Const Notional Cross Currency Swaps #2248
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| /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ | ||
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| /* | ||
| Copyright (C) 2016 Quaternion Risk Management Ltd | ||
| All rights reserved. | ||
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| This file is part of QuantLib, a free-software/open-source library | ||
| for financial quantitative analysts and developers - http://quantlib.org/ | ||
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| 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>. | ||
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| 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. | ||
| */ | ||
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| #include <ql/cashflows/iborcoupon.hpp> | ||
| #include <ql/cashflows/simplecashflow.hpp> | ||
| #include <ql/cashflows/overnightindexedcoupon.hpp> | ||
| #include <ql/instruments/crossccybasisswap.hpp> | ||
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| namespace QuantLib { | ||
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| CrossCcyBasisSwap::CrossCcyBasisSwap(Real payNominal, const Currency& payCurrency, const Schedule& paySchedule, | ||
| const ext::shared_ptr<IborIndex>& payIndex, Spread paySpread, Real payGearing, | ||
| Real recNominal, const Currency& recCurrency, const Schedule& recSchedule, | ||
| const ext::shared_ptr<IborIndex>& recIndex, Spread recSpread, Real recGearing, | ||
| Size payPaymentLag, Size recPaymentLag, ext::optional<bool> payIncludeSpread, | ||
| ext::optional<Natural> payLookbackDays, ext::optional<bool> recIncludeSpread, | ||
| ext::optional<Natural> recLookbackDays, const bool telescopicValueDates) | ||
| : CrossCcySwap(2), payNominal_(payNominal), payCurrency_(payCurrency), paySchedule_(paySchedule), | ||
| payIndex_(payIndex), paySpread_(paySpread), payGearing_(payGearing), recNominal_(recNominal), | ||
| recCurrency_(recCurrency), recSchedule_(recSchedule), recIndex_(recIndex), recSpread_(recSpread), | ||
| recGearing_(recGearing), payPaymentLag_(payPaymentLag), recPaymentLag_(recPaymentLag), | ||
| payIncludeSpread_(payIncludeSpread), payLookbackDays_(payLookbackDays), recIncludeSpread_(recIncludeSpread), | ||
| recLookbackDays_(recLookbackDays), telescopicValueDates_(telescopicValueDates) { | ||
| registerWith(payIndex_); | ||
| registerWith(recIndex_); | ||
| initialize(); | ||
| } | ||
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| void CrossCcyBasisSwap::initialize() { | ||
| // Pay leg | ||
| if (auto on = ext::dynamic_pointer_cast<OvernightIndex>(payIndex_)) { | ||
| // ON leg | ||
| legs_[0] = OvernightLeg(paySchedule_, on) | ||
| .withNotionals(payNominal_) | ||
| .withSpreads(paySpread_) | ||
| .withGearings(payGearing_) | ||
| .withPaymentLag(payPaymentLag_) | ||
| .withSpreads(payIncludeSpread_ ? *payIncludeSpread_ : false) | ||
| .withLookbackDays(payLookbackDays_ ? *payLookbackDays_ : 0) | ||
| .withTelescopicValueDates(telescopicValueDates_); | ||
| } else { | ||
| // Ibor leg | ||
| legs_[0] = IborLeg(paySchedule_, payIndex_) | ||
| .withNotionals(payNominal_) | ||
| .withSpreads(paySpread_) | ||
| .withGearings(payGearing_) | ||
| .withPaymentLag(payPaymentLag_); | ||
| } | ||
| payer_[0] = -1.0; | ||
| currencies_[0] = payCurrency_; | ||
| // Pay leg notional exchange at start. | ||
| Date initialPayDate = paySchedule_.dates().front(); | ||
| ext::shared_ptr<CashFlow> initialPayCF(new SimpleCashFlow(-payNominal_, initialPayDate)); | ||
| legs_[0].insert(legs_[0].begin(), initialPayCF); | ||
| // Pay leg notional exchange at end. | ||
| Date finalPayDate = paySchedule_.dates().back(); | ||
| ext::shared_ptr<CashFlow> finalPayCF(new SimpleCashFlow(payNominal_, finalPayDate)); | ||
| legs_[0].push_back(finalPayCF); | ||
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| // Receive leg | ||
| if (auto on = ext::dynamic_pointer_cast<OvernightIndex>(recIndex_)) { | ||
| // ON leg | ||
| legs_[1] = OvernightLeg(recSchedule_, on) | ||
| .withNotionals(recNominal_) | ||
| .withSpreads(recSpread_) | ||
| .withGearings(recGearing_) | ||
| .withPaymentLag(recPaymentLag_) | ||
| .withSpreads(recIncludeSpread_ ? *recIncludeSpread_ : false) | ||
| .withLookbackDays(recLookbackDays_ ? *recLookbackDays_ : 0) | ||
| .withTelescopicValueDates(telescopicValueDates_); | ||
| } else { | ||
| // Ibor leg | ||
| legs_[1] = IborLeg(recSchedule_, recIndex_) | ||
| .withNotionals(recNominal_) | ||
| .withSpreads(recSpread_) | ||
| .withGearings(recGearing_) | ||
| .withPaymentLag(recPaymentLag_); | ||
| } | ||
| payer_[1] = +1.0; | ||
| currencies_[1] = recCurrency_; | ||
| // Receive leg notional exchange at start. | ||
| Date initialRecDate = recSchedule_.dates().front(); | ||
| ext::shared_ptr<CashFlow> initialRecCF(new SimpleCashFlow(-recNominal_, initialRecDate)); | ||
| legs_[1].insert(legs_[1].begin(), initialRecCF); | ||
| // Receive leg notional exchange at end. | ||
| Date finalRecDate = recSchedule_.dates().back(); | ||
| ext::shared_ptr<CashFlow> finalRecCF(new SimpleCashFlow(recNominal_, finalRecDate)); | ||
| legs_[1].push_back(finalRecCF); | ||
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| // Register the instrument with all cashflows on each leg. | ||
| for (Size legNo = 0; legNo < 2; legNo++) { | ||
| Leg::iterator it; | ||
| for (it = legs_[legNo].begin(); it != legs_[legNo].end(); ++it) { | ||
| registerWith(*it); | ||
| } | ||
| } | ||
| } | ||
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| void CrossCcyBasisSwap::setupArguments(PricingEngine::arguments* args) const { | ||
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| CrossCcySwap::setupArguments(args); | ||
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| CrossCcyBasisSwap::arguments* arguments = dynamic_cast<CrossCcyBasisSwap::arguments*>(args); | ||
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| /* Returns here if e.g. args is CrossCcySwap::arguments which | ||
| is the case if PricingEngine is a CrossCcySwap::engine. */ | ||
| if (!arguments) | ||
| return; | ||
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| arguments->paySpread = paySpread_; | ||
| arguments->recSpread = recSpread_; | ||
| } | ||
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| void CrossCcyBasisSwap::fetchResults(const PricingEngine::results* r) const { | ||
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| CrossCcySwap::fetchResults(r); | ||
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| const CrossCcyBasisSwap::results* results = dynamic_cast<const CrossCcyBasisSwap::results*>(r); | ||
| if (results) { | ||
| /* If PricingEngine::results are of type | ||
| CrossCcyBasisSwap::results */ | ||
| fairPaySpread_ = results->fairPaySpread; | ||
| fairRecSpread_ = results->fairRecSpread; | ||
| } else { | ||
| /* If not, e.g. if the engine is a CrossCcySwap::engine */ | ||
| fairPaySpread_ = Null<Spread>(); | ||
| fairRecSpread_ = Null<Spread>(); | ||
| } | ||
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| /* Calculate the fair pay and receive spreads if they are null */ | ||
| static Spread basisPoint = 1.0e-4; | ||
| if (fairPaySpread_ == Null<Spread>()) { | ||
| if (legBPS_[0] != Null<Real>()) | ||
| fairPaySpread_ = paySpread_ - NPV_ / (legBPS_[0] / basisPoint); | ||
| } | ||
| if (fairRecSpread_ == Null<Spread>()) { | ||
| if (legBPS_[1] != Null<Real>()) | ||
| fairRecSpread_ = recSpread_ - NPV_ / (legBPS_[1] / basisPoint); | ||
| } | ||
| } | ||
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| void CrossCcyBasisSwap::setupExpired() const { | ||
| CrossCcySwap::setupExpired(); | ||
| fairPaySpread_ = Null<Spread>(); | ||
| fairRecSpread_ = Null<Spread>(); | ||
| } | ||
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| void CrossCcyBasisSwap::arguments::validate() const { | ||
| CrossCcySwap::arguments::validate(); | ||
| QL_REQUIRE(paySpread != Null<Spread>(), "Pay spread cannot be null"); | ||
| QL_REQUIRE(recSpread != Null<Spread>(), "Rec spread cannot be null"); | ||
| } | ||
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| void CrossCcyBasisSwap::results::reset() { | ||
| CrossCcySwap::results::reset(); | ||
| fairPaySpread = Null<Spread>(); | ||
| fairRecSpread = Null<Spread>(); | ||
| } | ||
| } // namespace QuantLib | ||
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I would say initial and final notional should be corrected with payment lag here. Unless there is a reason not to do that.