public AmortizingFloatingRateBond(int settlementDays,
List <double> notionals,
Schedule schedule,
IborIndex index,
DayCounter accrualDayCounter,
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)
{
if (gearings == null)
{
gearings = new List <double>()
{
1, 1.0
}
}
;
if (spreads == null)
{
spreads = new List <double>()
{
1, 0.0
}
}
;
if (caps == null)
{
caps = new List <double?>();
}
if (floors == null)
{
floors = new List <double?>();
}
maturityDate_ = schedule.endDate();
cashflows_ = new IborLeg(schedule, index)
.withCaps(caps)
.withFloors(floors)
.inArrears(inArrears)
.withSpreads(spreads)
.withGearings(gearings)
.withFixingDays(fixingDays)
.withPaymentDayCounter(accrualDayCounter)
.withPaymentAdjustment(paymentConvention)
.withNotionals(notionals).value();
addRedemptionsToCashflows();
Utils.QL_REQUIRE(!cashflows().empty(), () => "bond with no cashflows!");
index.registerWith(update);
}
}
}
public FloatingLoan(Type type, double nominal,
Schedule floatingSchedule, double floatingSpread, DayCounter floatingDayCount,
Schedule principalSchedule, BusinessDayConvention?paymentConvention, IborIndex index) :
base(2)
{
type_ = type;
nominal_ = nominal;
floatingSchedule_ = floatingSchedule;
floatingSpread_ = floatingSpread;
floatingDayCount_ = floatingDayCount;
principalSchedule_ = principalSchedule;
iborIndex_ = index;
if (paymentConvention.HasValue)
{
paymentConvention_ = paymentConvention.Value;
}
else
{
paymentConvention_ = floatingSchedule_.businessDayConvention();
}
List <CashFlow> principalLeg = new PricipalLeg(principalSchedule, floatingDayCount)
.withNotionals(nominal)
.withPaymentAdjustment(paymentConvention_)
.withSign(type == Type.Loan ? -1 : 1);
// temporary
for (int i = 0; i < principalLeg.Count - 1; i++)
{
Principal p = (Principal)principalLeg[i];
notionals_.Add(p.nominal());
}
List <CashFlow> floatingLeg = new IborLeg(floatingSchedule, iborIndex_)
.withPaymentDayCounter(floatingDayCount_)
.withSpreads(floatingSpread_)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(notionals_);
legs_[0] = floatingLeg;
legs_[1] = principalLeg;
if (type_ == Type.Loan)
{
payer_[0] = -1;
payer_[1] = +1;
}
else
{
payer_[0] = +1;
payer_[1] = -1;
}
}
public BasisSwap(Type type, double nominal,
Schedule float1Schedule, IborIndex iborIndex1, double spread1, DayCounter float1DayCount,
Schedule float2Schedule, IborIndex iborIndex2, double spread2, DayCounter float2DayCount,
BusinessDayConvention?paymentConvention) :
base(2)
{
type_ = type;
nominal_ = nominal;
floating1Schedule_ = float1Schedule;
spread1_ = spread1;
floating1DayCount_ = float1DayCount;
iborIndex1_ = iborIndex1;
floating2Schedule_ = float2Schedule;
spread2_ = spread2;
floating2DayCount_ = float2DayCount;
iborIndex2_ = iborIndex2;
if (paymentConvention.HasValue)
{
paymentConvention_ = paymentConvention.Value;
}
else
{
paymentConvention_ = floating1Schedule_.businessDayConvention();
}
List <CashFlow> floating1Leg = new IborLeg(float1Schedule, iborIndex1)
.withPaymentDayCounter(float1DayCount)
.withSpreads(spread1)
.withNotionals(nominal)
.withPaymentAdjustment(paymentConvention_);
List <CashFlow> floating2Leg = new IborLeg(float2Schedule, iborIndex2)
.withPaymentDayCounter(float2DayCount)
.withSpreads(spread2)
.withNotionals(nominal)
.withPaymentAdjustment(paymentConvention_);
foreach (var cf in floating1Leg)
{
cf.registerWith(update);
}
foreach (var cf in floating2Leg)
{
cf.registerWith(update);
}
legs_[0] = floating1Leg;
legs_[1] = floating2Leg;
if (type_ == Type.Payer)
{
payer_[0] = -1;
payer_[1] = +1;
longNo_ = 1;
longSpread_ = spread2;
shortNo_ = 0;
shortSpread_ = spread1;
}
else
{
payer_[0] = +1;
payer_[1] = -1;
longNo_ = 0;
longSpread_ = spread1;
shortNo_ = 1;
shortSpread_ = spread2;
}
}
public LiborForwardModelProcess(int size, IborIndex index)
: this(size, index, new EulerDiscretization())
{
}
public AssetSwap(bool parAssetSwap,
Bond bond,
double bondCleanPrice,
double nonParRepayment,
double gearing,
IborIndex iborIndex,
double spread = 0.0,
DayCounter floatingDayCount = null,
Date dealMaturity = null,
bool payBondCoupon = false)
: base(2)
{
bond_ = bond;
bondCleanPrice_ = bondCleanPrice;
nonParRepayment_ = nonParRepayment;
spread_ = spread;
parSwap_ = parAssetSwap;
Schedule tempSch = new Schedule(bond_.settlementDate(),
bond_.maturityDate(),
iborIndex.tenor(),
iborIndex.fixingCalendar(),
iborIndex.businessDayConvention(),
iborIndex.businessDayConvention(),
DateGeneration.Rule.Backward,
false); // endOfMonth
if (dealMaturity == null)
{
dealMaturity = bond_.maturityDate();
}
Utils.QL_REQUIRE(dealMaturity <= tempSch.dates().Last(), () =>
"deal maturity " + dealMaturity +
" cannot be later than (adjusted) bond maturity " +
tempSch.dates().Last());
Utils.QL_REQUIRE(dealMaturity > tempSch.dates()[0], () =>
"deal maturity " + dealMaturity +
" must be later than swap start date " +
tempSch.dates()[0]);
// the following might become an input parameter
BusinessDayConvention paymentAdjustment = BusinessDayConvention.Following;
Date finalDate = tempSch.calendar().adjust(dealMaturity, paymentAdjustment);
Schedule schedule = tempSch.until(finalDate);
// bondCleanPrice must be the (forward) clean price
// at the floating schedule start date
upfrontDate_ = schedule.startDate();
double dirtyPrice = bondCleanPrice_ +
bond_.accruedAmount(upfrontDate_);
double notional = bond_.notional(upfrontDate_);
/* In the market asset swap, the bond is purchased in return for
* payment of the full price. The notional of the floating leg is
* then scaled by the full price. */
if (!parSwap_)
{
notional *= dirtyPrice / 100.0;
}
if (floatingDayCount == null)
{
legs_[1] = new IborLeg(schedule, iborIndex)
.withSpreads(spread)
.withGearings(gearing)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment);
}
else
{
legs_[1] = new IborLeg(schedule, iborIndex)
.withSpreads(spread)
.withGearings(gearing)
.withPaymentDayCounter(floatingDayCount)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment);
}
foreach (CashFlow c in legs_[1])
{
c.registerWith(update);
}
List <CashFlow> bondLeg = bond_.cashflows();
// skip bond redemption
int i;
for (i = 0; i < bondLeg.Count && bondLeg[i].date() <= dealMaturity; ++i)
{
// whatever might be the choice for the discounting engine
// bond flows on upfrontDate_ must be discarded
bool upfrontDateBondFlows = false;
if (!bondLeg[i].hasOccurred(upfrontDate_, upfrontDateBondFlows))
{
legs_[0].Add(bondLeg[i]);
}
}
// if the first skipped cashflow is not the redemption
// and it is a coupon then add the accrued coupon
if (i < bondLeg.Count - 1)
{
Coupon c = bondLeg[i] as Coupon;
if (c != null)
{
CashFlow accruedCoupon = new SimpleCashFlow(c.accruedAmount(dealMaturity), finalDate);
legs_[0].Add(accruedCoupon);
}
}
// add the nonParRepayment_
CashFlow nonParRepaymentFlow = new SimpleCashFlow(nonParRepayment_, finalDate);
legs_[0].Add(nonParRepaymentFlow);
Utils.QL_REQUIRE(!legs_[0].empty(), () => "empty bond leg to start with");
// special flows
if (parSwap_)
{
// upfront on the floating leg
double upfront = (dirtyPrice - 100.0) / 100.0 * notional;
CashFlow upfrontCashFlow = new SimpleCashFlow(upfront, upfrontDate_);
legs_[1].Insert(0, upfrontCashFlow);
// backpayment on the floating leg
// (accounts for non-par redemption, if any)
double backPayment = notional;
CashFlow backPaymentCashFlow = new SimpleCashFlow(backPayment, finalDate);
legs_[1].Add(backPaymentCashFlow);
}
else
{
// final notional exchange
CashFlow finalCashFlow = new SimpleCashFlow(notional, finalDate);
legs_[1].Add(finalCashFlow);
}
Utils.QL_REQUIRE(!legs_[0].empty(), () => "empty bond leg");
foreach (CashFlow c in legs_[0])
{
c.registerWith(update);
}
if (payBondCoupon)
{
payer_[0] = -1.0;
payer_[1] = +1.0;
}
else
{
payer_[0] = +1.0;
payer_[1] = -1.0;
}
}
public AssetSwap(bool payBondCoupon,
Bond bond,
double bondCleanPrice,
IborIndex iborIndex,
double spread,
Schedule floatSchedule = null,
DayCounter floatingDayCount = null,
bool parAssetSwap = true)
: base(2)
{
bond_ = bond;
bondCleanPrice_ = bondCleanPrice;
nonParRepayment_ = 100;
spread_ = spread;
parSwap_ = parAssetSwap;
Schedule schedule = floatSchedule;
if (floatSchedule == null)
{
schedule = new Schedule(bond_.settlementDate(),
bond_.maturityDate(),
iborIndex.tenor(),
iborIndex.fixingCalendar(),
iborIndex.businessDayConvention(),
iborIndex.businessDayConvention(),
DateGeneration.Rule.Backward,
false); // endOfMonth
}
// the following might become an input parameter
BusinessDayConvention paymentAdjustment = BusinessDayConvention.Following;
Date finalDate = schedule.calendar().adjust(schedule.endDate(), paymentAdjustment);
Date adjBondMaturityDate = schedule.calendar().adjust(bond_.maturityDate(), paymentAdjustment);
Utils.QL_REQUIRE(finalDate == adjBondMaturityDate, () =>
"adjusted schedule end date (" +
finalDate +
") must be equal to adjusted bond maturity date (" +
adjBondMaturityDate + ")");
// bondCleanPrice must be the (forward) clean price
// at the floating schedule start date
upfrontDate_ = schedule.startDate();
double dirtyPrice = bondCleanPrice_ +
bond_.accruedAmount(upfrontDate_);
double notional = bond_.notional(upfrontDate_);
/* In the market asset swap, the bond is purchased in return for
* payment of the full price. The notional of the floating leg is
* then scaled by the full price. */
if (!parSwap_)
{
notional *= dirtyPrice / 100.0;
}
if (floatingDayCount == null)
{
legs_[1] = new IborLeg(schedule, iborIndex)
.withSpreads(spread)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment);
}
else
{
legs_[1] = new IborLeg(schedule, iborIndex)
.withSpreads(spread)
.withPaymentDayCounter(floatingDayCount)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment);
}
foreach (CashFlow c in legs_[1])
{
c.registerWith(update);
}
List <CashFlow> bondLeg = bond_.cashflows();
foreach (CashFlow c in bondLeg)
{
// whatever might be the choice for the discounting engine
// bond flows on upfrontDate_ must be discarded
bool upfrontDateBondFlows = false;
if (!(c.hasOccurred(upfrontDate_, upfrontDateBondFlows)))
{
legs_[0].Add(c);
}
}
Utils.QL_REQUIRE(!legs_[0].empty(), () => "empty bond leg to start with");
// special flows
if (parSwap_)
{
// upfront on the floating leg
double upfront = (dirtyPrice - 100.0) / 100.0 * notional;
CashFlow upfrontCashFlow = new SimpleCashFlow(upfront, upfrontDate_);
legs_[1].Insert(0, upfrontCashFlow);
// backpayment on the floating leg
// (accounts for non-par redemption, if any)
double backPayment = notional;
CashFlow backPaymentCashFlow = new SimpleCashFlow(backPayment, finalDate);
legs_[1].Add(backPaymentCashFlow);
}
else
{
// final notional exchange
CashFlow finalCashFlow = new SimpleCashFlow(notional, finalDate);
legs_[1].Add(finalCashFlow);
}
Utils.QL_REQUIRE(!legs_[0].empty(), () => "empty bond leg");
foreach (CashFlow c in legs_[0])
{
c.registerWith(update);
}
if (payBondCoupon)
{
payer_[0] = -1.0;
payer_[1] = +1.0;
}
else
{
payer_[0] = +1.0;
payer_[1] = -1.0;
}
}
public CPISwap(Type type,
double nominal,
bool subtractInflationNominal,
// float+spread leg
double spread,
DayCounter floatDayCount,
Schedule floatSchedule,
BusinessDayConvention floatPaymentRoll,
int fixingDays,
IborIndex floatIndex,
// fixed x inflation leg
double fixedRate,
double baseCPI,
DayCounter fixedDayCount,
Schedule fixedSchedule,
BusinessDayConvention fixedPaymentRoll,
Period observationLag,
ZeroInflationIndex fixedIndex,
InterpolationType observationInterpolation = InterpolationType.AsIndex,
double?inflationNominal = null)
: base(2)
{
type_ = type;
nominal_ = nominal;
subtractInflationNominal_ = subtractInflationNominal;
spread_ = spread;
floatDayCount_ = floatDayCount;
floatSchedule_ = floatSchedule;
floatPaymentRoll_ = floatPaymentRoll;
fixingDays_ = fixingDays;
floatIndex_ = floatIndex;
fixedRate_ = fixedRate;
baseCPI_ = baseCPI;
fixedDayCount_ = fixedDayCount;
fixedSchedule_ = fixedSchedule;
fixedPaymentRoll_ = fixedPaymentRoll;
fixedIndex_ = fixedIndex;
observationLag_ = observationLag;
observationInterpolation_ = observationInterpolation;
Utils.QL_REQUIRE(floatSchedule_.Count > 0, () => "empty float schedule");
Utils.QL_REQUIRE(fixedSchedule_.Count > 0, () => "empty fixed schedule");
// todo if roll!=unadjusted then need calendars ...
inflationNominal_ = inflationNominal ?? nominal_;
List <CashFlow> floatingLeg;
if (floatSchedule_.Count > 1)
{
floatingLeg = new IborLeg(floatSchedule_, floatIndex_)
.withFixingDays(fixingDays_)
.withPaymentDayCounter(floatDayCount_)
.withSpreads(spread_)
.withNotionals(nominal_)
.withPaymentAdjustment(floatPaymentRoll_);
}
else
{
floatingLeg = new List <CashFlow>();
}
if (floatSchedule_.Count == 1 ||
!subtractInflationNominal_ ||
(subtractInflationNominal && Math.Abs(nominal_ - inflationNominal_) > 0.00001)
)
{
Date payNotional;
if (floatSchedule_.Count == 1)
{
// no coupons
payNotional = floatSchedule_[0];
payNotional = floatSchedule_.calendar().adjust(payNotional, floatPaymentRoll_);
}
else
{
// use the pay date of the last coupon
payNotional = floatingLeg.Last().date();
}
double floatAmount = subtractInflationNominal_ ? nominal_ - inflationNominal_ : nominal_;
CashFlow nf = new SimpleCashFlow(floatAmount, payNotional);
floatingLeg.Add(nf);
}
// a CPIleg know about zero legs and inclusion of base inflation notional
List <CashFlow> cpiLeg = new CPILeg(fixedSchedule_, fixedIndex_, baseCPI_, observationLag_)
.withFixedRates(fixedRate_)
.withPaymentDayCounter(fixedDayCount_)
.withObservationInterpolation(observationInterpolation_)
.withSubtractInflationNominal(subtractInflationNominal_)
.withNotionals(inflationNominal_)
.withPaymentAdjustment(fixedPaymentRoll_);
foreach (CashFlow cashFlow in cpiLeg)
{
cashFlow.registerWith(update);
}
if (floatingLeg.Count > 0)
{
foreach (CashFlow cashFlow in floatingLeg)
{
cashFlow.registerWith(update);
}
}
legs_[0] = cpiLeg;
legs_[1] = floatingLeg;
if (type_ == Type.Payer)
{
payer_[0] = 1.0;
payer_[1] = -1.0;
}
else
{
payer_[0] = -1.0;
payer_[1] = 1.0;
}
}
// calculating swaption volatility matrix using
// Rebonatos approx. formula. Be aware that this
// matrix is valid only for regular fixings and
// assumes that the fix and floating leg have the
// same frequency
public SwaptionVolatilityMatrix getSwaptionVolatilityMatrix()
{
if (swaptionVola != null)
{
return(swaptionVola);
}
IborIndex index = process_.index();
Date today = process_.fixingDates()[0];
int size = process_.size() / 2;
Matrix volatilities = new Matrix(size, size);
List <Date> exercises = new InitializedList <Date>(size);
for (int i = 0; i < size; ++i)
{
exercises[i] = process_.fixingDates()[i + 1];
}
List <Period> lengths = new InitializedList <Period>(size);
for (int i = 0; i < size; ++i)
{
lengths[i] = (i + 1) * index.tenor();
}
Vector f = process_.initialValues();
for (int k = 0; k < size; ++k)
{
int alpha = k;
double t_alpha = process_.fixingTimes()[alpha + 1];
Matrix var = new Matrix(size, size);
for (int i = alpha + 1; i <= k + size; ++i)
{
for (int j = i; j <= k + size; ++j)
{
var[i - alpha - 1, j - alpha - 1] = var[j - alpha - 1, i - alpha - 1] =
covarProxy_.integratedCovariance(i, j, t_alpha, null);
}
}
for (int l = 1; l <= size; ++l)
{
int beta = l + k;
Vector w = w_0(alpha, beta);
double sum = 0.0;
for (int i = alpha + 1; i <= beta; ++i)
{
for (int j = alpha + 1; j <= beta; ++j)
{
sum += w[i] * w[j] * f[i] * f[j] * var[i - alpha - 1, j - alpha - 1];
}
}
volatilities[k, l - 1] =
Math.Sqrt(sum / t_alpha) / S_0(alpha, beta);
}
}
return(swaptionVola = new SwaptionVolatilityMatrix(today, exercises, lengths,
volatilities, index.dayCounter()));
}
public FloatingCatBond(int settlementDays,
double faceAmount,
Date startDate,
Date maturityDate,
Frequency couponFrequency,
Calendar calendar,
IborIndex iborIndex,
DayCounter accrualDayCounter,
NotionalRisk notionalRisk,
BusinessDayConvention accrualConvention = BusinessDayConvention.Following,
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,
double redemption = 100.0,
Date issueDate = null,
Date stubDate = null,
DateGeneration.Rule rule = DateGeneration.Rule.Backward,
bool endOfMonth = false)
: base(settlementDays, calendar, issueDate, notionalRisk)
{
maturityDate_ = maturityDate;
Date firstDate = null, nextToLastDate = null;
switch (rule)
{
case DateGeneration.Rule.Backward:
firstDate = new Date();
nextToLastDate = stubDate;
break;
case DateGeneration.Rule.Forward:
firstDate = stubDate;
nextToLastDate = new Date();
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.ThirdWednesday:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
Utils.QL_FAIL("stub date (" + stubDate + ") not allowed with " +
rule + " DateGeneration.Rule");
break;
default:
Utils.QL_FAIL("unknown DateGeneration::Rule (" + rule + ")");
break;
}
Schedule schedule = new Schedule(startDate, maturityDate_, new Period(couponFrequency),
calendar_, accrualConvention, accrualConvention,
rule, endOfMonth, firstDate, nextToLastDate);
cashflows_ = new IborLeg(schedule, iborIndex)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.withCaps(caps)
.withFloors(floors)
.inArrears(inArrears)
.withPaymentDayCounter(accrualDayCounter)
.withPaymentAdjustment(paymentConvention)
.withNotionals(faceAmount);
addRedemptionsToCashflows(new InitializedList <double>(1, redemption));
Utils.QL_REQUIRE(!cashflows().empty(), () => "bond with no cashflows!");
Utils.QL_REQUIRE(redemptions_.Count == 1, () => "multiple redemptions created");
iborIndex.registerWith(update);
}
public BMASwap(Type type, double nominal,
// Libor leg
Schedule liborSchedule, double liborFraction, double liborSpread, IborIndex liborIndex, DayCounter liborDayCount,
// BMA leg
Schedule bmaSchedule, BMAIndex bmaIndex, DayCounter bmaDayCount)
: base(2)
{
type_ = type;
nominal_ = nominal;
liborFraction_ = liborFraction;
liborSpread_ = liborSpread;
BusinessDayConvention convention = liborSchedule.businessDayConvention();
legs_[0] = new IborLeg(liborSchedule, liborIndex)
.withPaymentDayCounter(liborDayCount)
.withFixingDays(liborIndex.fixingDays())
.withGearings(liborFraction)
.withSpreads(liborSpread)
.withNotionals(nominal)
.withPaymentAdjustment(convention);
legs_[1] = new AverageBMALeg(bmaSchedule, bmaIndex)
.withPaymentDayCounter(bmaDayCount)
.withNotionals(nominal)
.withPaymentAdjustment(bmaSchedule.businessDayConvention());
for (int j = 0; j < 2; ++j)
{
for (int i = 0; i < legs_[j].Count; i++)
{
legs_[j][i].registerWith(update);
}
}
switch (type_)
{
case Type.Payer:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
case Type.Receiver:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
default:
Utils.QL_FAIL("Unknown BMA-swap type");
break;
}
}
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;
}
}
public FloatingRateBond(int settlementDays, double faceAmount, Schedule schedule, IborIndex index, DayCounter paymentDayCounter,
BusinessDayConvention paymentConvention, int fixingDays, List <double> gearings, List <double> spreads,
List <double?> caps, List <double?> floors, bool inArrears, double redemption, Date issueDate)
: base(settlementDays, schedule.calendar(), issueDate)
{
maturityDate_ = schedule.endDate();
cashflows_ = new IborLeg(schedule, index)
.withPaymentDayCounter(paymentDayCounter)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.withCaps(caps)
.withFloors(floors)
.inArrears(inArrears)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List <double>()
{
redemption
});
Utils.QL_REQUIRE(cashflows().Count != 0, () => "bond with no cashflows!");
Utils.QL_REQUIRE(redemptions_.Count == 1, () => "multiple redemptions created");
index.registerWith(update);
}
public FloatingRateBond(int settlementDays, double faceAmount, Schedule schedule, IborIndex index,
DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, int fixingDays,
List <double> gearings, List <double> spreads)
: this(settlementDays, faceAmount, schedule, index, paymentDayCounter, BusinessDayConvention.Following,
fixingDays, gearings, spreads, new List <double?>(), new List <double?>(), false, 100, null)
{
}
public FloatingRateBond(int settlementDays, double faceAmount, Schedule schedule, IborIndex index,
DayCounter paymentDayCounter)
: this(settlementDays, faceAmount, schedule, index, paymentDayCounter, BusinessDayConvention.Following,
0, new List <double>() { 1 }, new List <double>() { 0 }, new List <double?>(), new List <double?>(),
false, 100, null)
{
}
public override void calculate()
{
/* both DTS, YTS ref dates and pricing date consistency
* checks? settlement... */
Utils.QL_REQUIRE(!discountCurve_.empty(), () => "no discount term structure set");
Utils.QL_REQUIRE(!defaultTS_.empty(), () => "no ctpty default term structure set");
Utils.QL_REQUIRE(!swaptionletEngine_.empty(), () => "no swap option engine set");
Date priceDate = defaultTS_.link.referenceDate();
double cumOptVal = 0.0, cumPutVal = 0.0;
// Vanilla swap so 0 leg is floater
int index = 0;
Date nextFD = arguments_.fixedPayDates[index];
Date swapletStart = priceDate;
while (nextFD < priceDate)
{
index++;
nextFD = arguments_.fixedPayDates[index];
}
// Compute fair spread for strike value:
// copy args into the non risky engine
Swap.Arguments noCVAArgs = baseSwapEngine_.link.getArguments() as Swap.Arguments;
noCVAArgs.legs = this.arguments_.legs;
noCVAArgs.payer = this.arguments_.payer;
baseSwapEngine_.link.calculate();
double baseSwapRate = ((FixedRateCoupon)arguments_.legs[0][0]).rate();
Swap.Results vSResults = baseSwapEngine_.link.getResults() as Swap.Results;
double?baseSwapFairRate = -baseSwapRate * vSResults.legNPV[1] / vSResults.legNPV[0];
double?baseSwapNPV = vSResults.value;
VanillaSwap.Type reversedType = arguments_.type == VanillaSwap.Type.Payer
? VanillaSwap.Type.Receiver
: VanillaSwap.Type.Payer;
// Swaplet options summatory:
while (nextFD != arguments_.fixedPayDates.Last())
{
// iFD coupon not fixed, create swaptionlet:
IborIndex swapIndex = ((FloatingRateCoupon)arguments_.legs[1][0]).index() as IborIndex;
// Alternatively one could cap this period to, say, 1M
Period baseSwapsTenor = new Period(arguments_.fixedPayDates.Last().serialNumber()
- swapletStart.serialNumber(), TimeUnit.Days);
VanillaSwap swaplet = new MakeVanillaSwap(baseSwapsTenor, swapIndex, baseSwapFairRate)
.withType(arguments_.type)
.withNominal(arguments_.nominal)
.withEffectiveDate(swapletStart)
.withTerminationDate(arguments_.fixedPayDates.Last()).value();
VanillaSwap revSwaplet = new MakeVanillaSwap(baseSwapsTenor, swapIndex, baseSwapFairRate)
.withType(reversedType)
.withNominal(arguments_.nominal)
.withEffectiveDate(swapletStart)
.withTerminationDate(arguments_.fixedPayDates.Last()).value();
Swaption swaptionlet = new Swaption(swaplet, new EuropeanExercise(swapletStart));
Swaption putSwaplet = new Swaption(revSwaplet, new EuropeanExercise(swapletStart));
swaptionlet.setPricingEngine(swaptionletEngine_.currentLink());
putSwaplet.setPricingEngine(swaptionletEngine_.currentLink());
// atm underlying swap means that the value of put = value
// call so this double pricing is not needed
cumOptVal += swaptionlet.NPV() * defaultTS_.link.defaultProbability(
swapletStart, nextFD);
cumPutVal += putSwaplet.NPV() * invstDTS_.link.defaultProbability(swapletStart, nextFD);
swapletStart = nextFD;
index++;
nextFD = arguments_.fixedPayDates[index];
}
results_.value = baseSwapNPV - (1.0 - ctptyRecoveryRate_) * cumOptVal + (1.0 - invstRecoveryRate_) * cumPutVal;
results_.fairRate = -baseSwapRate * (vSResults.legNPV[1] - (1.0 - ctptyRecoveryRate_) * cumOptVal +
(1.0 - invstRecoveryRate_) * cumPutVal) / vSResults.legNPV[0];
}