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

Run Details

103 of 127 new or added lines in 13 files covered. (81.1%)

373 existing lines in 21 files now uncovered.

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83.66

/ql/time/schedule.cpp

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

/*
 Copyright (C) 2006, 2007, 2008, 2010, 2011, 2015 Ferdinando Ametrano
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2009, 2012 StatPro Italia srl

 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/optional.hpp>
#include <ql/settings.hpp>
#include <ql/time/imm.hpp>
#include <ql/time/schedule.hpp>
#include <utility>

namespace QuantLib {

    namespace {

        Date nextTwentieth(const Date& d, DateGeneration::Rule rule) {
            Date result = Date(20, d.month(), d.year());
            if (result < d)
                result += 1*Months;
            if (rule == DateGeneration::TwentiethIMM ||
                rule == DateGeneration::OldCDS ||
                rule == DateGeneration::CDS ||
                rule == DateGeneration::CDS2015) {
                Month m = result.month();
                if (m % 3 != 0) { // not a main IMM nmonth
                    Integer skip = 3 - m%3;
                    result += skip*Months;
                }
            }
            return result;
        }

        bool allowsEndOfMonth(const Period& tenor) {
            return (tenor.units() == Months || tenor.units() == Years)
                && tenor >= 1*Months;
        }

    }


    Schedule::Schedule(const std::vector<Date>& dates,
                       Calendar calendar,
                       BusinessDayConvention convention,
                       const ext::optional<BusinessDayConvention>& terminationDateConvention,
                       const ext::optional<Period>& tenor,
                       const ext::optional<DateGeneration::Rule>& rule,
                       const ext::optional<bool>& endOfMonth,
                       std::vector<bool> isRegular)
    : tenor_(tenor), calendar_(std::move(calendar)), convention_(convention),
      terminationDateConvention_(terminationDateConvention), rule_(rule), dates_(dates),
      isRegular_(std::move(isRegular)) {

        if (tenor && !allowsEndOfMonth(*tenor))
            endOfMonth_ = false;
        else
            endOfMonth_ = endOfMonth;

        QL_REQUIRE(isRegular_.empty() || isRegular_.size() == dates.size() - 1,
                   "isRegular size (" << isRegular_.size()
                                      << ") must be zero or equal to the number of dates minus 1 ("
                                      << dates.size() - 1 << ")");
    }

    Schedule::Schedule(Date effectiveDate,
                       const Date& terminationDate,
                       const Period& tenor,
                       Calendar cal,
                       BusinessDayConvention convention,
                       BusinessDayConvention terminationDateConvention,
                       DateGeneration::Rule rule,
                       bool endOfMonth,
                       const Date& first,
                       const Date& nextToLast)
    : tenor_(tenor), calendar_(std::move(cal)), convention_(convention),
      terminationDateConvention_(terminationDateConvention), rule_(rule),
      endOfMonth_(allowsEndOfMonth(tenor) ? endOfMonth : false),
      firstDate_(first == effectiveDate ? Date() : first),
      nextToLastDate_(nextToLast == terminationDate ? Date() : nextToLast) {
        // sanity checks
        QL_REQUIRE(terminationDate != Date(), "null termination date");

        // in many cases (e.g. non-expired bonds) the effective date is not
        // really necessary. In these cases a decent placeholder is enough
        if (effectiveDate==Date() && first==Date()
                                  && rule==DateGeneration::Backward) {
            Date evalDate = Settings::instance().evaluationDate();
            QL_REQUIRE(evalDate < terminationDate, "null effective date");
            Natural y;
            if (nextToLast != Date()) {
                y = (nextToLast - evalDate)/366 + 1;
                effectiveDate = nextToLast - y*Years;
            } else {
                y = (terminationDate - evalDate)/366 + 1;
                effectiveDate = terminationDate - y*Years;
            }
        } else
            QL_REQUIRE(effectiveDate != Date(), "null effective date");

        QL_REQUIRE(effectiveDate < terminationDate,
                   "effective date (" << effectiveDate
                   << ") later than or equal to termination date ("
                   << terminationDate << ")");

        if (tenor.length()==0)
            rule_ = DateGeneration::Zero;
        else
            QL_REQUIRE(tenor.length()>0,
                       "non positive tenor (" << tenor << ") not allowed");

        if (firstDate_ != Date()) {
            switch (*rule_) {
              case DateGeneration::Backward:
              case DateGeneration::Forward:
                QL_REQUIRE(firstDate_ > effectiveDate &&
                           firstDate_ <= terminationDate,
                           "first date (" << firstDate_ <<
                           ") out of effective-termination date range (" <<
                           effectiveDate << ", " << terminationDate << "]");
                // we should ensure that the above condition is still
                // verified after adjustment
                break;
              case DateGeneration::ThirdWednesday:
                  QL_REQUIRE(IMM::isIMMdate(firstDate_, false),
                             "first date (" << firstDate_ <<
                             ") is not an IMM date");
                break;
              case DateGeneration::Zero:
              case DateGeneration::Twentieth:
              case DateGeneration::TwentiethIMM:
              case DateGeneration::OldCDS:
              case DateGeneration::CDS:
              case DateGeneration::CDS2015:
                QL_FAIL("first date incompatible with " << *rule_ <<
                        " date generation rule");
              default:
                QL_FAIL("unknown rule (" << Integer(*rule_) << ")");
            }
        }
        if (nextToLastDate_ != Date()) {
            switch (*rule_) {
              case DateGeneration::Backward:
              case DateGeneration::Forward:
                QL_REQUIRE(nextToLastDate_ >= effectiveDate &&
                           nextToLastDate_ < terminationDate,
                           "next to last date (" << nextToLastDate_ <<
                           ") out of effective-termination date range [" <<
                           effectiveDate << ", " << terminationDate << ")");
                // we should ensure that the above condition is still
                // verified after adjustment
                break;
              case DateGeneration::ThirdWednesday:
                QL_REQUIRE(IMM::isIMMdate(nextToLastDate_, false),
                           "next-to-last date (" << nextToLastDate_ <<
                           ") is not an IMM date");
                break;
              case DateGeneration::Zero:
              case DateGeneration::Twentieth:
              case DateGeneration::TwentiethIMM:
              case DateGeneration::OldCDS:
              case DateGeneration::CDS:
              case DateGeneration::CDS2015:
                QL_FAIL("next to last date incompatible with " << *rule_ <<
                        " date generation rule");
              default:
                QL_FAIL("unknown rule (" << Integer(*rule_) << ")");
            }
        }


        // calendar needed for endOfMonth adjustment
        Calendar nullCalendar = NullCalendar();
        Integer periods = 1;
        Date seed, exitDate;
        switch (*rule_) {

          case DateGeneration::Zero:
            tenor_ = 0*Years;
            dates_.push_back(effectiveDate);
            dates_.push_back(terminationDate);
            isRegular_.push_back(true);
            break;

          case DateGeneration::Backward:

            dates_.push_back(terminationDate);

            seed = terminationDate;
            if (nextToLastDate_ != Date()) {
                dates_.push_back(nextToLastDate_);
                Date temp = nullCalendar.advance(seed,
                    -periods*(*tenor_), convention, *endOfMonth_);
                isRegular_.push_back(temp == nextToLastDate_);
                seed = nextToLastDate_;
            }

            exitDate = effectiveDate;
            if (firstDate_ != Date())
                exitDate = firstDate_;

            for (;;) {
                Date temp = nullCalendar.advance(seed,
                    -periods*(*tenor_), convention, *endOfMonth_);
                if (temp < exitDate) {
                    if (firstDate_ != Date() &&
                        (calendar_.adjust(dates_.back(),convention)!=
                         calendar_.adjust(firstDate_,convention))) {
                        dates_.push_back(firstDate_);
                        isRegular_.push_back(false);
                    }
                    break;
                } else {
                    // skip dates that would result in duplicates
                    // after adjustment
                    if (calendar_.adjust(dates_.back(),convention)!=
                        calendar_.adjust(temp,convention)) {
                        dates_.push_back(temp);
                        isRegular_.push_back(true);
                    }
                    ++periods;
                }
            }

            if (calendar_.adjust(dates_.back(),convention)!=
                calendar_.adjust(effectiveDate,convention)) {
                dates_.push_back(effectiveDate);
                isRegular_.push_back(false);
            }
            std::reverse(dates_.begin(), dates_.end());
            std::reverse(isRegular_.begin(), isRegular_.end());
            break;

          case DateGeneration::Twentieth:
          case DateGeneration::TwentiethIMM:
          case DateGeneration::ThirdWednesday:
          case DateGeneration::ThirdWednesdayInclusive:
          case DateGeneration::OldCDS:
          case DateGeneration::CDS:
          case DateGeneration::CDS2015:
            QL_REQUIRE(!*endOfMonth_,
                       "endOfMonth convention incompatible with " << *rule_ <<
                       " date generation rule");
          // fall through
          case DateGeneration::Forward:

            if (*rule_ == DateGeneration::CDS || *rule_ == DateGeneration::CDS2015) {
                Date prev20th = previousTwentieth(effectiveDate, *rule_);
                if (calendar_.adjust(prev20th, convention) > effectiveDate) {
                    dates_.push_back(prev20th - 3 * Months);
                    isRegular_.push_back(true);
                }
                dates_.push_back(prev20th);
            } else {
                dates_.push_back(effectiveDate);
            }

            seed = dates_.back();

            if (firstDate_!=Date()) {
                dates_.push_back(firstDate_);
                Date temp = nullCalendar.advance(seed, periods*(*tenor_),
                                                 convention, *endOfMonth_);
                if (temp!=firstDate_)
                    isRegular_.push_back(false);
                else
                    isRegular_.push_back(true);
                seed = firstDate_;
            } else if (*rule_ == DateGeneration::Twentieth ||
                       *rule_ == DateGeneration::TwentiethIMM ||
                       *rule_ == DateGeneration::OldCDS ||
                       *rule_ == DateGeneration::CDS ||
                       *rule_ == DateGeneration::CDS2015) {
                Date next20th = nextTwentieth(effectiveDate, *rule_);
                if (*rule_ == DateGeneration::OldCDS) {
                    // distance rule inforced in natural days
                    static const Date::serial_type stubDays = 30;
                    if (next20th - effectiveDate < stubDays) {
                        // +1 will skip this one and get the next
                        next20th = nextTwentieth(next20th + 1, *rule_);
                    }
                }
                if (next20th != effectiveDate) {
                    dates_.push_back(next20th);
                    isRegular_.push_back(*rule_ == DateGeneration::CDS || *rule_ == DateGeneration::CDS2015);
                    seed = next20th;
                }
            }

            exitDate = terminationDate;
            if (nextToLastDate_ != Date())
                exitDate = nextToLastDate_;
            for (;;) {
                Date temp = nullCalendar.advance(seed, periods*(*tenor_),
                                                 convention, *endOfMonth_);
                if (temp > exitDate) {
                    if (nextToLastDate_ != Date() &&
                        (calendar_.adjust(dates_.back(),convention)!=
                         calendar_.adjust(nextToLastDate_,convention))) {
                        dates_.push_back(nextToLastDate_);
                        isRegular_.push_back(false);
                    }
                    break;
                } else {
                    // skip dates that would result in duplicates
                    // after adjustment
                    if (calendar_.adjust(dates_.back(),convention)!=
                        calendar_.adjust(temp,convention)) {
                        dates_.push_back(temp);
                        isRegular_.push_back(true);
                    }
                    ++periods;
                }
            }

            if (calendar_.adjust(dates_.back(),terminationDateConvention)!=
                calendar_.adjust(terminationDate,terminationDateConvention)) {
                if (*rule_ == DateGeneration::Twentieth ||
                    *rule_ == DateGeneration::TwentiethIMM ||
                    *rule_ == DateGeneration::OldCDS ||
                    *rule_ == DateGeneration::CDS ||
                    *rule_ == DateGeneration::CDS2015) {
                    dates_.push_back(nextTwentieth(terminationDate, *rule_));
                    isRegular_.push_back(true);
                } else {
                    dates_.push_back(terminationDate);
                    isRegular_.push_back(false);
                }
            }

            break;

          default:
            QL_FAIL("unknown rule (" << Integer(*rule_) << ")");
        }

        // adjustments
        if (*rule_==DateGeneration::ThirdWednesday)
            for (Size i=1; i<dates_.size()-1; ++i)
                dates_[i] = Date::nthWeekday(3, Wednesday,
                                             dates_[i].month(),
                                             dates_[i].year());
        else if (*rule_ == DateGeneration::ThirdWednesdayInclusive)
            for (auto& date : dates_)
                date = Date::nthWeekday(3, Wednesday, date.month(), date.year());

        // first date not adjusted for old CDS schedules
        if (convention != Unadjusted && *rule_ != DateGeneration::OldCDS)
            dates_.front() = calendar_.adjust(dates_.front(), convention);

        // termination date is NOT adjusted as per ISDA
        // specifications, unless otherwise specified in the
        // confirmation of the deal or unless we're creating a CDS
        // schedule
        if (terminationDateConvention != Unadjusted 
            && *rule_ != DateGeneration::CDS 
            && *rule_ != DateGeneration::CDS2015) {
            dates_.back() = calendar_.adjust(dates_.back(), 
                                             terminationDateConvention);
        }

        if (*endOfMonth_ && calendar_.isEndOfMonth(seed)) {
            // adjust to end of month
            if (convention == Unadjusted) {
                for (Size i=1; i<dates_.size()-1; ++i)
                    dates_[i] = Date::endOfMonth(dates_[i]);
            } else {
                for (Size i=1; i<dates_.size()-1; ++i)
                    dates_[i] = calendar_.endOfMonth(dates_[i]);
            }
        } else {
            for (Size i=1; i<dates_.size()-1; ++i)
                dates_[i] = calendar_.adjust(dates_[i], convention);
        }

        // Final safety checks to remove extra next-to-last date, if
        // necessary.  It can happen to be equal or later than the end
        // date due to EOM adjustments (see the Schedule test suite
        // for an example).
        if (dates_.size() >= 2 && dates_[dates_.size()-2] >= dates_.back()) {
            // there might be two dates only, then isRegular_ has size one
            if (isRegular_.size() >= 2) {
                isRegular_[isRegular_.size() - 2] =
                    (dates_[dates_.size() - 2] == dates_.back());
            }
            dates_[dates_.size() - 2] = dates_.back();
            dates_.pop_back();
            isRegular_.pop_back();
        }
        if (dates_.size() >= 2 && dates_[1] <= dates_.front()) {
            isRegular_[1] =
                (dates_[1] == dates_.front());
            dates_[1] = dates_.front();
            dates_.erase(dates_.begin());
            isRegular_.erase(isRegular_.begin());
        }

        QL_ENSURE(dates_.size()>1,
            "degenerate single date (" << dates_[0] << ") schedule" <<
            "\n seed date: " << seed <<
            "\n exit date: " << exitDate <<
            "\n effective date: " << effectiveDate <<
            "\n first date: " << first <<
            "\n next to last date: " << nextToLast <<
            "\n termination date: " << terminationDate <<
            "\n generation rule: " << *rule_ <<
            "\n end of month: " << *endOfMonth_);
    }

    Schedule Schedule::after(const Date& truncationDate) const {
        Schedule result = *this;

        QL_REQUIRE(truncationDate < result.dates_.back(),
            "truncation date " << truncationDate <<
            " must be before the last schedule date " <<
            result.dates_.back());
        if (truncationDate > result.dates_[0]) {
            // remove earlier dates
            while (result.dates_[0] < truncationDate) {
                result.dates_.erase(result.dates_.begin());
                if (!result.isRegular_.empty())
                    result.isRegular_.erase(result.isRegular_.begin());
            }

            // add truncationDate if missing
            if (truncationDate != result.dates_.front()) {
                result.dates_.insert(result.dates_.begin(), truncationDate);
                result.isRegular_.insert(result.isRegular_.begin(), false);
                result.terminationDateConvention_ = Unadjusted;
            }
            else {
                result.terminationDateConvention_ = convention_;
            }

            if (result.nextToLastDate_ <= truncationDate)
                result.nextToLastDate_ = Date();
            if (result.firstDate_ <= truncationDate)
                result.firstDate_ = Date();
        }

        return result;
    }

    Schedule Schedule::until(const Date& truncationDate) const {
        Schedule result = *this;

        QL_REQUIRE(truncationDate>result.dates_[0],
                   "truncation date " << truncationDate <<
                   " must be later than schedule first date " <<
                   result.dates_[0]);
        if (truncationDate<result.dates_.back()) {
            // remove later dates
            while (result.dates_.back()>truncationDate) {
                result.dates_.pop_back();
                if(!result.isRegular_.empty())
                    result.isRegular_.pop_back();
            }

            // add truncationDate if missing
            if (truncationDate!=result.dates_.back()) {
                result.dates_.push_back(truncationDate);
                result.isRegular_.push_back(false);
                result.terminationDateConvention_ = Unadjusted;
            } else {
                result.terminationDateConvention_ = convention_;
            }

            if (result.nextToLastDate_>=truncationDate)
                result.nextToLastDate_ = Date();
            if (result.firstDate_>=truncationDate)
                result.firstDate_ = Date();
        }

        return result;
    }

    std::vector<Date>::const_iterator
    Schedule::lower_bound(const Date& refDate) const {
        Date d = (refDate==Date() ?
                  Settings::instance().evaluationDate() :
                  refDate);
        return std::lower_bound(dates_.begin(), dates_.end(), d);
    }

    Date Schedule::nextDate(const Date& refDate) const {
        auto res = lower_bound(refDate);
        if (res!=dates_.end())
            return *res;
        else
            return {};
    }

    Date Schedule::previousDate(const Date& refDate) const {
        auto res = lower_bound(refDate);
        if (res!=dates_.begin())
            return *(--res);
        else
            return {};
    }

    bool Schedule::hasIsRegular() const { return !isRegular_.empty(); }

    bool Schedule::isRegular(Size i) const {
        QL_REQUIRE(hasIsRegular(),
                   "full interface (isRegular) not available");
        QL_REQUIRE(i<=isRegular_.size() && i>0,
                   "index (" << i << ") must be in [1, " <<
                   isRegular_.size() <<"]");
        return isRegular_[i-1];
    }

    const std::vector<bool>& Schedule::isRegular() const {
        QL_REQUIRE(!isRegular_.empty(), "full interface (isRegular) not available");
        return isRegular_;
    }

    MakeSchedule& MakeSchedule::from(const Date& effectiveDate) {
        effectiveDate_ = effectiveDate;
        return *this;
    }

    MakeSchedule& MakeSchedule::to(const Date& terminationDate) {
        terminationDate_ = terminationDate;
        return *this;
    }

    MakeSchedule& MakeSchedule::withTenor(const Period& tenor) {
        tenor_ = tenor;
        return *this;
    }

    MakeSchedule& MakeSchedule::withFrequency(Frequency frequency) {
        tenor_ = Period(frequency);
        return *this;
    }

    MakeSchedule& MakeSchedule::withCalendar(const Calendar& calendar) {
        calendar_ = calendar;
        return *this;
    }

    MakeSchedule& MakeSchedule::withConvention(BusinessDayConvention conv) {
        convention_ = conv;
        return *this;
    }

    MakeSchedule& MakeSchedule::withTerminationDateConvention(
                                                BusinessDayConvention conv) {
        terminationDateConvention_ = conv;
        return *this;
    }

    MakeSchedule& MakeSchedule::withRule(DateGeneration::Rule r) {
        rule_ = r;
        return *this;
    }

    MakeSchedule& MakeSchedule::forwards() {
        rule_ = DateGeneration::Forward;
        return *this;
    }

    MakeSchedule& MakeSchedule::backwards() {
        rule_ = DateGeneration::Backward;
        return *this;
    }

    MakeSchedule& MakeSchedule::endOfMonth(bool flag) {
        endOfMonth_ = flag;
        return *this;
    }

    MakeSchedule& MakeSchedule::withFirstDate(const Date& d) {
        firstDate_ = d;
        return *this;
    }

    MakeSchedule& MakeSchedule::withNextToLastDate(const Date& d) {
        nextToLastDate_ = d;
        return *this;
    }

    MakeSchedule::operator Schedule() const {
        // check for mandatory arguments
        QL_REQUIRE(effectiveDate_ != Date(), "effective date not provided");
        QL_REQUIRE(terminationDate_ != Date(), "termination date not provided");
        QL_REQUIRE(tenor_, "tenor/frequency not provided");

        // set dynamic defaults:
        BusinessDayConvention convention;
        // if a convention was set, we use it.
        if (convention_) { // NOLINT(readability-implicit-bool-conversion)
            convention = *convention_;
        } else {
            if (!calendar_.empty()) {
                // ...if we set a calendar, we probably want it to be used;
                convention = Following;
            } else {
                // if not, we don't care.
                convention = Unadjusted;
            }
        }

        BusinessDayConvention terminationDateConvention;
        // if set explicitly, we use it;
        if (terminationDateConvention_) { // NOLINT(readability-implicit-bool-conversion)
            terminationDateConvention = *terminationDateConvention_;
        } else {
            // Unadjusted as per ISDA specification
            terminationDateConvention = convention;
        }

        Calendar calendar = calendar_;
        // if no calendar was set...
        if (calendar.empty()) {
            // ...we use a null one.
            calendar = NullCalendar();
        }

        return Schedule(effectiveDate_, terminationDate_, *tenor_, calendar,
                        convention, terminationDateConvention,
                        rule_, endOfMonth_, firstDate_, nextToLastDate_);
    }

    Date previousTwentieth(const Date& d, DateGeneration::Rule rule) {
        Date result = Date(20, d.month(), d.year());
        if (result > d)
            result -= 1 * Months;
        if (rule == DateGeneration::TwentiethIMM ||
            rule == DateGeneration::OldCDS ||
            rule == DateGeneration::CDS ||
            rule == DateGeneration::CDS2015) {
            Month m = result.month();
            if (m % 3 != 0) { // not a main IMM nmonth
                Integer skip = m % 3;
                result -= skip * Months;
            }
        }
        return result;
    }

}

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