22997032504

Committed 12 Mar 2026 10:16AM UTC coverage: 74.309% (+0.04%) from 74.266%

Build # 22997032504

Build Type

Pull #2479

github

Committed by

web-flow

Commit Message

Merge e585cfef3 into 0a02cced0

Pull Request Pull Request #2479: Bring `MakeCreditDefaultSwap` up to date with CDS instrument

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87.5

/ql/instruments/makecds.cpp

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

/*
 Copyright (C) 2014 Jose Aparicio
 Copyright (C) 2014 Peter Caspers

 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
 <https://www.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/instruments/makecds.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/calendars/weekendsonly.hpp>


namespace QuantLib {

    MakeCreditDefaultSwap::MakeCreditDefaultSwap(const Period& tenor,
                                                 Rate runningSpread)
    : tenor_(tenor), runningSpread_(runningSpread) {}

    MakeCreditDefaultSwap::MakeCreditDefaultSwap(const Date& termDate,
                                                 Rate runningSpread)
    : termDate_(termDate), runningSpread_(runningSpread) {}

    MakeCreditDefaultSwap::MakeCreditDefaultSwap(const Schedule& schedule,
                                                 Rate runningSpread)
    : schedule_(schedule), runningSpread_(runningSpread) {}


    MakeCreditDefaultSwap::operator CreditDefaultSwap() const {
        ext::shared_ptr<CreditDefaultSwap> swap = *this;
        return *swap;
    }

    MakeCreditDefaultSwap::operator ext::shared_ptr<CreditDefaultSwap>() const {

        Date tradeDate = tradeDate_ != Date() ? tradeDate_ : Settings::instance().evaluationDate();
        Date upfrontDate = upfrontDate_ != Date() ? upfrontDate_ : WeekendsOnly().advance(tradeDate, cashSettlementDays_, Days);

        Date protectionStart = protectionStart_;
        if (protectionStart == Date()) {
            if (schedule_) { // NOLINT(readability-implicit-bool-conversion)
                protectionStart = schedule_->at(0);
            } else {
                if (rule_ == DateGeneration::CDS2015 || rule_ == DateGeneration::CDS) {
                    protectionStart = tradeDate;
                } else {
                    protectionStart = tradeDate + 1;
                }
            }
        }

        // schedule, tenor and term date come from different constructors; exactly one of them is not null.
        Schedule schedule;
        if (schedule_) { // NOLINT(readability-implicit-bool-conversion)
            schedule = *schedule_;
        } else {
            Date end;
            if (tenor_) { // NOLINT(readability-implicit-bool-conversion)
                if (rule_ == DateGeneration::CDS2015 || rule_ == DateGeneration::CDS || rule_ == DateGeneration::OldCDS) {
                    end = cdsMaturity(tradeDate, *tenor_, rule_);
                } else {
                    end = tradeDate + *tenor_;
                }
            } else {
                end = *termDate_; // NOLINT(bugprone-unchecked-optional-access)
            }

            schedule = Schedule(protectionStart, end, couponTenor_, WeekendsOnly(), convention_,
                                Unadjusted, rule_, false);
        }

        auto cds = ext::make_shared<CreditDefaultSwap>(
            side_, nominal_, upfrontRate_, runningSpread_, schedule, convention_,
            dayCounter_, settlesAccrual_, paysAtDefaultTime_, protectionStart, upfrontDate,
            claim_, lastPeriodDayCounter_, rebatesAccrual_, tradeDate, cashSettlementDays_);

        cds->setPricingEngine(engine_);
        return cds;
    }


    MakeCreditDefaultSwap &
    MakeCreditDefaultSwap::withSide(Protection::Side side) {
        side_ = side;
        return *this;
    }

    MakeCreditDefaultSwap &MakeCreditDefaultSwap::withNominal(Real nominal) {
        nominal_ = nominal;
        return *this;
    }

    MakeCreditDefaultSwap &
    MakeCreditDefaultSwap::withUpfrontRate(Real upfrontRate) {
        upfrontRate_ = upfrontRate;
        return *this;
    }

    MakeCreditDefaultSwap &
    MakeCreditDefaultSwap::withCouponTenor(Period couponTenor) {
        couponTenor_ = couponTenor;
        return *this;
    }

    MakeCreditDefaultSwap& MakeCreditDefaultSwap::withDateGenerationRule(DateGeneration::Rule rule) {
        rule_ = rule;
        return *this;
    }

    MakeCreditDefaultSwap& MakeCreditDefaultSwap::withConvention(BusinessDayConvention convention) {
        convention_ = convention;
        return *this;
    }

    MakeCreditDefaultSwap &
    MakeCreditDefaultSwap::withDayCounter(const DayCounter& dayCounter) {
        dayCounter_ = dayCounter;
        return *this;
    }

    MakeCreditDefaultSwap &
    MakeCreditDefaultSwap::settleAccrual(bool b) {
        settlesAccrual_ = b;
        return *this;
    }

    MakeCreditDefaultSwap &
    MakeCreditDefaultSwap::payAtDefaultTime(bool b) {
        paysAtDefaultTime_ = b;
        return *this;
    }

    MakeCreditDefaultSwap& MakeCreditDefaultSwap::withProtectionStart(Date d) {
        protectionStart_ = d;
        return *this;
    }

    MakeCreditDefaultSwap& MakeCreditDefaultSwap::withUpfrontDate(Date d) {
        upfrontDate_ = d;
        return *this;
    }

    MakeCreditDefaultSwap& MakeCreditDefaultSwap::withClaim(ext::shared_ptr<Claim> claim) {
        claim_ = claim;
        return *this;
    }

    MakeCreditDefaultSwap &MakeCreditDefaultSwap::withLastPeriodDayCounter(
        const DayCounter& lastPeriodDayCounter) {
        lastPeriodDayCounter_ = lastPeriodDayCounter;
        return *this;
    }

    MakeCreditDefaultSwap &
    MakeCreditDefaultSwap::rebateAccrual(bool b) {
        rebatesAccrual_ = b;
        return *this;
    }

    MakeCreditDefaultSwap& MakeCreditDefaultSwap::withTradeDate(Date tradeDate) {
        tradeDate_ = tradeDate;
        return *this;
    }

    MakeCreditDefaultSwap& MakeCreditDefaultSwap::withCashSettlementDays(Natural cashSettlementDays) {
        cashSettlementDays_ = cashSettlementDays;
        return *this;
    }

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

}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2014 Jose Aparicio
5	Copyright (C) 2014 Peter Caspers
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	<https://www.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/instruments/makecds.hpp>
22	#include <ql/time/daycounters/actual360.hpp>
23	#include <ql/time/calendars/weekendsonly.hpp>
24
25
26	namespace QuantLib {
27
28	MakeCreditDefaultSwap::MakeCreditDefaultSwap(const Period& tenor,	12✔
29	Rate runningSpread)	12✔
30	: tenor_(tenor), runningSpread_(runningSpread) {}	12✔
31
32	MakeCreditDefaultSwap::MakeCreditDefaultSwap(const Date& termDate,	95✔
33	Rate runningSpread)	95✔
34	: termDate_(termDate), runningSpread_(runningSpread) {}	95✔
35
36	MakeCreditDefaultSwap::MakeCreditDefaultSwap(const Schedule& schedule,	1✔
37	Rate runningSpread)	1✔
38	: schedule_(schedule), runningSpread_(runningSpread) {}	1✔
39
40
41	MakeCreditDefaultSwap::operator CreditDefaultSwap() const {	10✔
42	ext::shared_ptr<CreditDefaultSwap> swap = *this;	10✔
43	return *swap;	20✔
44	}
45
46	MakeCreditDefaultSwap::operator ext::shared_ptr<CreditDefaultSwap>() const {	108✔
47
48	Date tradeDate = tradeDate_ != Date() ? tradeDate_ : Settings::instance().evaluationDate();	108✔
49	Date upfrontDate = upfrontDate_ != Date() ? upfrontDate_ : WeekendsOnly().advance(tradeDate, cashSettlementDays_, Days);	108✔
50
51	Date protectionStart = protectionStart_;	108✔
52	if (protectionStart == Date()) {	108✔
53	if (schedule_) { // NOLINT(readability-implicit-bool-conversion)	107✔
54	protectionStart = schedule_->at(0);	1✔
55	} else {
56	if (rule_ == DateGeneration::CDS2015 \|\| rule_ == DateGeneration::CDS) {	106✔
57	protectionStart = tradeDate;	106✔
58	} else {
NEW 59	protectionStart = tradeDate + 1;	×
60	}
61	}
62	}
63
64	// schedule, tenor and term date come from different constructors; exactly one of them is not null.
65	Schedule schedule;	108✔
66	if (schedule_) { // NOLINT(readability-implicit-bool-conversion)	108✔
67	schedule = *schedule_;	1✔
68	} else {
69	Date end;	107✔
70	if (tenor_) { // NOLINT(readability-implicit-bool-conversion)	107✔
71	if (rule_ == DateGeneration::CDS2015 \|\| rule_ == DateGeneration::CDS \|\| rule_ == DateGeneration::OldCDS) {	12✔
72	end = cdsMaturity(tradeDate, *tenor_, rule_);	12✔
73	} else {
NEW 74	end = tradeDate + *tenor_;	×
75	}
76	} else {
77	end = *termDate_; // NOLINT(bugprone-unchecked-optional-access)	95✔
78	}
79
80	schedule = Schedule(protectionStart, end, couponTenor_, WeekendsOnly(), convention_,	321✔
81	Unadjusted, rule_, false);	214✔
82	}
83
84	auto cds = ext::make_shared<CreditDefaultSwap>(
85	side_, nominal_, upfrontRate_, runningSpread_, schedule, convention_,	108✔
86	dayCounter_, settlesAccrual_, paysAtDefaultTime_, protectionStart, upfrontDate,	108✔
87	claim_, lastPeriodDayCounter_, rebatesAccrual_, tradeDate, cashSettlementDays_);	108✔
88
89	cds->setPricingEngine(engine_);	108✔
90	return cds;	108✔
91	}	108✔
92
93
94	MakeCreditDefaultSwap &
95	MakeCreditDefaultSwap::withSide(Protection::Side side) {	40✔
96	side_ = side;	40✔
97	return *this;	40✔
98	}
99
100	MakeCreditDefaultSwap &MakeCreditDefaultSwap::withNominal(Real nominal) {	95✔
101	nominal_ = nominal;	95✔
102	return *this;	95✔
103	}
104
105	MakeCreditDefaultSwap &
106	MakeCreditDefaultSwap::withUpfrontRate(Real upfrontRate) {	41✔
107	upfrontRate_ = upfrontRate;	41✔
108	return *this;	41✔
109	}
110
111	MakeCreditDefaultSwap &
112	MakeCreditDefaultSwap::withCouponTenor(Period couponTenor) {	1✔
113	couponTenor_ = couponTenor;	1✔
114	return *this;	1✔
115	}
116
NEW 117	MakeCreditDefaultSwap& MakeCreditDefaultSwap::withDateGenerationRule(DateGeneration::Rule rule) {	×
NEW 118	rule_ = rule;	×
NEW 119	return *this;	×
120	}
121
NEW 122	MakeCreditDefaultSwap& MakeCreditDefaultSwap::withConvention(BusinessDayConvention convention) {	×
NEW 123	convention_ = convention;	×
NEW 124	return *this;	×
125	}
126
127	MakeCreditDefaultSwap &
128	MakeCreditDefaultSwap::withDayCounter(const DayCounter& dayCounter) {	1✔
129	dayCounter_ = dayCounter;
130	return *this;	1✔
131	}
132
133	MakeCreditDefaultSwap &
134	MakeCreditDefaultSwap::settleAccrual(bool b) {	1✔
135	settlesAccrual_ = b;	1✔
136	return *this;	1✔
137	}
138
139	MakeCreditDefaultSwap &
140	MakeCreditDefaultSwap::payAtDefaultTime(bool b) {	1✔
141	paysAtDefaultTime_ = b;	1✔
142	return *this;	1✔
143	}
144
145	MakeCreditDefaultSwap& MakeCreditDefaultSwap::withProtectionStart(Date d) {	1✔
146	protectionStart_ = d;	1✔
147	return *this;	1✔
148	}
149
150	MakeCreditDefaultSwap& MakeCreditDefaultSwap::withUpfrontDate(Date d) {	1✔
151	upfrontDate_ = d;	1✔
152	return *this;	1✔
153	}
154
NEW 155	MakeCreditDefaultSwap& MakeCreditDefaultSwap::withClaim(ext::shared_ptr<Claim> claim) {	×
NEW 156	claim_ = claim;	×
NEW 157	return *this;	×
158	}
159
160	MakeCreditDefaultSwap &MakeCreditDefaultSwap::withLastPeriodDayCounter(	1✔
161	const DayCounter& lastPeriodDayCounter) {
162	lastPeriodDayCounter_ = lastPeriodDayCounter;
163	return *this;	1✔
164	}
165
166	MakeCreditDefaultSwap &
167	MakeCreditDefaultSwap::rebateAccrual(bool b) {	1✔
168	rebatesAccrual_ = b;	1✔
169	return *this;	1✔
170	}
171
172	MakeCreditDefaultSwap& MakeCreditDefaultSwap::withTradeDate(Date tradeDate) {	2✔
173	tradeDate_ = tradeDate;	2✔
174	return *this;	2✔
175	}
176
177	MakeCreditDefaultSwap& MakeCreditDefaultSwap::withCashSettlementDays(Natural cashSettlementDays) {	2✔
178	cashSettlementDays_ = cashSettlementDays;	2✔
179	return *this;	2✔
180	}
181
182	MakeCreditDefaultSwap &MakeCreditDefaultSwap::withPricingEngine(	62✔
183	const ext::shared_ptr<PricingEngine> &engine) {
184	engine_ = engine;	62✔
185	return *this;	62✔
186	}
187
188	}

lballabio / QuantLib / 22997032504

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