart, refPeriodEnd,
dayCounter, isInArrears)), cap, floor) {}
OvernightIndexedSwap::OvernightIndexedSwap(
Type type,
Real nominal,
const Schedule& schedule,
Rate fixedRate,
const DayCounter& fixedDC,
const boost::shared_ptr<OvernightIndex>& overnightIndex,
Spread spread)
: Swap(2), type_(type), nominal_(nominal),
paymentFrequency_(schedule.tenor().frequency()),
//schedule_(schedule),
fixedRate_(fixedRate), fixedDC_(fixedDC),
overnightIndex_(overnightIndex), spread_(spread) {
if (fixedDC_==DayCounter())
fixedDC_ = overnightIndex_->dayCounter();
legs_[0] = FixedRateLeg(schedule)
.withNotionals(nominal_)
.withCouponRates(fixedRate_, fixedDC_);
legs_[1] = OvernightLeg(schedule, overnightIndex_)
.withNotionals(nominal_)
.withSpreads(spread_);
for (Size j=0; j<2; ++j) {
for (Leg::iterator i = legs_[j].begin(); i!= legs_[j].end(); ++i)
registerWith(*i);
}
switch (type_) {
case Payer:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
case Receiver:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
default:
QL_FAIL("Unknown overnight-swap type");
}
}
boost::shared_ptr<QuantLib::Instrument> qlInstrumentFactory::noteInstrument(const boost::shared_ptr<FpmlSerialized::NoteInfo> xml_serial)
{
Date tradeDate = xml_serial->getTradeDate()->dateValue();
Date effectiveDate = xml_serial->getEffectiveDate()->dateValue();
Date maturityDate = xml_serial->getMaturityDate()->dateValue();
double notional = xml_serial->getNotional()->DValue();
DayCounter daycounter = DayCounter();
Calendar calendar = Calendar();
boost::shared_ptr<QuantLib::NoteInst> noteinst
= boost::shared_ptr<QuantLib::NoteInst>(
new NoteInst("test",notional,
effectiveDate,
maturityDate,
daycounter,
calendar));
return noteinst;
}
Real GsrProcess::time(const Date &d) const {
QL_REQUIRE(
referenceDate_ != Null<Date>() && dc_ != DayCounter(),
"time can not be computed without reference date and day counter");
return dc_.yearFraction(referenceDate_, d);
}
AssetSwap::AssetSwap(bool parSwap,
const boost::shared_ptr<Bond>& bond,
Real bondCleanPrice,
Real nonParRepayment,
Real gearing,
const boost::shared_ptr<IborIndex>& iborIndex,
Spread spread,
const DayCounter& floatingDayCounter,
Date dealMaturity,
bool payBondCoupon)
: Swap(2), bond_(bond), bondCleanPrice_(bondCleanPrice),
nonParRepayment_(nonParRepayment), spread_(spread), parSwap_(parSwap)
{
Schedule tempSch(bond_->settlementDate(),
bond_->maturityDate(),
iborIndex->tenor(),
iborIndex->fixingCalendar(),
iborIndex->businessDayConvention(),
iborIndex->businessDayConvention(),
DateGeneration::Backward,
false); // endOfMonth
if (dealMaturity==Date())
dealMaturity = bond_->maturityDate();
QL_REQUIRE(dealMaturity <= tempSch.dates().back(),
"deal maturity " << dealMaturity <<
" cannot be later than (adjusted) bond maturity " <<
tempSch.dates().back());
// the following might become an input parameter
BusinessDayConvention paymentAdjustment = Following;
Date finalDate = tempSch.calendar().adjust(
dealMaturity, paymentAdjustment);
Schedule schedule = tempSch.until(finalDate);
// bondCleanPrice must be the (forward) clean price
// at the floating schedule start date
upfrontDate_ = schedule.startDate();
Real dirtyPrice = bondCleanPrice_ +
bond_->accruedAmount(upfrontDate_);
Real notional = bond_->notional(upfrontDate_);
/* In the market asset swap, the bond is purchased in return for
payment of the full price. The notional of the floating leg is
then scaled by the full price. */
if (!parSwap_)
notional *= dirtyPrice/100.0;
if (floatingDayCounter==DayCounter())
legs_[1] = IborLeg(schedule, iborIndex)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment)
.withGearings(gearing)
.withSpreads(spread);
else
legs_[1] = IborLeg(schedule, iborIndex)
.withNotionals(notional)
.withPaymentDayCounter(floatingDayCounter)
.withPaymentAdjustment(paymentAdjustment)
.withGearings(gearing)
.withSpreads(spread);
for (Leg::const_iterator i=legs_[1].begin(); i<legs_[1].end(); ++i)
registerWith(*i);
const Leg& bondLeg = bond_->cashflows();
Leg::const_iterator i = bondLeg.begin();
// skip bond redemption
for (; i<bondLeg.end()-1 && (*i)->date()<=dealMaturity; ++i) {
// whatever might be the choice for the discounting engine
// bond flows on upfrontDate_ must be discarded
bool upfrontDateBondFlows = false;
if (!(*i)->hasOccurred(upfrontDate_, upfrontDateBondFlows))
legs_[0].push_back(*i);
}
// if the first skipped cashflow is not the redemption
// and it is a coupon then add the accrued coupon
if (i<bondLeg.end()-1) {
shared_ptr<Coupon> c = boost::dynamic_pointer_cast<Coupon>(*i);
if (c) {
shared_ptr<CashFlow> accruedCoupon(new
SimpleCashFlow(c->accruedAmount(dealMaturity), finalDate));
legs_[0].push_back(accruedCoupon);
}
}
// add the nonParRepayment_
shared_ptr<CashFlow> nonParRepaymentFlow(new
SimpleCashFlow(nonParRepayment_, finalDate));
legs_[0].push_back(nonParRepaymentFlow);
QL_REQUIRE(!legs_[0].empty(),
"empty bond leg to start with");
// special flows
if (parSwap_) {
// upfront on the floating leg
Real upfront = (dirtyPrice-100.0)/100.0*notional;
shared_ptr<CashFlow> upfrontCashFlow(new
SimpleCashFlow(upfront, upfrontDate_));
legs_[1].insert(legs_[1].begin(), upfrontCashFlow);
// backpayment on the floating leg
// (accounts for non-par redemption, if any)
Real backPayment = notional;
shared_ptr<CashFlow> backPaymentCashFlow(new
SimpleCashFlow(backPayment, finalDate));
legs_[1].push_back(backPaymentCashFlow);
} else {
// final notional exchange
shared_ptr<CashFlow> finalCashFlow (new
SimpleCashFlow(notional, finalDate));
legs_[1].push_back(finalCashFlow);
}
QL_REQUIRE(!legs_[0].empty(), "empty bond leg");
for (Leg::const_iterator i=legs_[0].begin(); i<legs_[0].end(); ++i)
registerWith(*i);
if (payBondCoupon) {
payer_[0]=-1.0;
payer_[1]=+1.0;
} else {
payer_[0]=+1.0;
payer_[1]=-1.0;
}
}
AssetSwap::AssetSwap(bool payBondCoupon,
const shared_ptr<Bond>& bond,
Real bondCleanPrice,
const shared_ptr<IborIndex>& iborIndex,
Spread spread,
const Schedule& floatSchedule,
const DayCounter& floatingDayCounter,
bool parSwap)
: Swap(2), bond_(bond), bondCleanPrice_(bondCleanPrice),
nonParRepayment_(100), spread_(spread), parSwap_(parSwap)
{
Schedule schedule = floatSchedule;
if (floatSchedule.empty())
schedule = Schedule(bond_->settlementDate(),
bond_->maturityDate(),
iborIndex->tenor(),
iborIndex->fixingCalendar(),
iborIndex->businessDayConvention(),
iborIndex->businessDayConvention(),
DateGeneration::Backward,
false); // endOfMonth
// the following might become an input parameter
BusinessDayConvention paymentAdjustment = Following;
Date finalDate = schedule.calendar().adjust(
schedule.endDate(), paymentAdjustment);
Date adjBondMaturityDate = schedule.calendar().adjust(
bond_->maturityDate(), paymentAdjustment);
QL_REQUIRE(finalDate==adjBondMaturityDate,
"adjusted schedule end date (" <<
finalDate <<
") must be equal to adjusted bond maturity date (" <<
adjBondMaturityDate << ")");
// bondCleanPrice must be the (forward) clean price
// at the floating schedule start date
upfrontDate_ = schedule.startDate();
Real dirtyPrice = bondCleanPrice_ +
bond_->accruedAmount(upfrontDate_);
Real notional = bond_->notional(upfrontDate_);
/* In the market asset swap, the bond is purchased in return for
payment of the full price. The notional of the floating leg is
then scaled by the full price. */
if (!parSwap_)
notional *= dirtyPrice/100.0;
if (floatingDayCounter==DayCounter())
legs_[1] = IborLeg(schedule, iborIndex)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment)
.withSpreads(spread);
else
legs_[1] = IborLeg(schedule, iborIndex)
.withNotionals(notional)
.withPaymentDayCounter(floatingDayCounter)
.withPaymentAdjustment(paymentAdjustment)
.withSpreads(spread);
for (Leg::const_iterator i=legs_[1].begin(); i<legs_[1].end(); ++i)
registerWith(*i);
const Leg& bondLeg = bond_->cashflows();
for (Leg::const_iterator i=bondLeg.begin(); i<bondLeg.end(); ++i) {
// whatever might be the choice for the discounting engine
// bond flows on upfrontDate_ must be discarded
bool upfrontDateBondFlows = false;
if (!(*i)->hasOccurred(upfrontDate_, upfrontDateBondFlows))
legs_[0].push_back(*i);
}
QL_REQUIRE(!legs_[0].empty(),
"empty bond leg to start with");
// special flows
if (parSwap_) {
// upfront on the floating leg
Real upfront = (dirtyPrice-100.0)/100.0*notional;
shared_ptr<CashFlow> upfrontCashFlow(new
SimpleCashFlow(upfront, upfrontDate_));
legs_[1].insert(legs_[1].begin(), upfrontCashFlow);
// backpayment on the floating leg
// (accounts for non-par redemption, if any)
Real backPayment = notional;
shared_ptr<CashFlow> backPaymentCashFlow(new
SimpleCashFlow(backPayment, finalDate));
legs_[1].push_back(backPaymentCashFlow);
} else {
// final notional exchange
shared_ptr<CashFlow> finalCashFlow(new
SimpleCashFlow(notional, finalDate));
legs_[1].push_back(finalCashFlow);
}
QL_REQUIRE(!legs_[0].empty(), "empty bond leg");
for (Leg::const_iterator i=legs_[0].begin(); i<legs_[0].end(); ++i)
registerWith(*i);
if (payBondCoupon) {
payer_[0]=-1.0;
payer_[1]=+1.0;
} else {
payer_[0]=+1.0;
payer_[1]=-1.0;
}
}
MakeVanillaSwap::operator ext::shared_ptr<VanillaSwap>() const {
Date startDate;
if (effectiveDate_ != Date())
startDate = effectiveDate_;
else {
Date refDate = Settings::instance().evaluationDate();
// if the evaluation date is not a business day
// then move to the next business day
refDate = floatCalendar_.adjust(refDate);
Date spotDate = floatCalendar_.advance(refDate,
settlementDays_*Days);
startDate = spotDate+forwardStart_;
if (forwardStart_.length()<0)
startDate = floatCalendar_.adjust(startDate,
Preceding);
else
startDate = floatCalendar_.adjust(startDate,
Following);
}
Date endDate = terminationDate_;
if (endDate == Date()) {
if (floatEndOfMonth_)
endDate = floatCalendar_.advance(startDate,
swapTenor_,
ModifiedFollowing,
floatEndOfMonth_);
else
endDate = startDate + swapTenor_;
}
const Currency& curr = iborIndex_->currency();
Period fixedTenor;
if (fixedTenor_ != Period())
fixedTenor = fixedTenor_;
else {
if ((curr == EURCurrency()) ||
(curr == USDCurrency()) ||
(curr == CHFCurrency()) ||
(curr == SEKCurrency()) ||
(curr == GBPCurrency() && swapTenor_ <= 1 * Years))
fixedTenor = Period(1, Years);
else if ((curr == GBPCurrency() && swapTenor_ > 1 * Years) ||
(curr == JPYCurrency()) ||
(curr == AUDCurrency() && swapTenor_ >= 4 * Years))
fixedTenor = Period(6, Months);
else if ((curr == HKDCurrency() ||
(curr == AUDCurrency() && swapTenor_ < 4 * Years)))
fixedTenor = Period(3, Months);
else
QL_FAIL("unknown fixed leg default tenor for " << curr);
}
Schedule fixedSchedule(startDate, endDate,
fixedTenor, fixedCalendar_,
fixedConvention_,
fixedTerminationDateConvention_,
fixedRule_, fixedEndOfMonth_,
fixedFirstDate_, fixedNextToLastDate_);
Schedule floatSchedule(startDate, endDate,
floatTenor_, floatCalendar_,
floatConvention_,
floatTerminationDateConvention_,
floatRule_, floatEndOfMonth_,
floatFirstDate_, floatNextToLastDate_);
DayCounter fixedDayCount;
if (fixedDayCount_ != DayCounter())
fixedDayCount = fixedDayCount_;
else {
if (curr == USDCurrency())
fixedDayCount = Actual360();
else if (curr == EURCurrency() || curr == CHFCurrency() ||
curr == SEKCurrency())
fixedDayCount = Thirty360(Thirty360::BondBasis);
else if (curr == GBPCurrency() || curr == JPYCurrency() ||
curr == AUDCurrency() || curr == HKDCurrency())
fixedDayCount = Actual365Fixed();
else
QL_FAIL("unknown fixed leg day counter for " << curr);
}
Rate usedFixedRate = fixedRate_;
if (fixedRate_ == Null<Rate>()) {
VanillaSwap temp(type_, nominal_,
fixedSchedule,
0.0, // fixed rate
fixedDayCount,
floatSchedule, iborIndex_,
floatSpread_, floatDayCount_);
if (engine_ == 0) {
Handle<YieldTermStructure> disc =
iborIndex_->forwardingTermStructure();
QL_REQUIRE(!disc.empty(),
"null term structure set to this instance of " <<
iborIndex_->name());
bool includeSettlementDateFlows = false;
ext::shared_ptr<PricingEngine> engine(new
DiscountingSwapEngine(disc, includeSettlementDateFlows));
temp.setPricingEngine(engine);
} else
temp.setPricingEngine(engine_);
usedFixedRate = temp.fairRate();
}
ext::shared_ptr<VanillaSwap> swap(new
VanillaSwap(type_, nominal_,
fixedSchedule,
usedFixedRate, fixedDayCount,
floatSchedule,
iborIndex_, floatSpread_, floatDayCount_));
if (engine_ == 0) {
Handle<YieldTermStructure> disc =
iborIndex_->forwardingTermStructure();
bool includeSettlementDateFlows = false;
ext::shared_ptr<PricingEngine> engine(new
DiscountingSwapEngine(disc, includeSettlementDateFlows));
swap->setPricingEngine(engine);
} else
swap->setPricingEngine(engine_);
return swap;
}
