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;
}
const Real
Gaussian1dModel::swapRate(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();
if (fixing <=
(evaluationDate_ + (enforcesTodaysHistoricFixings_ ? 0 : -1)))
return swapIdx->fixing(fixing);
Handle<YieldTermStructure> ytsf =
swapIdx->iborIndex()->forwardingTermStructure();
Handle<YieldTermStructure> ytsd =
swapIdx->discountingTermStructure(); // either might be empty, then
// use model curve
Schedule sched, floatSched;
boost::shared_ptr<VanillaSwap> underlying = underlyingSwap(swapIdx, fixing, tenor);
sched = underlying->fixedSchedule();
boost::shared_ptr<OvernightIndexedSwapIndex> oisIdx =
boost::dynamic_pointer_cast<OvernightIndexedSwapIndex>(swapIdx);
if (oisIdx != NULL) {
floatSched = sched;
} else {
floatSched = underlying->floatingSchedule();
}
Real annuity = swapAnnuity(fixing, tenor, referenceDate, y,
swapIdx); // should be fine for
// overnightindexed swap indices as
// well
Rate floatleg = 0.0;
if (ytsf.empty() && ytsd.empty()) { // simple 100-formula can be used
// only in one curve setup
floatleg = (zerobond(sched.dates().front(), referenceDate, y) -
zerobond(sched.calendar().adjust(
sched.dates().back(),
underlying->paymentConvention()),
referenceDate, y));
} else {
for (Size i = 1; i < floatSched.size(); i++) {
floatleg +=
(zerobond(floatSched[i - 1], referenceDate, y, ytsf) /
zerobond(floatSched[i], referenceDate, y, ytsf) -
1.0) *
zerobond(
floatSched.calendar().adjust(
floatSched[i], underlying->paymentConvention()),
referenceDate, y, ytsd);
}
}
return floatleg / annuity;
}
Rate SwapIndex::forecastFixing(const Date& fixingDate) const {
return underlyingSwap(fixingDate)->fairRate();
}
Date SwapIndex::maturityDate(const Date& valueDate) const {
Date fixDate = fixingDate(valueDate);
return underlyingSwap(fixDate)->maturityDate();
}
