29513377275

Committed 16 Jul 2026 03:55PM UTC coverage: 74.954%. Remained the same

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Deprecate `ext::any`, `ext::optional` and friends (#2660)

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61.9

/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
 <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/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), 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& calendar = exerciseCalendar_.empty()
            ? swapIndex_->fixingCalendar()
            : exerciseCalendar_;
        Date refDate = Settings::instance().evaluationDate();
        // if the evaluation date is not a business day
        // then move to the next business day
        refDate = calendar.adjust(refDate);
        if (fixingDate_ == Date())
            fixingDate_ = calendar.advance(refDate, optionTenor_,
                                           optionConvention_);
        if (exerciseDate_ == 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::withExerciseCalendar(const Calendar& cal) {
        exerciseCalendar_ = cal;
        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 std::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	<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/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,	106✔
35	const Period& optionTenor,
36	Rate strike)	106✔
37	: swapIndex_(std::move(swapIndex)), delivery_(Settlement::Physical),	106✔
38	settlementMethod_(Settlement::PhysicalOTC), optionTenor_(optionTenor),	106✔
39	optionConvention_(ModifiedFollowing), strike_(strike),	212✔
40	underlyingType_(Swap::Payer), nominal_(1.0) {}	106✔
41
42	MakeSwaption::MakeSwaption(ext::shared_ptr<SwapIndex> swapIndex,	1✔
43	const Date& fixingDate,
44	Rate strike)	1✔
45	: swapIndex_(std::move(swapIndex)), delivery_(Settlement::Physical),	1✔
46	settlementMethod_(Settlement::PhysicalOTC), optionConvention_(ModifiedFollowing),	1✔
47	fixingDate_(fixingDate), strike_(strike), underlyingType_(Swap::Payer) {}	1✔
48
49	MakeSwaption::operator Swaption() const {	107✔
50	ext::shared_ptr<Swaption> swaption = *this;	107✔
51	return *swaption;	214✔
52	}
53
54	MakeSwaption::operator ext::shared_ptr<Swaption>() const {	107✔
55
56	const Calendar& calendar = exerciseCalendar_.empty()
57	? swapIndex_->fixingCalendar()	105✔
58	: exerciseCalendar_;	212✔
59	Date refDate = Settings::instance().evaluationDate();	107✔
60	// if the evaluation date is not a business day
61	// then move to the next business day
62	refDate = calendar.adjust(refDate);	107✔
63	if (fixingDate_ == Date())	107✔
64	fixingDate_ = calendar.advance(refDate, optionTenor_,	106✔
65	optionConvention_);	106✔
66	if (exerciseDate_ == Date()) {	107✔
67	exercise_ = ext::shared_ptr<Exercise>(new	212✔
68	EuropeanExercise(fixingDate_));	212✔
69	} else {
70	QL_REQUIRE(exerciseDate_ <= fixingDate_,	1✔
71	"exercise date (" << exerciseDate_ << ") must be less "
72	"than or equal to fixing date (" << fixingDate_ << ")");
73	exercise_ = ext::shared_ptr<Exercise>(new	2✔
74	EuropeanExercise(exerciseDate_));	2✔
75	}
76
77	Rate usedStrike;
78	ext::shared_ptr<OvernightIndexedSwapIndex> OIswap_index = ext::dynamic_pointer_cast<OvernightIndexedSwapIndex>(swapIndex_);	107✔
79	if (strike_ == Null<Rate>()) {	107✔
80	// ATM on curve(s) attached to index
81	QL_REQUIRE(!swapIndex_->forwardingTermStructure().empty(),	208✔
82	"null term structure set to this instance of " <<
83	swapIndex_->name());
84	if (OIswap_index) {	104✔
85	auto temp = OIswap_index->underlyingSwap(fixingDate_);	×
86	temp->setPricingEngine(	×
87	ext::make_shared<DiscountingSwapEngine>(	×
88	swapIndex_->exogenousDiscount()	×
89	? swapIndex_->discountingTermStructure()	×
90	: swapIndex_->forwardingTermStructure(),
91	false	×
92	)
93	);
94	usedStrike = temp->fairRate();	×
95	} else {
96	auto temp = swapIndex_->underlyingSwap(fixingDate_);	104✔
97	temp->setPricingEngine(	312✔
98	ext::make_shared<DiscountingSwapEngine>(	208✔
99	swapIndex_->exogenousDiscount()	104✔
100	? swapIndex_->discountingTermStructure()	104✔
101	: swapIndex_->forwardingTermStructure(),
102	false	104✔
103	)
104	);
105	usedStrike = temp->fairRate();	104✔
106	}
107	} else {
108	usedStrike = strike_;
109	}
110
111	BusinessDayConvention bdc = swapIndex_->fixedLegConvention();	107✔
112	if (OIswap_index) {	107✔
113	underlyingSwap_ =
114	(ext::shared_ptr<OvernightIndexedSwap>)(	×
115	MakeOIS(swapIndex_->tenor(),	×
116	OIswap_index->overnightIndex(), usedStrike)	×
117	.withEffectiveDate(swapIndex_->valueDate(fixingDate_))	×
118	.withPaymentCalendar(swapIndex_->fixingCalendar())	×
119	.withFixedLegDayCount(swapIndex_->dayCounter())	×
120	.withPaymentAdjustment(bdc)	×
121	.withFixedLegConvention(bdc)	×
122	.withFixedLegTerminationDateConvention(bdc)	×
123	.withType(underlyingType_)	×
124	.withNominal(nominal_)	×
125	);	×
126	} else {
127	underlyingSwap_ =
128	(ext::shared_ptr<VanillaSwap>)(	107✔
129	MakeVanillaSwap(swapIndex_->tenor(),	214✔
130	swapIndex_->iborIndex(), usedStrike)	214✔
131	.withEffectiveDate(swapIndex_->valueDate(fixingDate_))	107✔
132	.withFixedLegCalendar(swapIndex_->fixingCalendar())	214✔
133	.withFixedLegDayCount(swapIndex_->dayCounter())	107✔
134	.withFixedLegTenor(swapIndex_->fixedLegTenor())	214✔
135	.withFixedLegConvention(bdc)	107✔
136	.withFixedLegTerminationDateConvention(bdc)	107✔
137	.withType(underlyingType_)	107✔
138	.withNominal(nominal_)	107✔
139	.withIndexedCoupons(useIndexedCoupons_)	107✔
140	);	107✔
141	}
142	ext::shared_ptr<Swaption> swaption = ext::make_shared<Swaption>(
143	underlyingSwap_, exercise_, delivery_, settlementMethod_);	107✔
144	swaption->setPricingEngine(engine_);	107✔
145	return swaption;	107✔
146	}
147
148	MakeSwaption& MakeSwaption::withSettlementType(Settlement::Type delivery) {	×
149	delivery_ = delivery;	×
150	return *this;	×
151	}
152
153	MakeSwaption& MakeSwaption::withSettlementMethod(	×
154	Settlement::Method settlementMethod) {
155	settlementMethod_ = settlementMethod;	×
156	return *this;	×
157	}
158
159	MakeSwaption&
160	MakeSwaption::withOptionConvention(BusinessDayConvention bdc) {	×
161	optionConvention_ = bdc;	×
162	return *this;	×
163	}
164
165	MakeSwaption& MakeSwaption::withExerciseDate(const Date& date) {	1✔
166	exerciseDate_ = date;	1✔
167	return *this;	1✔
168	}
169
170	MakeSwaption& MakeSwaption::withExerciseCalendar(const Calendar& cal) {	2✔
171	exerciseCalendar_ = cal;
172	return *this;	2✔
173	}
174
175	MakeSwaption& MakeSwaption::withUnderlyingType(const Swap::Type type) {	×
176	underlyingType_ = type;	×
177	return *this;	×
178	}
179
180	MakeSwaption& MakeSwaption::withPricingEngine(	96✔
181	const ext::shared_ptr<PricingEngine>& engine) {
182	engine_ = engine;	96✔
183	return *this;	96✔
184	}
185
186	MakeSwaption& MakeSwaption::withNominal(Real n) {	×
187	nominal_ = n;	×
188	return *this;	×
189	}
190
NEW 191	MakeSwaption& MakeSwaption::withIndexedCoupons(const std::optional<bool>& b) {	×
192	useIndexedCoupons_ = b;	×
193	return *this;	×
194	}
195
196	MakeSwaption& MakeSwaption::withAtParCoupons(bool b) {	×
197	useIndexedCoupons_ = !b;	×
198	return *this;	×
199	}
200
201	}

lballabio / QuantLib / 29513377275

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