public SwapSpreadIndex(String familyName,
SwapIndex swapIndex1,
SwapIndex swapIndex2,
double gearing1 = 1.0,
double gearing2 = -1.0)
: base(familyName, swapIndex1.tenor(), // does not make sense, but we have to provide one
swapIndex1.fixingDays(), swapIndex1.currency(), swapIndex1.fixingCalendar(), swapIndex1.dayCounter())
{
swapIndex1_ = swapIndex1;
swapIndex2_ = swapIndex2;
gearing1_ = gearing1;
gearing2_ = gearing2;
swapIndex1_.registerWith(update);
swapIndex2_.registerWith(update);
name_ = swapIndex1_.name() + "(" + gearing1 + ") + "
+ swapIndex2_.name() + "(" + gearing1 + ")";
Utils.QL_REQUIRE(swapIndex1_.fixingDays() == swapIndex2_.fixingDays(), () =>
"index1 fixing days ("
+ swapIndex1_.fixingDays() + ")"
+ "must be equal to index2 fixing days ("
+ swapIndex2_.fixingDays() + ")");
Utils.QL_REQUIRE(swapIndex1_.fixingCalendar() == swapIndex2_.fixingCalendar(), () =>
"index1 fixingCalendar ("
+ swapIndex1_.fixingCalendar() + ")"
+ "must be equal to index2 fixingCalendar ("
+ swapIndex2_.fixingCalendar() + ")");
Utils.QL_REQUIRE(swapIndex1_.currency() == swapIndex2_.currency(), () =>
"index1 currency (" + swapIndex1_.currency() + ")"
+ "must be equal to index2 currency ("
+ swapIndex2_.currency() + ")");
Utils.QL_REQUIRE(swapIndex1_.dayCounter() == swapIndex2_.dayCounter(), () =>
"index1 dayCounter ("
+ swapIndex1_.dayCounter() + ")"
+ "must be equal to index2 dayCounter ("
+ swapIndex2_.dayCounter() + ")");
Utils.QL_REQUIRE(swapIndex1_.fixedLegTenor() == swapIndex2_.fixedLegTenor(), () =>
"index1 fixedLegTenor ("
+ swapIndex1_.fixedLegTenor() + ")"
+ "must be equal to index2 fixedLegTenor ("
+ swapIndex2_.fixedLegTenor());
Utils.QL_REQUIRE(swapIndex1_.fixedLegConvention() == swapIndex2_.fixedLegConvention(), () =>
"index1 fixedLegConvention ("
+ swapIndex1_.fixedLegConvention() + ")"
+ "must be equal to index2 fixedLegConvention ("
+ swapIndex2_.fixedLegConvention());
}
public DigitalCmsLeg(Schedule schedule, SwapIndex index)
{
schedule_ = schedule;
index_ = index;
paymentAdjustment_ = BusinessDayConvention.Following;
inArrears_ = false;
longCallOption_ = Position.Type.Long;
callATM_ = false;
longPutOption_ = Position.Type.Long;
putATM_ = false;
}
public CmsCoupon(double nominal,
Date paymentDate,
Date startDate,
Date endDate,
int fixingDays,
SwapIndex swapIndex,
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, swapIndex, gearing, spread, refPeriodStart, refPeriodEnd, dayCounter, isInArrears)
{
swapIndex_ = swapIndex;
}
public SwaptionVolCube2(Handle <SwaptionVolatilityStructure> atmVolStructure,
List <Period> optionTenors,
List <Period> swapTenors,
List <double> strikeSpreads,
List <List <Handle <Quote> > > volSpreads,
SwapIndex swapIndexBase,
SwapIndex shortSwapIndexBase,
bool vegaWeightedSmileFit)
: base(atmVolStructure, optionTenors, swapTenors, strikeSpreads, volSpreads, swapIndexBase,
shortSwapIndexBase, vegaWeightedSmileFit)
{
volSpreadsInterpolator_ = new List <Interpolation2D>();
volSpreadsMatrix_ = new List <Matrix>(nStrikes_);
for (int i = 0; i < nStrikes_; i++)
{
volSpreadsMatrix_.Add(new Matrix(optionTenors.Count, swapTenors.Count, 0.0));
}
}
public MakeCms(Period swapTenor,
SwapIndex swapIndex,
IborIndex iborIndex,
double iborSpread = 0.0,
Period forwardStart = null,
Date maturityDate = null)
{
swapTenor_ = swapTenor;
swapIndex_ = swapIndex;
iborIndex_ = iborIndex;
iborSpread_ = iborSpread;
iborCap_ = null;
iborFloor_ = null;
useAtmSpread_ = false;
forwardStart_ = forwardStart ?? new Period(0, TimeUnit.Days);
cmsSpread_ = 0.0;
cmsGearing_ = 1.0;
cmsCap_ = null;
cmsFloor_ = null;
effectiveDate_ = null;
cmsCalendar_ = swapIndex.fixingCalendar();
floatCalendar_ = iborIndex.fixingCalendar();
payCms_ = true;
nominal_ = 1.0;
maturityDate_ = maturityDate;
cmsTenor_ = new Period(3, TimeUnit.Months);
floatTenor_ = iborIndex.tenor();
cmsConvention_ = BusinessDayConvention.ModifiedFollowing;
cmsTerminationDateConvention_ = BusinessDayConvention.ModifiedFollowing;
floatConvention_ = iborIndex.businessDayConvention();
floatTerminationDateConvention_ = iborIndex.businessDayConvention();
cmsRule_ = DateGeneration.Rule.Backward;
floatRule_ = DateGeneration.Rule.Backward;
cmsEndOfMonth_ = false;
floatEndOfMonth_ = false;
cmsFirstDate_ = null;
cmsNextToLastDate_ = null;
floatFirstDate_ = null;
floatNextToLastDate_ = null;
cmsDayCount_ = new Actual360();
floatDayCount_ = iborIndex.dayCounter();
engine_ = new DiscountingSwapEngine(swapIndex.forwardingTermStructure());
}
//===========================================================================//
// GFunctionWithShifts //
//===========================================================================//
public GFunctionWithShifts(CmsCoupon coupon, Handle <Quote> meanReversion)
{
meanReversion_ = meanReversion;
calibratedShift_ = 0.03;
tmpRs_ = 10000000.0;
accuracy_ = 1.0e-14;
SwapIndex swapIndex = coupon.swapIndex();
VanillaSwap swap = swapIndex.underlyingSwap(coupon.fixingDate());
swapRateValue_ = swap.fairRate();
objectiveFunction_ = new ObjectiveFunction(this, swapRateValue_);
Schedule schedule = swap.fixedSchedule();
Handle <YieldTermStructure> rateCurve = swapIndex.forwardingTermStructure();
DayCounter dc = swapIndex.dayCounter();
swapStartTime_ = dc.yearFraction(rateCurve.link.referenceDate(), schedule.startDate());
discountAtStart_ = rateCurve.link.discount(schedule.startDate());
double paymentTime = dc.yearFraction(rateCurve.link.referenceDate(), coupon.date());
shapedPaymentTime_ = shapeOfShift(paymentTime);
List <CashFlow> fixedLeg = new List <CashFlow>(swap.fixedLeg());
int n = fixedLeg.Count;
shapedSwapPaymentTimes_ = new List <double>();
swapPaymentDiscounts_ = new List <double>();
accruals_ = new List <double>();
for (int i = 0; i < n; ++i)
{
Coupon coupon1 = fixedLeg[i] as Coupon;
accruals_.Add(coupon1.accrualPeriod());
Date paymentDate = new Date(coupon1.date().serialNumber());
double swapPaymentTime = dc.yearFraction(rateCurve.link.referenceDate(), paymentDate);
shapedSwapPaymentTimes_.Add(shapeOfShift(swapPaymentTime));
swapPaymentDiscounts_.Add(rateCurve.link.discount(paymentDate));
}
discountRatio_ = swapPaymentDiscounts_.Last() / discountAtStart_;
}
public override void initialize(FloatingRateCoupon coupon)
{
coupon_ = coupon as CmsCoupon;
Utils.QL_REQUIRE(coupon_ != null, () => "CMS coupon needed");
gearing_ = coupon_.gearing();
spread_ = coupon_.spread();
fixingDate_ = coupon_.fixingDate();
paymentDate_ = coupon_.date();
SwapIndex swapIndex = coupon_.swapIndex();
rateCurve_ = swapIndex.forwardingTermStructure().link;
Date today = Settings.Instance.evaluationDate();
if (paymentDate_ > today)
{
discount_ = rateCurve_.discount(paymentDate_);
}
else
{
discount_ = 1.0;
}
spreadLegValue_ = spread_ * coupon_.accrualPeriod() * discount_;
if (fixingDate_ > today)
{
swapTenor_ = swapIndex.tenor();
VanillaSwap swap = swapIndex.underlyingSwap(fixingDate_);
swapRateValue_ = swap.fairRate();
annuity_ = Math.Abs(swap.fixedLegBPS() / Const.BASIS_POINT);
int q = (int)swapIndex.fixedLegTenor().frequency();
Schedule schedule = swap.fixedSchedule();
DayCounter dc = swapIndex.dayCounter();
double startTime = dc.yearFraction(rateCurve_.referenceDate(), swap.startDate());
double swapFirstPaymentTime = dc.yearFraction(rateCurve_.referenceDate(), schedule.date(1));
double paymentTime = dc.yearFraction(rateCurve_.referenceDate(), paymentDate_);
double delta = (paymentTime - startTime) / (swapFirstPaymentTime - startTime);
switch (modelOfYieldCurve_)
{
case GFunctionFactory.YieldCurveModel.Standard:
gFunction_ = GFunctionFactory.newGFunctionStandard(q, delta, swapTenor_.length());
break;
case GFunctionFactory.YieldCurveModel.ExactYield:
gFunction_ = GFunctionFactory.newGFunctionExactYield(coupon_);
break;
case GFunctionFactory.YieldCurveModel.ParallelShifts:
{
Handle <Quote> nullMeanReversionQuote = new Handle <Quote>(new SimpleQuote(0.0));
gFunction_ = GFunctionFactory.newGFunctionWithShifts(coupon_, nullMeanReversionQuote);
}
break;
case GFunctionFactory.YieldCurveModel.NonParallelShifts:
gFunction_ = GFunctionFactory.newGFunctionWithShifts(coupon_, meanReversion_);
break;
default:
Utils.QL_FAIL("unknown/illegal gFunction type");
break;
}
vanillaOptionPricer_ = new BlackVanillaOptionPricer(swapRateValue_, fixingDate_, swapTenor_, swaptionVolatility().link);
}
}
public AmortizingCmsRateBond(int settlementDays,
List <double> notionals,
Schedule schedule,
SwapIndex index,
DayCounter paymentDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
int fixingDays = 0,
List <double> gearings = null,
List <double> spreads = null,
List <double?> caps = null,
List <double?> floors = null,
bool inArrears = false,
Date issueDate = null)
: base(settlementDays, schedule.calendar(), issueDate)
{
// Optional value check
if (gearings == null)
{
gearings = new List <double>()
{
1.0
}
}
;
if (spreads == null)
{
spreads = new List <double>()
{
0
}
}
;
if (caps == null)
{
caps = new List <double?>();
}
if (floors == null)
{
floors = new List <double?>();
}
maturityDate_ = schedule.endDate();
cashflows_ = new CmsLeg(schedule, index)
.withPaymentDayCounter(paymentDayCounter)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.withCaps(caps)
.withFloors(floors)
.inArrears(inArrears)
.withNotionals(notionals)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows();
Utils.QL_REQUIRE(!cashflows().empty(), () => "bond with no cashflows!");
index.registerWith(update);
}
}
}
private void init(BusinessDayConvention?paymentConvention1, BusinessDayConvention?paymentConvention2)
{
Utils.QL_REQUIRE(nominal1_.Count == schedule1_.Count - 1, () =>
"nominal1 size (" + nominal1_.Count +
") does not match schedule1 size (" + schedule1_.size() + ")");
Utils.QL_REQUIRE(nominal2_.Count == schedule2_.Count - 1, () =>
"nominal2 size (" + nominal2_.Count + ") does not match schedule2 size ("
+ nominal2_.Count + ")");
Utils.QL_REQUIRE(gearing1_.Count == 0 || gearing1_.Count == nominal1_.Count, () =>
"nominal1 size (" + nominal1_.Count + ") does not match gearing1 size ("
+ gearing1_.Count + ")");
Utils.QL_REQUIRE(gearing2_.Count == 0 || gearing2_.Count == nominal2_.Count, () =>
"nominal2 size (" + nominal2_.Count + ") does not match gearing2 size ("
+ gearing2_.Count + ")");
Utils.QL_REQUIRE(cappedRate1_.Count == 0 || cappedRate1_.Count == nominal1_.Count, () =>
"nominal1 size (" + nominal1_.Count + ") does not match cappedRate1 size ("
+ cappedRate1_.Count + ")");
Utils.QL_REQUIRE(cappedRate2_.Count == 0 || cappedRate2_.Count == nominal2_.Count, () =>
"nominal2 size (" + nominal2_.Count + ") does not match cappedRate2 size ("
+ cappedRate2_.Count + ")");
Utils.QL_REQUIRE(flooredRate1_.Count == 0 || flooredRate1_.Count == nominal1_.Count, () =>
"nominal1 size (" + nominal1_.Count + ") does not match flooredRate1 size ("
+ flooredRate1_.Count + ")");
Utils.QL_REQUIRE(flooredRate2_.Count == 0 || flooredRate2_.Count == nominal2_.Count, () =>
"nominal2 size (" + nominal2_.Count + ") does not match flooredRate2 size ("
+ flooredRate2_.Count + ")");
if (paymentConvention1 != null)
{
paymentConvention1_ = paymentConvention1.Value;
}
else
{
paymentConvention1_ = schedule1_.businessDayConvention();
}
if (paymentConvention2 != null)
{
paymentConvention2_ = paymentConvention2.Value;
}
else
{
paymentConvention2_ = schedule2_.businessDayConvention();
}
if (gearing1_.Count == 0)
{
gearing1_ = new InitializedList <double>(nominal1_.Count, 1.0);
}
if (gearing2_.Count == 0)
{
gearing2_ = new InitializedList <double>(nominal2_.Count, 1.0);
}
if (spread1_.Count == 0)
{
spread1_ = new InitializedList <double>(nominal1_.Count, 0.0);
}
if (spread2_.Count == 0)
{
spread2_ = new InitializedList <double>(nominal2_.Count, 0.0);
}
if (cappedRate1_.Count == 0)
{
cappedRate1_ = new InitializedList <double?>(nominal1_.Count, null);
}
if (cappedRate2_.Count == 0)
{
cappedRate2_ = new InitializedList <double?>(nominal2_.Count, null);
}
if (flooredRate1_.Count == 0)
{
flooredRate1_ = new InitializedList <double?>(nominal1_.Count, null);
}
if (flooredRate2_.Count == 0)
{
flooredRate2_ = new InitializedList <double?>(nominal2_.Count, null);
}
bool isNull = cappedRate1_[0] == null;
for (int i = 0; i < cappedRate1_.Count; i++)
{
if (isNull)
{
Utils.QL_REQUIRE(cappedRate1_[i] == null, () =>
"cappedRate1 must be null for all or none entry (" + (i + 1)
+ "th is " + cappedRate1_[i] + ")");
}
else
{
Utils.QL_REQUIRE(cappedRate1_[i] != null, () =>
"cappedRate 1 must be null for all or none entry ("
+ "1st is " + cappedRate1_[0] + ")");
}
}
isNull = cappedRate2_[0] == null;
for (int i = 0; i < cappedRate2_.Count; i++)
{
if (isNull)
{
Utils.QL_REQUIRE(cappedRate2_[i] == null, () =>
"cappedRate2 must be null for all or none entry ("
+ (i + 1) + "th is " + cappedRate2_[i] + ")");
}
else
{
Utils.QL_REQUIRE(cappedRate2_[i] != null, () =>
"cappedRate2 must be null for all or none entry ("
+ "1st is " + cappedRate2_[0] + ")");
}
}
isNull = flooredRate1_[0] == null;
for (int i = 0; i < flooredRate1_.Count; i++)
{
if (isNull)
{
Utils.QL_REQUIRE(flooredRate1_[i] == null, () =>
"flooredRate1 must be null for all or none entry ("
+ (i + 1) + "th is " + flooredRate1_[i]
+ ")");
}
else
{
Utils.QL_REQUIRE(flooredRate1_[i] != null, () =>
"flooredRate 1 must be null for all or none entry ("
+ "1st is " + flooredRate1_[0] + ")");
}
}
isNull = flooredRate2_[0] == null;
for (int i = 0; i < flooredRate2_.Count; i++)
{
if (isNull)
{
Utils.QL_REQUIRE(flooredRate2_[i] == null, () =>
"flooredRate2 must be null for all or none entry ("
+ (i + 1) + "th is " + flooredRate2_[i]
+ ")");
}
else
{
Utils.QL_REQUIRE(flooredRate2_[i] != null, () =>
"flooredRate2 must be null for all or none entry ("
+ "1st is " + flooredRate2_[0] + ")");
}
}
// if the gearing is zero then the ibor / cms leg will be set up with
// fixed coupons which makes trouble here in this context. We therefore
// use a dirty trick and enforce the gearing to be non zero.
for (int i = 0; i < gearing1_.Count; i++)
{
if (Utils.close(gearing1_[i], 0.0))
{
gearing1_[i] = Const.QL_EPSILON;
}
}
for (int i = 0; i < gearing2_.Count; i++)
{
if (Utils.close(gearing2_[i], 0.0))
{
gearing2_[i] = Const.QL_EPSILON;
}
}
IborIndex ibor1 = index1_ as IborIndex;
IborIndex ibor2 = index2_ as IborIndex;
SwapIndex cms1 = index1_ as SwapIndex;
SwapIndex cms2 = index2_ as SwapIndex;
SwapSpreadIndex cmsspread1 = index1_ as SwapSpreadIndex;
SwapSpreadIndex cmsspread2 = index2_ as SwapSpreadIndex;
Utils.QL_REQUIRE(ibor1 != null || cms1 != null || cmsspread1 != null, () =>
"index1 must be ibor or cms or cms spread");
Utils.QL_REQUIRE(ibor2 != null || cms2 != null || cmsspread2 != null, () =>
"index2 must be ibor or cms");
if (ibor1 != null)
{
IborLeg leg = new IborLeg(schedule1_, ibor1);
leg = (IborLeg)leg.withPaymentDayCounter(dayCount1_)
.withSpreads(spread1_)
.withGearings(gearing1_)
.withPaymentAdjustment(paymentConvention1_)
.withNotionals(nominal1_);
if (cappedRate1_[0] != null)
{
leg = (IborLeg)leg.withCaps(cappedRate1_);
}
if (flooredRate1_[0] != null)
{
leg = (IborLeg)leg.withFloors(flooredRate1_);
}
legs_[0] = leg;
}
if (ibor2 != null)
{
IborLeg leg = new IborLeg(schedule2_, ibor2);
leg = (IborLeg)leg.withPaymentDayCounter(dayCount2_)
.withSpreads(spread2_)
.withGearings(gearing2_)
.withPaymentAdjustment(paymentConvention2_)
.withNotionals(nominal2_);
if (cappedRate2_[0] != null)
{
leg = (IborLeg)leg.withCaps(cappedRate2_);
}
if (flooredRate2_[0] != null)
{
leg = (IborLeg)leg.withFloors(flooredRate2_);
}
legs_[1] = leg;
}
if (cms1 != null)
{
CmsLeg leg = new CmsLeg(schedule1_, cms1);
leg = (CmsLeg)leg.withPaymentDayCounter(dayCount1_)
.withSpreads(spread1_)
.withGearings(gearing1_)
.withNotionals(nominal1_)
.withPaymentAdjustment(paymentConvention1_);
if (cappedRate1_[0] != null)
{
leg = (CmsLeg)leg.withCaps(cappedRate1_);
}
if (flooredRate1_[0] != null)
{
leg = (CmsLeg)leg.withFloors(flooredRate1_);
}
legs_[0] = leg;
}
if (cms2 != null)
{
CmsLeg leg = new CmsLeg(schedule2_, cms2);
leg = (CmsLeg)leg.withPaymentDayCounter(dayCount2_)
.withSpreads(spread2_)
.withGearings(gearing2_)
.withNotionals(nominal2_)
.withPaymentAdjustment(paymentConvention2_);
if (cappedRate2_[0] != null)
{
leg = (CmsLeg)leg.withCaps(cappedRate2_);
}
if (flooredRate2_[0] != null)
{
leg = (CmsLeg)leg.withFloors(flooredRate2_);
}
legs_[1] = leg;
}
if (cmsspread1 != null)
{
CmsSpreadLeg leg = new CmsSpreadLeg(schedule1_, cmsspread1);
leg = (CmsSpreadLeg)leg.withPaymentDayCounter(dayCount1_)
.withSpreads(spread1_)
.withGearings(gearing1_)
.withNotionals(nominal1_)
.withPaymentAdjustment(paymentConvention1_);
if (cappedRate1_[0] != null)
{
leg = (CmsSpreadLeg)leg.withCaps(cappedRate1_);
}
if (flooredRate1_[0] != null)
{
leg = (CmsSpreadLeg)leg.withFloors(flooredRate1_);
}
legs_[0] = leg;
}
if (cmsspread2 != null)
{
CmsSpreadLeg leg = new CmsSpreadLeg(schedule2_, cmsspread2);
leg = (CmsSpreadLeg)leg.withPaymentDayCounter(dayCount2_)
.withSpreads(spread2_)
.withGearings(gearing2_)
.withNotionals(nominal2_)
.withPaymentAdjustment(paymentConvention2_);
if (cappedRate2_[0] != null)
{
leg = (CmsSpreadLeg)leg.withCaps(cappedRate2_);
}
if (flooredRate2_[0] != null)
{
leg = (CmsSpreadLeg)leg.withFloors(flooredRate2_);
}
legs_[1] = leg;
}
if (intermediateCapitalExchange_)
{
for (int i = 0; i < legs_[0].Count - 1; i++)
{
double cap = nominal1_[i] - nominal1_[i + 1];
if (!Utils.close(cap, 0.0))
{
legs_[0].Insert(i + 1, new Redemption(cap, legs_[0][i].date()));
nominal1_.Insert(i + 1, nominal1_[i]);
i++;
}
}
for (int i = 0; i < legs_[1].Count - 1; i++)
{
double cap = nominal2_[i] - nominal2_[i + 1];
if (!Utils.close(cap, 0.0))
{
legs_[1].Insert(i + 1, new Redemption(cap, legs_[1][i].date()));
nominal2_.Insert(i + 1, nominal2_[i]);
i++;
}
}
}
if (finalCapitalExchange_)
{
legs_[0].Add(new Redemption(nominal1_.Last(), legs_[0].Last().date()));
nominal1_.Add(nominal1_.Last());
legs_[1].Add(new Redemption(nominal2_.Last(), legs_[1].Last().date()));
nominal2_.Add(nominal2_.Last());
}
foreach (var c in legs_[0])
{
c.registerWith(update);
}
foreach (var c in legs_[1])
{
c.registerWith(update);
}
switch (type_)
{
case VanillaSwap.Type.Payer:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
case VanillaSwap.Type.Receiver:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
default:
Utils.QL_FAIL("Unknown float float - swap type");
break;
}
}