const Real Gaussian1dModel::swapAnnuity(const Date &fixing, const Period &tenor,
const Date &referenceDate, const Real y,
boost::shared_ptr<SwapIndex> swapIdx) const {
QL_REQUIRE(swapIdx != NULL, "no swap index given");
calculate();
Handle<YieldTermStructure> ytsd =
swapIdx->discountingTermStructure(); // might be empty, then use
// model curve
boost::shared_ptr<VanillaSwap> underlying =
underlyingSwap(swapIdx, fixing, tenor);
Schedule sched = underlying->fixedSchedule();
Real annuity = 0.0;
for (unsigned int j = 1; j < sched.size(); j++) {
annuity += zerobond(sched.calendar().adjust(
sched.date(j), underlying->paymentConvention()),
referenceDate, y, ytsd) *
swapIdx->dayCounter().yearFraction(sched.date(j - 1),
sched.date(j));
}
return annuity;
}
FixedRateBond::FixedRateBond(Natural settlementDays,
Real faceAmount,
const Schedule& schedule,
const std::vector<Rate>& coupons,
const DayCounter& accrualDayCounter,
BusinessDayConvention paymentConvention,
Real redemption,
const Date& issueDate,
const Calendar& paymentCalendar)
: Bond(settlementDays,
paymentCalendar==Calendar() ? schedule.calendar() : paymentCalendar,
issueDate),
frequency_(schedule.tenor().frequency()),
dayCounter_(accrualDayCounter) {
maturityDate_ = schedule.endDate();
cashflows_ = FixedRateLeg(schedule)
.withNotionals(faceAmount)
.withCouponRates(coupons, accrualDayCounter)
.withPaymentCalendar(calendar_)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(std::vector<Real>(1, redemption));
QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
QL_ENSURE(redemptions_.size() == 1, "multiple redemptions created");
}
CreditDefaultSwap::CreditDefaultSwap(Protection::Side side,
Real notional,
Rate spread,
const Schedule& schedule,
BusinessDayConvention convention,
const DayCounter& dayCounter,
bool settlesAccrual,
bool paysAtDefaultTime,
const Date& protectionStart,
const boost::shared_ptr<Claim>& claim,
const DayCounter& lastPeriodDayCounter,
const Natural standardCdsStartDelayDays,
const Natural standardCdsUpfrontDelayDays)
: side_(side), notional_(notional), upfront_(boost::none),
runningSpread_(spread), settlesAccrual_(settlesAccrual),
paysAtDefaultTime_(paysAtDefaultTime), claim_(claim),
protectionStart_(protectionStart == Null<Date>() ? schedule[0] :
protectionStart) {
Date d = schedule[0];
try {
if (schedule.rule() ==
DateGeneration::CDS) { // a standard CDS is identified
// by the schedule rule
Date evalDate = Settings::instance().evaluationDate();
if (protectionStart == Null<Date>())
protectionStart_ =
evalDate + standardCdsStartDelayDays; // if
// protection
// start is
// given it
// is not set
// here
d = schedule.calendar().advance(
evalDate, standardCdsUpfrontDelayDays * Days,
schedule.businessDayConvention(), schedule.endOfMonth());
QL_REQUIRE(protectionStart_ >= schedule[0],
"protection must start on or after "
"accrual start for standard CDS");
}
} catch (...) {
QL_REQUIRE(protectionStart_ <= schedule[0],
"protection can not start after accrual "
"for non standard CDS");
}
leg_ = FixedRateLeg(schedule)
.withNotionals(notional)
.withCouponRates(spread, dayCounter)
.withPaymentAdjustment(convention)
.withLastPeriodDayCounter(lastPeriodDayCounter);
upfrontPayment_.reset(new SimpleCashFlow(0.0, d));
if (!claim_)
claim_ = boost::shared_ptr<Claim>(new FaceValueClaim);
registerWith(claim_);
}
//------------------------------------------------------------------------
RiskyFloatingBond::RiskyFloatingBond(
std::string name,
Currency ccy,
Real recoveryRate,
Handle<DefaultProbabilityTermStructure> defaultTS,
Schedule schedule,
boost::shared_ptr<IborIndex> index,
Integer fixingDays,
Real spread,
std::vector<Real> notionals,
Handle<YieldTermStructure> yieldTS,
Natural settlementDays)
: RiskyBond(name, ccy, recoveryRate, defaultTS, yieldTS,
settlementDays, schedule.calendar()),
schedule_(schedule),
index_(index),
fixingDays_(fixingDays),
spread_(spread),
notionals_(notionals) {
// FIXME: Take paymentConvention into account
std::vector<Date> dates = schedule_.dates();
Real previousNotional = notionals_.front();
for (Size i = 1; i < dates.size(); i++) {
Real currentNotional = (i < notionals_.size() ?
notionals_[i] :
notionals_.back());
boost::shared_ptr<CashFlow> interest (new
IborCoupon(dates[i], previousNotional, dates[i-1], dates[i],
fixingDays_, index_, 1.0, spread_));
boost::shared_ptr<CashFlow> amortization(new
AmortizingPayment(previousNotional - currentNotional, dates[i]));
previousNotional = currentNotional;
leg_.push_back(interest);
interestLeg_.push_back(interest);
if (amortization->amount() != 0){
leg_.push_back(amortization);
redemptionLeg_.push_back(amortization);
}
}
boost::shared_ptr<CashFlow> redemption(new
Redemption(previousNotional, schedule_.dates().back()));
leg_.push_back(redemption);
redemptionLeg_.push_back(redemption);
boost::shared_ptr<IborCouponPricer>
fictitiousPricer(new
BlackIborCouponPricer(Handle<OptionletVolatilityStructure>()));
setCouponPricer(leg_,fictitiousPricer);
}
//------------------------------------------------------------------------
RiskyFixedBond::RiskyFixedBond(
const std::string& name,
const Currency& ccy,
Real recoveryRate,
const Handle<DefaultProbabilityTermStructure>& defaultTS,
const Schedule& schedule,
Real rate,
const DayCounter& dayCounter,
BusinessDayConvention paymentConvention,
const std::vector<Real>& notionals,
const Handle<YieldTermStructure>& yieldTS,
Natural settlementDays)
: RiskyBond(name, ccy, recoveryRate, defaultTS, yieldTS,
settlementDays, schedule.calendar()),
schedule_(schedule),
rate_(rate),
dayCounter_(dayCounter),
// paymentConvention_(paymentConvention),
notionals_(notionals) {
// FIXME: Take paymentConvention into account
std::vector<Date> dates = schedule_.dates();
Real previousNotional = notionals_.front();
for (Size i = 1; i < dates.size(); i++) {
Real currentNotional = (i < notionals_.size() ?
notionals_[i] :
notionals_.back());
boost::shared_ptr<CashFlow> interest (new
FixedRateCoupon(dates[i], previousNotional,
rate_, dayCounter_, dates[i-1], dates[i]));
boost::shared_ptr<CashFlow> amortization(new
AmortizingPayment(previousNotional - currentNotional, dates[i]));
previousNotional = currentNotional;
leg_.push_back(interest);
interestLeg_.push_back(interest);
if (amortization->amount() != 0){
leg_.push_back(amortization);
redemptionLeg_.push_back(amortization);
}
}
boost::shared_ptr<CashFlow> redemption(new
Redemption(previousNotional, schedule_.dates().back()));
leg_.push_back(redemption);
redemptionLeg_.push_back(redemption);
}
CPIBond::CPIBond(Natural settlementDays,
Real faceAmount,
bool growthOnly,
Real baseCPI,
const Period& observationLag,
const boost::shared_ptr<ZeroInflationIndex>& cpiIndex,
CPI::InterpolationType observationInterpolation,
const Schedule& schedule,
const std::vector<Rate>& fixedRate,
const DayCounter& accrualDayCounter,
BusinessDayConvention paymentConvention,
const Date& issueDate)
: Bond(settlementDays, schedule.calendar(), issueDate),
frequency_(schedule.tenor().frequency()),
dayCounter_(accrualDayCounter),
growthOnly_(growthOnly),
baseCPI_(baseCPI),
observationLag_(observationLag),
cpiIndex_(cpiIndex),
observationInterpolation_(observationInterpolation)
{
maturityDate_ = schedule.endDate();
// a CPIleg know about zero legs and inclusion of base inflation notional
cashflows_ = CPILeg(schedule, cpiIndex_,
baseCPI_, observationLag_)
.withNotionals(faceAmount)
.withFixedRates(fixedRate)
.withPaymentDayCounter(accrualDayCounter)
.withPaymentAdjustment(paymentConvention)
.withObservationInterpolation(observationInterpolation_)
.withSubtractInflationNominal(growthOnly_);
registerWith(cpiIndex_);
Leg::const_iterator i;
for (i = cashflows_.begin(); i < cashflows_.end(); ++i) {
registerWith(*i);
}
};
CallableBond::CallableBond(Natural settlementDays,
const Schedule& schedule,
const DayCounter& paymentDayCounter,
const Date& issueDate,
const CallabilitySchedule& putCallSchedule)
: Bond(settlementDays, schedule.calendar(), issueDate),
paymentDayCounter_(paymentDayCounter), putCallSchedule_(putCallSchedule) {
maturityDate_ = schedule.dates().back();
if (!putCallSchedule_.empty()) {
Date finalOptionDate = Date::minDate();
for (Size i=0; i<putCallSchedule_.size();++i) {
finalOptionDate=std::max(finalOptionDate,
putCallSchedule_[i]->date());
}
QL_REQUIRE(finalOptionDate <= maturityDate_ ,
"Bond cannot mature before last call/put date");
}
// derived classes must set cashflows_ and frequency_
}
FloatingCatBond::FloatingCatBond(
Natural settlementDays,
Real faceAmount,
const Schedule& schedule,
const boost::shared_ptr<IborIndex>& iborIndex,
const DayCounter& paymentDayCounter,
boost::shared_ptr<NotionalRisk> notionalRisk,
BusinessDayConvention paymentConvention,
Natural fixingDays,
const std::vector<Real>& gearings,
const std::vector<Spread>& spreads,
const std::vector<Rate>& caps,
const std::vector<Rate>& floors,
bool inArrears,
Real redemption,
const Date& issueDate)
: CatBond(settlementDays, schedule.calendar(), issueDate, notionalRisk) {
maturityDate_ = schedule.endDate();
cashflows_ = IborLeg(schedule, iborIndex)
.withNotionals(faceAmount)
.withPaymentDayCounter(paymentDayCounter)
.withPaymentAdjustment(paymentConvention)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.withCaps(caps)
.withFloors(floors)
.inArrears(inArrears);
addRedemptionsToCashflows(std::vector<Real>(1, redemption));
QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
QL_ENSURE(redemptions_.size() == 1, "multiple redemptions created");
registerWith(iborIndex);
}
AmortizingFixedRateBond::AmortizingFixedRateBond(
Natural settlementDays,
const std::vector<Real>& notionals,
const Schedule& schedule,
const std::vector<Rate>& coupons,
const DayCounter& accrualDayCounter,
BusinessDayConvention paymentConvention,
const Date& issueDate)
: Bond(settlementDays, schedule.calendar(), issueDate),
frequency_(schedule.tenor().frequency()),
dayCounter_(accrualDayCounter) {
maturityDate_ = schedule.endDate();
cashflows_ = FixedRateLeg(schedule)
.withNotionals(notionals)
.withCouponRates(coupons, accrualDayCounter)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows();
QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
}
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;
}
}
FixedRateLeg::FixedRateLeg(const Schedule& schedule)
: schedule_(schedule), paymentCalendar_(schedule.calendar()),
paymentAdjustment_(Following), paymentLag_(0) {}