8467932009

Committed 28 Mar 2024 01:18PM UTC coverage: 72.497% (+0.07%) from 72.426%

Build # 8467932009

Build Type

Pull #1593

github

Committed by

web-flow

Commit Message

Merge 9b4efa33c into d6f6c13a5

Pull Request Pull Request #1593: allow swaptions to take OvernightIndexedSwap

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50.0

/ql/instruments/makeswaption.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2007, 2008, 2014 Ferdinando Ametrano
 Copyright (C) 2007 Giorgio Facchinetti

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

#include <ql/cashflows/cashflows.hpp>
#include <ql/exercise.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/instruments/makeois.hpp>
#include <ql/instruments/makeswaption.hpp>
#include <ql/instruments/makevanillaswap.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/optional.hpp>
#include <ql/settings.hpp>
#include <utility>

namespace QuantLib {

    MakeSwaption::MakeSwaption(ext::shared_ptr<SwapIndex> swapIndex,
                               const Period& optionTenor,
                               Rate strike)
    : swapIndex_(std::move(swapIndex)), delivery_(Settlement::Physical),
      settlementMethod_(Settlement::PhysicalOTC), optionTenor_(optionTenor),
      optionConvention_(ModifiedFollowing), fixingDate_(Null<Date>()), strike_(strike),
      underlyingType_(Swap::Payer), nominal_(1.0) {}

    MakeSwaption::MakeSwaption(ext::shared_ptr<SwapIndex> swapIndex,
                               const Date& fixingDate,
                               Rate strike)
    : swapIndex_(std::move(swapIndex)), delivery_(Settlement::Physical),
      settlementMethod_(Settlement::PhysicalOTC), optionConvention_(ModifiedFollowing),
      fixingDate_(fixingDate), strike_(strike), underlyingType_(Swap::Payer) {}

    MakeSwaption::operator Swaption() const {
        ext::shared_ptr<Swaption> swaption = *this;
        return *swaption;
    }

    MakeSwaption::operator ext::shared_ptr<Swaption>() const {

        const Calendar& fixingCalendar = swapIndex_->fixingCalendar();
        Date refDate = Settings::instance().evaluationDate();
        // if the evaluation date is not a business day
        // then move to the next business day
        refDate = fixingCalendar.adjust(refDate);
        if (fixingDate_ == Null<Date>())
            fixingDate_ = fixingCalendar.advance(refDate, optionTenor_,
                                                 optionConvention_);
        if (exerciseDate_ == Null<Date>()) {
            exercise_ = ext::shared_ptr<Exercise>(new
                EuropeanExercise(fixingDate_));
        } else {
            QL_REQUIRE(exerciseDate_ <= fixingDate_,
                       "exercise date (" << exerciseDate_ << ") must be less "
                       "than or equal to fixing date (" << fixingDate_ << ")");
            exercise_ = ext::shared_ptr<Exercise>(new
                EuropeanExercise(exerciseDate_));
        }

        Rate usedStrike;
        ext::shared_ptr<OvernightIndexedSwapIndex> OIswap_index = ext::dynamic_pointer_cast<OvernightIndexedSwapIndex>(swapIndex_);
        if (strike_ == Null<Rate>()) {
            // ATM on curve(s) attached to index
            QL_REQUIRE(!swapIndex_->forwardingTermStructure().empty(),
                       "null term structure set to this instance of " <<
                       swapIndex_->name());
            if (OIswap_index) {
                auto temp = OIswap_index->underlyingSwap(fixingDate_);
                temp->setPricingEngine(
                    ext::make_shared<DiscountingSwapEngine>(
                        swapIndex_->exogenousDiscount()
                        ? swapIndex_->discountingTermStructure()
                        : swapIndex_->forwardingTermStructure(),
                        false
                    )
                );
                usedStrike = temp->fairRate();
            } else {
                auto temp = swapIndex_->underlyingSwap(fixingDate_);
                temp->setPricingEngine(
                    ext::make_shared<DiscountingSwapEngine>(
                        swapIndex_->exogenousDiscount()
                        ? swapIndex_->discountingTermStructure()
                        : swapIndex_->forwardingTermStructure(),
                        false
                    )
                );
                usedStrike = temp->fairRate();
            }
        } else {
            usedStrike = strike_;
        }

        BusinessDayConvention bdc = swapIndex_->fixedLegConvention();
        if (OIswap_index) {
            underlyingSwap_ =
                (ext::shared_ptr<OvernightIndexedSwap>)(
                    MakeOIS(swapIndex_->tenor(),
                            OIswap_index->overnightIndex(), usedStrike)
                    .withEffectiveDate(swapIndex_->valueDate(fixingDate_))
                    .withPaymentCalendar(swapIndex_->fixingCalendar())
                    .withFixedLegDayCount(swapIndex_->dayCounter())
                    .withPaymentAdjustment(bdc)
                    .withFixedLegConvention(bdc)
                    .withFixedLegTerminationDateConvention(bdc)
                    .withType(underlyingType_)
                    .withNominal(nominal_)
                    );
        } else {
            underlyingSwap_ =
                (ext::shared_ptr<VanillaSwap>)(
                    MakeVanillaSwap(swapIndex_->tenor(),
                                    swapIndex_->iborIndex(), usedStrike)
                    .withEffectiveDate(swapIndex_->valueDate(fixingDate_))
                    .withFixedLegCalendar(swapIndex_->fixingCalendar())
                    .withFixedLegDayCount(swapIndex_->dayCounter())
                    .withFixedLegTenor(swapIndex_->fixedLegTenor())
                    .withFixedLegConvention(bdc)
                    .withFixedLegTerminationDateConvention(bdc)
                    .withType(underlyingType_)
                    .withNominal(nominal_)
                    .withIndexedCoupons(useIndexedCoupons_)
                    );
        }
        ext::shared_ptr<Swaption> swaption = ext::make_shared<Swaption>(
            underlyingSwap_, exercise_, delivery_, settlementMethod_);
        swaption->setPricingEngine(engine_);
        return swaption;
    }

    MakeSwaption& MakeSwaption::withSettlementType(Settlement::Type delivery) {
        delivery_ = delivery;
        return *this;
    }

    MakeSwaption& MakeSwaption::withSettlementMethod(
        Settlement::Method settlementMethod) {
        settlementMethod_ = settlementMethod;
        return *this;
    }

    MakeSwaption&
    MakeSwaption::withOptionConvention(BusinessDayConvention bdc) {
        optionConvention_ = bdc;
        return *this;
    }

    MakeSwaption& MakeSwaption::withExerciseDate(const Date& date) {
        exerciseDate_ = date;
        return *this;
    }

    MakeSwaption& MakeSwaption::withUnderlyingType(const Swap::Type type) {
        underlyingType_ = type;
        return *this;
    }

    MakeSwaption& MakeSwaption::withPricingEngine(
                             const ext::shared_ptr<PricingEngine>& engine) {
        engine_ = engine;
        return *this;
    }

    MakeSwaption& MakeSwaption::withNominal(Real n) {
        nominal_ = n;
        return *this;
    }

    MakeSwaption& MakeSwaption::withIndexedCoupons(const ext::optional<bool>& b) {
        useIndexedCoupons_ = b;
        return *this;
    }

    MakeSwaption& MakeSwaption::withAtParCoupons(bool b) {
        useIndexedCoupons_ = !b;
        return *this;
    }

}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2007, 2008, 2014 Ferdinando Ametrano
5	Copyright (C) 2007 Giorgio Facchinetti
6
7	This file is part of QuantLib, a free-software/open-source library
8	for financial quantitative analysts and developers - http://quantlib.org/
9
10	QuantLib is free software: you can redistribute it and/or modify it
11	under the terms of the QuantLib license. You should have received a
12	copy of the license along with this program; if not, please email
13	<quantlib-dev@lists.sf.net>. The license is also available online at
14	<http://quantlib.org/license.shtml>.
15
16	This program is distributed in the hope that it will be useful, but WITHOUT
17	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18	FOR A PARTICULAR PURPOSE. See the license for more details.
19	*/
20
21	#include <ql/cashflows/cashflows.hpp>
22	#include <ql/exercise.hpp>
23	#include <ql/indexes/swapindex.hpp>
24	#include <ql/instruments/makeois.hpp>
25	#include <ql/instruments/makeswaption.hpp>
26	#include <ql/instruments/makevanillaswap.hpp>
27	#include <ql/pricingengines/swap/discountingswapengine.hpp>
28	#include <ql/optional.hpp>
29	#include <ql/settings.hpp>
30	#include <utility>
31
32	namespace QuantLib {
33
34	MakeSwaption::MakeSwaption(ext::shared_ptr<SwapIndex> swapIndex,	104✔
35	const Period& optionTenor,
36	Rate strike)	104✔
37	: swapIndex_(std::move(swapIndex)), delivery_(Settlement::Physical),	104✔
38	settlementMethod_(Settlement::PhysicalOTC), optionTenor_(optionTenor),	104✔
39	optionConvention_(ModifiedFollowing), fixingDate_(Null<Date>()), strike_(strike),	104✔
40	underlyingType_(Swap::Payer), nominal_(1.0) {}	104✔
41
42	MakeSwaption::MakeSwaption(ext::shared_ptr<SwapIndex> swapIndex,	×
43	const Date& fixingDate,
44	Rate strike)	×
45	: swapIndex_(std::move(swapIndex)), delivery_(Settlement::Physical),	×
46	settlementMethod_(Settlement::PhysicalOTC), optionConvention_(ModifiedFollowing),	×
47	fixingDate_(fixingDate), strike_(strike), underlyingType_(Swap::Payer) {}	×
48
49	MakeSwaption::operator Swaption() const {	104✔
50	ext::shared_ptr<Swaption> swaption = *this;	104✔
51	return *swaption;	208✔
52	}
53
54	MakeSwaption::operator ext::shared_ptr<Swaption>() const {	104✔
55
56	const Calendar& fixingCalendar = swapIndex_->fixingCalendar();	104✔
57	Date refDate = Settings::instance().evaluationDate();	104✔
58	// if the evaluation date is not a business day
59	// then move to the next business day
60	refDate = fixingCalendar.adjust(refDate);	104✔
61	if (fixingDate_ == Null<Date>())	104✔
62	fixingDate_ = fixingCalendar.advance(refDate, optionTenor_,	104✔
63	optionConvention_);	104✔
64	if (exerciseDate_ == Null<Date>()) {	104✔
65	exercise_ = ext::shared_ptr<Exercise>(new	208✔
66	EuropeanExercise(fixingDate_));	208✔
67	} else {
68	QL_REQUIRE(exerciseDate_ <= fixingDate_,	×
69	"exercise date (" << exerciseDate_ << ") must be less "
70	"than or equal to fixing date (" << fixingDate_ << ")");
71	exercise_ = ext::shared_ptr<Exercise>(new	×
72	EuropeanExercise(exerciseDate_));	×
73	}
74
75	Rate usedStrike;
76	ext::shared_ptr<OvernightIndexedSwapIndex> OIswap_index = ext::dynamic_pointer_cast<OvernightIndexedSwapIndex>(swapIndex_);	104✔
77	if (strike_ == Null<Rate>()) {	104✔
78	// ATM on curve(s) attached to index
79	QL_REQUIRE(!swapIndex_->forwardingTermStructure().empty(),	208✔
80	"null term structure set to this instance of " <<
81	swapIndex_->name());
82	if (OIswap_index) {	104✔
NEW 83	auto temp = OIswap_index->underlyingSwap(fixingDate_);	×
NEW 84	temp->setPricingEngine(	×
NEW 85	ext::make_shared<DiscountingSwapEngine>(	×
NEW 86	swapIndex_->exogenousDiscount()	×
UNCOV 87	? swapIndex_->discountingTermStructure()	×
88	: swapIndex_->forwardingTermStructure(),
NEW 89	false	×
90	)
91	);
NEW 92	usedStrike = temp->fairRate();	×
93	} else {
94	auto temp = swapIndex_->underlyingSwap(fixingDate_);	104✔
95	temp->setPricingEngine(	312✔
96	ext::make_shared<DiscountingSwapEngine>(	208✔
97	swapIndex_->exogenousDiscount()	104✔
98	? swapIndex_->discountingTermStructure()	104✔
99	: swapIndex_->forwardingTermStructure(),
100	false	104✔
101	)
102	);
103	usedStrike = temp->fairRate();	104✔
104	}
105	} else {
106	usedStrike = strike_;
107	}
108
109	BusinessDayConvention bdc = swapIndex_->fixedLegConvention();	104✔
110	if (OIswap_index) {	104✔
111	underlyingSwap_ =
NEW 112	(ext::shared_ptr<OvernightIndexedSwap>)(	×
NEW 113	MakeOIS(swapIndex_->tenor(),	×
NEW 114	OIswap_index->overnightIndex(), usedStrike)	×
NEW 115	.withEffectiveDate(swapIndex_->valueDate(fixingDate_))	×
NEW 116	.withPaymentCalendar(swapIndex_->fixingCalendar())	×
NEW 117	.withFixedLegDayCount(swapIndex_->dayCounter())	×
NEW 118	.withPaymentAdjustment(bdc)	×
NEW 119	.withFixedLegConvention(bdc)	×
NEW 120	.withFixedLegTerminationDateConvention(bdc)	×
NEW 121	.withType(underlyingType_)	×
NEW 122	.withNominal(nominal_)	×
NEW 123	);	×
124	} else {
125	underlyingSwap_ =
126	(ext::shared_ptr<VanillaSwap>)(	104✔
127	MakeVanillaSwap(swapIndex_->tenor(),	208✔
128	swapIndex_->iborIndex(), usedStrike)	208✔
129	.withEffectiveDate(swapIndex_->valueDate(fixingDate_))	104✔
130	.withFixedLegCalendar(swapIndex_->fixingCalendar())	208✔
131	.withFixedLegDayCount(swapIndex_->dayCounter())	104✔
132	.withFixedLegTenor(swapIndex_->fixedLegTenor())	208✔
133	.withFixedLegConvention(bdc)	104✔
134	.withFixedLegTerminationDateConvention(bdc)	104✔
135	.withType(underlyingType_)	104✔
136	.withNominal(nominal_)	104✔
137	.withIndexedCoupons(useIndexedCoupons_)	104✔
138	);	104✔
139	}
140	ext::shared_ptr<Swaption> swaption = ext::make_shared<Swaption>(
141	underlyingSwap_, exercise_, delivery_, settlementMethod_);	104✔
142	swaption->setPricingEngine(engine_);	104✔
143	return swaption;	104✔
144	}
145
146	MakeSwaption& MakeSwaption::withSettlementType(Settlement::Type delivery) {	×
147	delivery_ = delivery;	×
148	return *this;	×
149	}
150
151	MakeSwaption& MakeSwaption::withSettlementMethod(	×
152	Settlement::Method settlementMethod) {
153	settlementMethod_ = settlementMethod;	×
154	return *this;	×
155	}
156
157	MakeSwaption&
158	MakeSwaption::withOptionConvention(BusinessDayConvention bdc) {	×
159	optionConvention_ = bdc;	×
160	return *this;	×
161	}
162
163	MakeSwaption& MakeSwaption::withExerciseDate(const Date& date) {	×
164	exerciseDate_ = date;	×
165	return *this;	×
166	}
167
168	MakeSwaption& MakeSwaption::withUnderlyingType(const Swap::Type type) {	×
169	underlyingType_ = type;	×
170	return *this;	×
171	}
172
173	MakeSwaption& MakeSwaption::withPricingEngine(	96✔
174	const ext::shared_ptr<PricingEngine>& engine) {
175	engine_ = engine;	96✔
176	return *this;	96✔
177	}
178
179	MakeSwaption& MakeSwaption::withNominal(Real n) {	×
180	nominal_ = n;	×
181	return *this;	×
182	}
183
184	MakeSwaption& MakeSwaption::withIndexedCoupons(const ext::optional<bool>& b) {	×
185	useIndexedCoupons_ = b;	×
186	return *this;	×
187	}
188
189	MakeSwaption& MakeSwaption::withAtParCoupons(bool b) {	×
190	useIndexedCoupons_ = !b;	×
191	return *this;	×
192	}
193
194	}

lballabio / QuantLib / 8467932009

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