Add MultipleResetsSwap instrument and rate helper#2474
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lballabio merged 2 commits intolballabio:masterfrom Mar 13, 2026
Merged
Add MultipleResetsSwap instrument and rate helper#2474lballabio merged 2 commits intolballabio:masterfrom
lballabio merged 2 commits intolballabio:masterfrom
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Implements issue lballabio#2138: a fixed-vs-floating swap whose floating leg coupons are determined by compounding or averaging multiple consecutive Ibor fixings within each accrual period. Adds MultipleResetsSwap (inheriting FixedVsFloatingSwap, giving fairRate(), fairSpread(), and BPS methods for free), a MakeMultipleResetsSwap fluent builder, and MultipleResetsSwapRateHelper for bootstrapping yield curves from multiple-resets swap quotes. The floating leg is built via the existing MultipleResetsLeg/coupon infrastructure. Tests cover fair-rate pricing, payer/receiver leg NPV consistency, averaging vs. compounding differentiation, and end-to-end bootstrapping at 1Y/2Y/3Y. Relates to lballabio#2138.
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lballabio
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Mar 12, 2026
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lballabio
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Thanks! I left a few comments.
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| Rate fixedRate = Null<Rate>(), | ||
| const Period& fwdStart = 0 * Days); |
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Being optional, these two could be moved to corresponding with methods.
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| MakeMultipleResetsSwap& MakeMultipleResetsSwap::withSettlementDays(Natural settlementDays) { | ||
| settlementDays_ = settlementDays; | ||
| effectiveDate_ = Date(); | ||
| return *this; | ||
| } | ||
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| MakeMultipleResetsSwap& MakeMultipleResetsSwap::withEffectiveDate(const Date& d) { | ||
| effectiveDate_ = d; | ||
| return *this; | ||
| } |
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There's a discussion going on about similar methods in other classes — see #1394. These might need to be modified in the same way.
| // Cross-check: fixed-leg NPV + floating-leg NPV equals total NPV. | ||
| Real npvCheck = swap->fixedLegNPV() + swap->floatingLegNPV(); | ||
| BOOST_CHECK_SMALL(npvCheck - swap->NPV(), 1.0e-10); | ||
| } |
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Here you could also check that, if you use MakeMultipleResetsSwap without passing a rate, you get back a fair swap.
Move fixedRate and fwdStart out of the constructor into withFixedRate() and withForwardStart() fluent methods, keeping the constructor to its three mandatory parameters. Add a QL_REQUIRE guard so that withEffectiveDate and withSettlementDays are mutually exclusive rather than silently overriding each other. Add a test for the auto-fair-rate path in MakeMultipleResetsSwap.
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Thanks for the review, Luigi, implemented all three points:
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Implements issue #2138: a fixed-vs-floating swap whose floating leg coupons are
determined by compounding or averaging multiple consecutive Ibor fixings within
each accrual period.
Adds MultipleResetsSwap (inheriting FixedVsFloatingSwap, giving fairRate(),
fairSpread(), and BPS methods for free), a MakeMultipleResetsSwap fluent builder,
and MultipleResetsSwapRateHelper for bootstrapping yield curves from
multiple-resets swap quotes. The floating leg is built via the existing
MultipleResetsLeg/coupon infrastructure. Tests cover fair-rate pricing,
payer/receiver leg NPV consistency, averaging vs. compounding differentiation,
and end-to-end bootstrapping at 1Y/2Y/3Y.
Relates to #2138.