// Date calculations
public override Date maturityDate(Date valueDate)
{
Calendar cal = fixingCalendar();
Date fixingDate = cal.advance(valueDate, -1, TimeUnit.Days);
Date nextWednesday = Utils.previousWednesday(fixingDate + 7);
return(cal.advance(nextWednesday, 1, TimeUnit.Days));
}
/* Date calculations
*
* See <https://www.theice.com/marketdata/reports/170>.
*/
public override Date valueDate(Date fixingDate)
{
Utils.QL_REQUIRE(isValidFixingDate(fixingDate), () => "Fixing date " + fixingDate + " is not valid");
// http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
// In the case of EUR the Value Date shall be two TARGET
// business days after the Fixing Date.
return(target_.advance(fixingDate, fixingDays_, TimeUnit.Days));
}
public IborCoupon(Date paymentDate,
double nominal,
Date startDate,
Date endDate,
int fixingDays,
IborIndex iborIndex,
double gearing = 1.0,
double spread = 0.0,
Date refPeriodStart = null,
Date refPeriodEnd = null,
DayCounter dayCounter = null,
bool isInArrears = false) :
base(paymentDate, nominal, startDate, endDate, fixingDays, iborIndex, gearing, spread,
refPeriodStart, refPeriodEnd, dayCounter, isInArrears)
{
iborIndex_ = iborIndex;
fixingDate_ = fixingDate();
Calendar fixingCalendar = index_.fixingCalendar();
int indexFixingDays = index_.fixingDays();
fixingValueDate_ = fixingCalendar.advance(fixingDate_, indexFixingDays, TimeUnit.Days);
#if QL_USE_INDEXED_COUPON
fixingEndDate_ = index_->maturityDate(fixingValueDate_);
#else
if (isInArrears_)
{
fixingEndDate_ = index_.maturityDate(fixingValueDate_);
}
else
{
// par coupon approximation
Date nextFixingDate = fixingCalendar.advance(accrualEndDate_, -fixingDays_, TimeUnit.Days);
fixingEndDate_ = fixingCalendar.advance(nextFixingDate, indexFixingDays, TimeUnit.Days);
}
#endif
DayCounter dc = index_.dayCounter();
spanningTime_ = dc.yearFraction(fixingValueDate_, fixingEndDate_);
Utils.QL_REQUIRE(spanningTime_ > 0.0, () =>
"\n cannot calculate forward rate between " +
fixingValueDate_ + " and " + fixingEndDate_ +
":\n non positive time (" + spanningTime_ +
") using " + dc.name() + " daycounter");
}
public override void initialize(FloatingRateCoupon coupon)
{
coupon_ = coupon as RangeAccrualFloatersCoupon;
Utils.QL_REQUIRE(coupon_ != null, () => "range-accrual coupon required");
gearing_ = coupon_.gearing();
spread_ = coupon_.spread();
Date paymentDate = coupon_.date();
IborIndex index = coupon_.index() as IborIndex;
Utils.QL_REQUIRE(index != null, () => "invalid index");
Handle <YieldTermStructure> rateCurve = index.forwardingTermStructure();
discount_ = rateCurve.link.discount(paymentDate);
accrualFactor_ = coupon_.accrualPeriod();
spreadLegValue_ = spread_ * accrualFactor_ * discount_;
startTime_ = coupon_.startTime();
endTime_ = coupon_.endTime();
observationTimes_ = coupon_.observationTimes();
lowerTrigger_ = coupon_.lowerTrigger();
upperTrigger_ = coupon_.upperTrigger();
observationsNo_ = coupon_.observationsNo();
List <Date> observationDates = coupon_.observationsSchedule().dates();
Utils.QL_REQUIRE(observationDates.Count == observationsNo_ + 2, () => "incompatible size of initialValues vector");
initialValues_ = new InitializedList <double>(observationDates.Count, 0.0);
Calendar calendar = index.fixingCalendar();
for (int i = 0; i < observationDates.Count; i++)
{
initialValues_[i] = index.fixing(
calendar.advance(observationDates[i], -coupon_.fixingDays, TimeUnit.Days));
}
}
// creator
public override List <CashFlow> value()
{
if (couponRates_.Count == 0)
{
throw new ArgumentException("no coupon rates given");
}
if (notionals_.Count == 0)
{
throw new ArgumentException("no nominals given");
}
List <CashFlow> leg = new List <CashFlow>();
Calendar schCalendar = schedule_.calendar();
// first period might be short or long
Date start = schedule_[0], end = schedule_[1];
Date paymentDate = calendar_.adjust(end, paymentAdjustment_);
Date exCouponDate = null;
InterestRate rate = couponRates_[0];
double nominal = notionals_[0];
if (exCouponPeriod_ != null)
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if (schedule_.isRegular(1))
{
if (!(firstPeriodDC_ == null || firstPeriodDC_ == rate.dayCounter()))
{
throw new ArgumentException("regular first coupon does not allow a first-period day count");
}
leg.Add(new FixedRateCoupon(paymentDate, nominal, rate, start, end, start, end, exCouponDate));
}
else
{
Date refer = end - schedule_.tenor();
refer = schCalendar.adjust(refer, schedule_.businessDayConvention());
InterestRate r = new InterestRate(rate.rate(),
(firstPeriodDC_ == null || firstPeriodDC_.empty()) ? rate.dayCounter() : firstPeriodDC_,
rate.compounding(), rate.frequency());
leg.Add(new FixedRateCoupon(paymentDate, nominal, r, start, end, refer, end, exCouponDate));
}
// regular periods
for (int i = 2; i < schedule_.Count - 1; ++i)
{
start = end; end = schedule_[i];
paymentDate = calendar_.adjust(end, paymentAdjustment_);
if (exCouponPeriod_ != null)
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if ((i - 1) < couponRates_.Count)
{
rate = couponRates_[i - 1];
}
else
{
rate = couponRates_.Last();
}
if ((i - 1) < notionals_.Count)
{
nominal = notionals_[i - 1];
}
else
{
nominal = notionals_.Last();
}
leg.Add(new FixedRateCoupon(paymentDate, nominal, rate, start, end, start, end, exCouponDate));
}
if (schedule_.Count > 2)
{
// last period might be short or long
int N = schedule_.Count;
start = end; end = schedule_[N - 1];
paymentDate = calendar_.adjust(end, paymentAdjustment_);
if (exCouponPeriod_ != null)
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if ((N - 2) < couponRates_.Count)
{
rate = couponRates_[N - 2];
}
else
{
rate = couponRates_.Last();
}
if ((N - 2) < notionals_.Count)
{
nominal = notionals_[N - 2];
}
else
{
nominal = notionals_.Last();
}
InterestRate r = new InterestRate(rate.rate(),
lastPeriodDC_ == null ? rate.dayCounter() : lastPeriodDC_, rate.compounding(), rate.frequency());
if (schedule_.isRegular(N - 1))
{
leg.Add(new FixedRateCoupon(paymentDate, nominal, r, start, end, start, end, exCouponDate));
}
else
{
Date refer = start + schedule_.tenor();
refer = schCalendar.adjust(refer, schedule_.businessDayConvention());
leg.Add(new FixedRateCoupon(paymentDate, nominal, r, start, end, start, refer, exCouponDate));
}
}
return(leg);
}
protected override void performCalculations()
{
Calendar calendar = index_.fixingCalendar();
int fixingDays = index_.fixingDays();
Date exerciseDate = exerciseDate_;
if (exerciseDate == null)
{
exerciseDate = calendar.advance(termStructure_.link.referenceDate(),
maturity_,
index_.businessDayConvention());
}
Date startDate = calendar.advance(exerciseDate,
fixingDays, TimeUnit.Days,
index_.businessDayConvention());
Date endDate = endDate_;
if (endDate == null)
{
endDate = calendar.advance(startDate, length_,
index_.businessDayConvention());
}
Schedule fixedSchedule = new Schedule(startDate, endDate, fixedLegTenor_, calendar,
index_.businessDayConvention(),
index_.businessDayConvention(),
DateGeneration.Rule.Forward, false);
Schedule floatSchedule = new Schedule(startDate, endDate, index_.tenor(), calendar,
index_.businessDayConvention(),
index_.businessDayConvention(),
DateGeneration.Rule.Forward, false);
IPricingEngine swapEngine = new DiscountingSwapEngine(termStructure_, false);
VanillaSwap.Type type = VanillaSwap.Type.Receiver;
VanillaSwap temp = new VanillaSwap(VanillaSwap.Type.Receiver, nominal_,
fixedSchedule, 0.0, fixedLegDayCounter_,
floatSchedule, index_, 0.0, floatingLegDayCounter_);
temp.setPricingEngine(swapEngine);
double forward = temp.fairRate();
if (!strike_.HasValue)
{
exerciseRate_ = forward;
}
else
{
exerciseRate_ = strike_.Value;
type = strike_ <= forward ? VanillaSwap.Type.Receiver : VanillaSwap.Type.Payer;
// ensure that calibration instrument is out of the money
}
swap_ = new VanillaSwap(type, nominal_,
fixedSchedule, exerciseRate_, fixedLegDayCounter_,
floatSchedule, index_, 0.0, floatingLegDayCounter_);
swap_.setPricingEngine(swapEngine);
Exercise exercise = new EuropeanExercise(exerciseDate);
swaption_ = new Swaption(swap_, exercise);
base.performCalculations();
}
public OvernightIndexedSwap value()
{
Date startDate;
if (effectiveDate_ != null)
{
startDate = effectiveDate_;
}
else
{
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);
Date spotDate = calendar_.advance(refDate, new Period(settlementDays_, TimeUnit.Days));
startDate = spotDate + forwardStart_;
if (forwardStart_.length() < 0)
{
startDate = calendar_.adjust(startDate, BusinessDayConvention.Preceding);
}
else
{
startDate = calendar_.adjust(startDate, BusinessDayConvention.Following);
}
}
// OIS end of month default
bool usedEndOfMonth =
isDefaultEOM_ ? calendar_.isEndOfMonth(startDate) : endOfMonth_;
Date endDate = terminationDate_;
if (endDate == null)
{
if (usedEndOfMonth)
{
endDate = calendar_.advance(startDate,
swapTenor_,
BusinessDayConvention.ModifiedFollowing,
usedEndOfMonth);
}
else
{
endDate = startDate + swapTenor_;
}
}
Schedule schedule = new Schedule(startDate, endDate,
new Period(paymentFrequency_),
calendar_,
BusinessDayConvention.ModifiedFollowing,
BusinessDayConvention.ModifiedFollowing,
rule_,
usedEndOfMonth);
double?usedFixedRate = fixedRate_;
if (fixedRate_ == null)
{
OvernightIndexedSwap temp = new OvernightIndexedSwap(type_, nominal_,
schedule,
0.0, // fixed rate
fixedDayCount_,
overnightIndex_, overnightSpread_);
if (engine_ == null)
{
Handle <YieldTermStructure> disc = overnightIndex_.forwardingTermStructure();
Utils.QL_REQUIRE(!disc.empty(), () => "null term structure set to this instance of " +
overnightIndex_.name());
bool includeSettlementDateFlows = false;
IPricingEngine engine = new DiscountingSwapEngine(disc, includeSettlementDateFlows);
temp.setPricingEngine(engine);
}
else
{
temp.setPricingEngine(engine_);
}
usedFixedRate = temp.fairRate();
}
OvernightIndexedSwap ois = new OvernightIndexedSwap(type_, nominal_,
schedule,
usedFixedRate.Value, fixedDayCount_,
overnightIndex_, overnightSpread_);
if (engine_ == null)
{
Handle <YieldTermStructure> disc = overnightIndex_.forwardingTermStructure();
bool includeSettlementDateFlows = false;
IPricingEngine engine = new DiscountingSwapEngine(disc, includeSettlementDateFlows);
ois.setPricingEngine(engine);
}
else
{
ois.setPricingEngine(engine_);
}
return(ois);
}
