NthToDefault::NthToDefault(
const boost::shared_ptr<Basket>& basket,
Size n,
Protection::Side side,
const Schedule& premiumSchedule,
Rate upfrontRate,
Rate premiumRate,
const DayCounter& dayCounter,
Real nominal,
bool settlePremiumAccrual
)
: basket_(basket), n_(n),
side_(side), nominal_(nominal),
premiumSchedule_(premiumSchedule), premiumRate_(premiumRate),
upfrontRate_(upfrontRate),
dayCounter_(dayCounter), settlePremiumAccrual_(settlePremiumAccrual)
{
QL_REQUIRE(n_ <= basket_->size(),
"NTD order provided is larger than the basket size.");
// Basket inception must lie before contract protection start.
QL_REQUIRE(basket->refDate() <= premiumSchedule.startDate(),
//using the start date of the schedule might be wrong, think of the CDS rule
"Basket did not exist before contract start.");
premiumLeg_ = FixedRateLeg(premiumSchedule)
.withNotionals(nominal)
.withCouponRates(premiumRate, dayCounter)
.withPaymentAdjustment(Unadjusted);
registerWith(basket_);
}
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;
}
}
