23006928006

Committed 12 Mar 2026 02:27PM UTC coverage: 74.274% (+0.03%) from 74.242%

Build # 23006928006

Build Type

Pull #2474

github

Committed by

web-flow

Commit Message

Merge 65a6878ed into 0a02cced0

Pull Request Pull Request #2474: Add MultipleResetsSwap instrument and rate helper

Run Details

137 of 186 new or added lines in 3 files covered. (73.66%)

86 existing lines in 5 files now uncovered.

57898 of 77952 relevant lines covered (74.27%)

8738073.7 hits per line

Source File
Press 'n' to go to next uncovered line, 'b' for previous

57.45

/ql/instruments/multipleresetsswap.cpp

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

/*
 Copyright (C) 2026 Zain Mughal

 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/cashflows/multipleresetscoupon.hpp>
#include <ql/instruments/multipleresetsswap.hpp>
#include <utility>

namespace QuantLib {

    namespace {

        Schedule buildCouponSchedule(const Schedule& fullResetSchedule, Size resetsPerCoupon) {
            Size n = (fullResetSchedule.size() - 1) / resetsPerCoupon;
            std::vector<Date> dates(n + 1);
            for (Size i = 0; i <= n; ++i)
                dates[i] = fullResetSchedule[i * resetsPerCoupon];
            return Schedule(dates);
        }

    }

    MultipleResetsSwap::MultipleResetsSwap(
        Type type, Real nominal,
        Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDayCount,
        Schedule fullResetSchedule,
        const ext::shared_ptr<IborIndex>& iborIndex, Size resetsPerCoupon,
        Spread spread, RateAveraging::Type averagingMethod,
        ext::optional<BusinessDayConvention> paymentConvention,
        Integer paymentLag, const Calendar& paymentCalendar)
    : FixedVsFloatingSwap(type,
          std::vector<Real>(fixedSchedule.size() - 1, nominal),
          fixedSchedule, fixedRate, std::move(fixedDayCount),
          std::vector<Real>((fullResetSchedule.size() - 1) / resetsPerCoupon, nominal),
          buildCouponSchedule(fullResetSchedule, resetsPerCoupon),
          iborIndex, spread, iborIndex->dayCounter(),
          paymentConvention, paymentLag, paymentCalendar),
      fullResetSchedule_(std::move(fullResetSchedule)),
      resetsPerCoupon_(resetsPerCoupon),
      averagingMethod_(averagingMethod) {

        QL_REQUIRE((fullResetSchedule_.size() - 1) % resetsPerCoupon_ == 0,
                   "number of reset periods (" << fullResetSchedule_.size() - 1
                   << ") is not a multiple of resetsPerCoupon ("
                   << resetsPerCoupon_ << ")");

        legs_[1] = MultipleResetsLeg(fullResetSchedule_, this->iborIndex(), resetsPerCoupon_)
            .withNotionals(floatingNominals())
            .withRateSpreads(spread)
            .withAveragingMethod(averagingMethod_)
            .withPaymentAdjustment(this->paymentConvention())
            .withPaymentLag(paymentLag)
            .withPaymentCalendar(paymentCalendar.empty() ?
                                 fullResetSchedule_.calendar() : paymentCalendar);

        for (auto& cf : legs_[1])
            registerWith(cf);
    }

    void MultipleResetsSwap::setupFloatingArguments(arguments* args) const {
        const Leg& leg = floatingLeg();
        Size n = leg.size();
        args->floatingResetDates = args->floatingPayDates = std::vector<Date>(n);
        args->floatingFixingDates = std::vector<Date>(n);
        args->floatingNominals = std::vector<Real>(n);
        args->floatingAccrualTimes = std::vector<Time>(n);
        args->floatingSpreads = std::vector<Spread>(n);
        args->floatingCoupons = std::vector<Real>(n);
        for (Size i = 0; i < n; ++i) {
            auto coupon = ext::dynamic_pointer_cast<MultipleResetsCoupon>(leg[i]);
            args->floatingResetDates[i] = coupon->accrualStartDate();
            args->floatingPayDates[i] = coupon->date();
            args->floatingFixingDates[i] = coupon->fixingDate();
            args->floatingNominals[i] = coupon->nominal();
            args->floatingAccrualTimes[i] = coupon->accrualPeriod();
            args->floatingSpreads[i] = coupon->spread();
            try {
                args->floatingCoupons[i] = coupon->amount();
            } catch (Error&) {
                args->floatingCoupons[i] = Null<Real>();
            }
        }
    }

}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2026 Zain Mughal
5
6	This file is part of QuantLib, a free-software/open-source library
7	for financial quantitative analysts and developers - http://quantlib.org/
8
9	QuantLib is free software: you can redistribute it and/or modify it
10	under the terms of the QuantLib license. You should have received a
11	copy of the license along with this program; if not, please email
12	<quantlib-dev@lists.sf.net>. The license is also available online at
13	<https://www.quantlib.org/license.shtml>.
14
15	This program is distributed in the hope that it will be useful, but WITHOUT
16	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17	FOR A PARTICULAR PURPOSE. See the license for more details.
18	*/
19
20	#include <ql/cashflows/multipleresetscoupon.hpp>
21	#include <ql/instruments/multipleresetsswap.hpp>
22	#include <utility>
23
24	namespace QuantLib {
25
26	namespace {
27
28	Schedule buildCouponSchedule(const Schedule& fullResetSchedule, Size resetsPerCoupon) {	14✔
29	Size n = (fullResetSchedule.size() - 1) / resetsPerCoupon;	14✔
30	std::vector<Date> dates(n + 1);	14✔
31	for (Size i = 0; i <= n; ++i)	84✔
32	dates[i] = fullResetSchedule[i * resetsPerCoupon];	70✔
33	return Schedule(dates);	28✔
34	}
35
36	}
37
38	MultipleResetsSwap::MultipleResetsSwap(	14✔
39	Type type, Real nominal,
40	Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDayCount,
41	Schedule fullResetSchedule,
42	const ext::shared_ptr<IborIndex>& iborIndex, Size resetsPerCoupon,
43	Spread spread, RateAveraging::Type averagingMethod,
44	ext::optional<BusinessDayConvention> paymentConvention,
45	Integer paymentLag, const Calendar& paymentCalendar)	14✔
46	: FixedVsFloatingSwap(type,
47	std::vector<Real>(fixedSchedule.size() - 1, nominal),	14✔
48	fixedSchedule, fixedRate, std::move(fixedDayCount),
49	std::vector<Real>((fullResetSchedule.size() - 1) / resetsPerCoupon, nominal),	14✔
50	buildCouponSchedule(fullResetSchedule, resetsPerCoupon),	28✔
51	iborIndex, spread, iborIndex->dayCounter(),	14✔
52	paymentConvention, paymentLag, paymentCalendar),
53	fullResetSchedule_(std::move(fullResetSchedule)),	14✔
54	resetsPerCoupon_(resetsPerCoupon),	14✔
55	averagingMethod_(averagingMethod) {	70✔
56
57	QL_REQUIRE((fullResetSchedule_.size() - 1) % resetsPerCoupon_ == 0,	14✔
58	"number of reset periods (" << fullResetSchedule_.size() - 1
59	<< ") is not a multiple of resetsPerCoupon ("
60	<< resetsPerCoupon_ << ")");
61
62	legs_[1] = MultipleResetsLeg(fullResetSchedule_, this->iborIndex(), resetsPerCoupon_)	28✔
63	.withNotionals(floatingNominals())	14✔
64	.withRateSpreads(spread)	14✔
65	.withAveragingMethod(averagingMethod_)	14✔
66	.withPaymentAdjustment(this->paymentConvention())	14✔
67	.withPaymentLag(paymentLag)	14✔
68	.withPaymentCalendar(paymentCalendar.empty() ?	28✔
69	fullResetSchedule_.calendar() : paymentCalendar);	28✔
70
71	for (auto& cf : legs_[1])	70✔
72	registerWith(cf);	112✔
73	}	14✔
74
NEW 75	void MultipleResetsSwap::setupFloatingArguments(arguments* args) const {	×
76	const Leg& leg = floatingLeg();
77	Size n = leg.size();
NEW 78	args->floatingResetDates = args->floatingPayDates = std::vector<Date>(n);	×
NEW 79	args->floatingFixingDates = std::vector<Date>(n);	×
NEW 80	args->floatingNominals = std::vector<Real>(n);	×
NEW 81	args->floatingAccrualTimes = std::vector<Time>(n);	×
NEW 82	args->floatingSpreads = std::vector<Spread>(n);	×
NEW 83	args->floatingCoupons = std::vector<Real>(n);	×
NEW 84	for (Size i = 0; i < n; ++i) {	×
NEW 85	auto coupon = ext::dynamic_pointer_cast<MultipleResetsCoupon>(leg[i]);	×
NEW 86	args->floatingResetDates[i] = coupon->accrualStartDate();	×
NEW 87	args->floatingPayDates[i] = coupon->date();	×
NEW 88	args->floatingFixingDates[i] = coupon->fixingDate();	×
NEW 89	args->floatingNominals[i] = coupon->nominal();	×
NEW 90	args->floatingAccrualTimes[i] = coupon->accrualPeriod();	×
NEW 91	args->floatingSpreads[i] = coupon->spread();	×
92	try {
NEW 93	args->floatingCoupons[i] = coupon->amount();	×
NEW 94	} catch (Error&) {	×
NEW 95	args->floatingCoupons[i] = Null<Real>();	×
NEW 96	}	×
97	}
NEW 98	}	×
99
100	}

lballabio / QuantLib / 23006928006

Source File Press 'n' to go to next uncovered line, 'b' for previous

Source File
Press 'n' to go to next uncovered line, 'b' for previous