BMAIndex::BMAIndex(const Handle<YieldTermStructure>& h)
: InterestRateIndex("BMA",
1 * Weeks,
1,
USDCurrency(),
UnitedStates(UnitedStates::NYSE),
ActualActual(ActualActual::ISDA)),
termStructure_(h) {
registerWith (h);
}
USCPI(bool interpolated,
const Handle<ZeroInflationTermStructure>& ts =
Handle<ZeroInflationTermStructure>())
: ZeroInflationIndex("CPI",
USRegion(),
false,
interpolated,
Monthly,
Period(1, Months), // availability
USDCurrency(),
ts) {}
YYUSCPIr(bool interpolated,
const Handle<YoYInflationTermStructure>& ts =
Handle<YoYInflationTermStructure>())
: YoYInflationIndex("YYR_CPI",
USRegion(),
false,
interpolated,
true,
Monthly,
Period(1, Months),
USDCurrency(),
ts) {}
UsdLiborSwapIsdaFixPm::UsdLiborSwapIsdaFixPm(
const Period& tenor,
const Handle<YieldTermStructure>& h)
: SwapIndex("UsdLiborSwapIsdaFixPm", // familyName
tenor,
2, // settlementDays
USDCurrency(),
UnitedStates(UnitedStates::GovernmentBond),
6*Months, // fixedLegTenor
ModifiedFollowing, // fixedLegConvention
Thirty360(Thirty360::BondBasis), // fixedLegDaycounter
boost::shared_ptr<IborIndex>(new USDLibor(3*Months, h))) {}
UsdLiborSwapIsdaFixPm::UsdLiborSwapIsdaFixPm(
const Period& tenor,
const Handle<YieldTermStructure>& forwarding,
const Handle<YieldTermStructure>& discounting)
: SwapIndex("UsdLiborSwapIsdaFixPm", // familyName
tenor,
2, // settlementDays
USDCurrency(),
TARGET(),
6*Months, // fixedLegTenor
ModifiedFollowing, // fixedLegConvention
Thirty360(Thirty360::BondBasis), // fixedLegDaycounter
boost::shared_ptr<IborIndex>(new USDLibor(3*Months, forwarding)),
discounting) {}
FedFunds::FedFunds(const Handle<YieldTermStructure>& h)
: OvernightIndex("FedFunds", 0,
USDCurrency(),
UnitedStates(UnitedStates::Settlement),
Actual360(), h) {}
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;
}
