private List <Date> getListOfPeriodDatesIncludingQuasiPayments(Schedule schedule)
{
// Process the schedule into an array of dates.
Date issueDate = schedule.date(0);
Date firstCoupon = schedule.date(1);
Date notionalCoupon =
schedule.calendar().advance(firstCoupon,
-schedule.tenor(),
schedule.businessDayConvention(),
schedule.endOfMonth());
List <Date> newDates = schedule.dates();
newDates[0] = notionalCoupon;
//long first coupon
if (notionalCoupon > issueDate)
{
Date priorNotionalCoupon =
schedule.calendar().advance(notionalCoupon,
-schedule.tenor(),
schedule.businessDayConvention(),
schedule.endOfMonth());
newDates.Insert(0, priorNotionalCoupon);
}
return(newDates);
}
private List <Date> getListOfPeriodDatesIncludingQuasiPayments(Schedule schedule)
{
// Process the schedule into an array of dates.
Date issueDate = schedule.date(0);
Date firstCoupon = schedule.date(1);
Date notionalFirstCoupon =
schedule.calendar().advance(firstCoupon,
-schedule.tenor(),
schedule.businessDayConvention(),
schedule.endOfMonth());
List <Date> newDates = schedule.dates().ToList();
newDates[0] = notionalFirstCoupon;
// The handling of the last coupon is is needed for odd final periods
var notionalLastCoupon =
schedule.calendar().advance(
schedule.date(schedule.Count - 2),
schedule.tenor(),
schedule.businessDayConvention(),
schedule.endOfMonth());
newDates[schedule.Count - 1] = notionalLastCoupon;
//long first coupon
if (notionalFirstCoupon > issueDate)
{
Date priorNotionalCoupon =
schedule.calendar().advance(notionalFirstCoupon,
-schedule.tenor(),
schedule.businessDayConvention(),
schedule.endOfMonth());
newDates.Insert(0, priorNotionalCoupon);
}
// long last coupon
if (notionalLastCoupon < schedule.endDate())
{
Date nextNotionalCoupon =
schedule.calendar().advance(
notionalLastCoupon,
schedule.tenor(),
schedule.businessDayConvention(),
schedule.endOfMonth());
newDates.Add(nextNotionalCoupon);
}
return(newDates);
}
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 });
if (cashflows().Count == 0)
throw new ApplicationException("bond with no cashflows!");
if (redemptions_.Count != 1)
throw new ApplicationException("multiple redemptions created");
index.registerWith(update);
}
protected ConvertibleBond( Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle<Quote> creditSpread,
Date issueDate,
int settlementDays,
Schedule schedule,
double redemption)
: base(settlementDays, schedule.calendar(), issueDate)
{
conversionRatio_ = conversionRatio;
callability_ = callability;
dividends_ = dividends;
creditSpread_ = creditSpread;
maturityDate_ = schedule.endDate();
if (!callability.empty())
{
Utils.QL_REQUIRE( callability.Last().date() <= maturityDate_, () =>
"last callability date ("
+ callability.Last().date()
+ ") later than maturity ("
+ maturityDate_.ToShortDateString() + ")");
}
creditSpread.registerWith(update);
}
//! fixed-rate bond
/*! \ingroup instruments
*
* \test calculations are tested by checking results against
* cached values.
*/
//! simple annual compounding coupon rates
public FixedRateBond(int settlementDays, double faceAmount, Schedule schedule, List <double> coupons,
DayCounter accrualDayCounter, BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
double redemption = 100, Date issueDate = null, Calendar paymentCalendar = null,
Period exCouponPeriod = null,
Calendar exCouponCalendar = null,
BusinessDayConvention exCouponConvention = BusinessDayConvention.Unadjusted,
bool exCouponEndOfMonth = false)
: base(settlementDays, paymentCalendar ?? schedule.calendar(),
issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
maturityDate_ = schedule.endDate();
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth)
.withPaymentCalendar(calendar_)
.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");
}
protected CallableBond(int settlementDays,
Schedule schedule,
DayCounter paymentDayCounter,
Date issueDate = null,
CallabilitySchedule putCallSchedule = null)
: base(settlementDays, schedule.calendar(), issueDate)
{
if (putCallSchedule == null)
{
putCallSchedule = new CallabilitySchedule();
}
paymentDayCounter_ = paymentDayCounter;
putCallSchedule_ = putCallSchedule;
maturityDate_ = schedule.dates().Last();
if (!putCallSchedule_.empty())
{
Date finalOptionDate = Date.minDate();
for (int i = 0; i < putCallSchedule_.Count; ++i)
{
finalOptionDate = Date.Max(finalOptionDate,
putCallSchedule_[i].date());
}
Utils.QL_REQUIRE(finalOptionDate <= maturityDate_, () => "Bond cannot mature before last call/put date");
}
// derived classes must set cashflows_ and frequency_
}
public AmortizingFixedRateBond(
int settlementDays,
List<double> notionals,
Schedule schedule,
List<double> coupons,
DayCounter accrualDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
Date issueDate = null)
:base(settlementDays, schedule.calendar(), issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
schedule_ = schedule;
maturityDate_ = schedule.endDate();
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withNotionals(notionals)
.withPaymentAdjustment(paymentConvention).value();
addRedemptionsToCashflows();
if ( cashflows().empty())
throw new ApplicationException("bond with no cashflows!");
}
protected ConvertibleBond(Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle <Quote> creditSpread,
Date issueDate,
int settlementDays,
Schedule schedule,
double redemption)
: base(settlementDays, schedule.calendar(), issueDate)
{
conversionRatio_ = conversionRatio;
callability_ = callability;
dividends_ = dividends;
creditSpread_ = creditSpread;
maturityDate_ = schedule.endDate();
if (!callability.empty())
{
Utils.QL_REQUIRE(callability.Last().date() <= maturityDate_, () =>
"last callability date ("
+ callability.Last().date()
+ ") later than maturity ("
+ maturityDate_.ToShortDateString() + ")");
}
creditSpread.registerWith(update);
}
//! simple annual compounding coupon rates
public FixedRateBond(int settlementDays, double faceAmount, Schedule schedule, List <double> coupons,
DayCounter accrualDayCounter, BusinessDayConvention paymentConvention,
double redemption, Date issueDate, Calendar paymentCalendar)
: base(settlementDays, paymentCalendar == new Calendar() ? schedule.calendar() : paymentCalendar,
issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
maturityDate_ = schedule.endDate();
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withPaymentCalendar(calendar_)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List <double>()
{
redemption
});
if (cashflows().Count == 0)
{
throw new ApplicationException("bond with no cashflows!");
}
if (redemptions_.Count != 1)
{
throw new ApplicationException("multiple redemptions created");
}
}
public AmortizingFixedRateBond(
int settlementDays,
List <double> notionals,
Schedule schedule,
List <double> coupons,
DayCounter accrualDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
Date issueDate = null)
: base(settlementDays, schedule.calendar(), issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
schedule_ = schedule;
maturityDate_ = schedule.endDate();
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withNotionals(notionals)
.withPaymentAdjustment(paymentConvention).value();
addRedemptionsToCashflows();
if (cashflows().empty())
{
throw new ApplicationException("bond with no cashflows!");
}
}
//! fixed-rate bond
/*! \ingroup instruments
\test calculations are tested by checking results against
cached values.
*/
//! simple annual compounding coupon rates
public FixedRateBond(int settlementDays, double faceAmount, Schedule schedule,List<double> coupons,
DayCounter accrualDayCounter, BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
double redemption = 100, Date issueDate = null,Calendar paymentCalendar = null,
Period exCouponPeriod = null,
Calendar exCouponCalendar = null,
BusinessDayConvention exCouponConvention = BusinessDayConvention.Unadjusted,
bool exCouponEndOfMonth = false)
: base(settlementDays, paymentCalendar == null ? schedule.calendar() : paymentCalendar,
issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
maturityDate_ = schedule.endDate();
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth)
.withPaymentCalendar(calendar_)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List<double>() { redemption });
if (cashflows().Count == 0)
throw new ApplicationException("bond with no cashflows!");
if (redemptions_.Count != 1)
throw new ApplicationException("multiple redemptions created");
}
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
});
if (cashflows().Count == 0)
{
throw new Exception("bond with no cashflows!");
}
if (redemptions_.Count != 1)
{
throw new Exception("multiple redemptions created");
}
index.registerWith(update);
}
/// <summary>
/// CDS quoted as running-spread only
/// </summary>
/// <param name="side">Whether the protection is bought or sold.</param>
/// <param name="notional">Notional value</param>
/// <param name="spread">Running spread in fractional units.</param>
/// <param name="schedule">Coupon schedule.</param>
/// <param name="convention">Business-day convention for payment-date adjustment.</param>
/// <param name="dayCounter">Day-count convention for accrual.</param>
/// <param name="settlesAccrual">Whether or not the accrued coupon is due in the event of a default.</param>
/// <param name="paysAtDefaultTime">If set to true, any payments triggered by a default event are
/// due at default time. If set to false, they are due at the end of the accrual period.</param>
/// <param name="protectionStart">The first date where a default event will trigger the contract.</param>
/// <param name="claim"></param>
/// <param name="lastPeriodDayCounter">Day-count convention for accrual in last period</param>
/// <param name="rebatesAccrual">The protection seller pays the accrued scheduled current coupon at the start
/// of the contract. The rebate date is not provided but computed to be two days after protection start.</param>
public CreditDefaultSwap(Protection.Side side,
double notional,
double spread,
Schedule schedule,
BusinessDayConvention convention,
DayCounter dayCounter,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
Date protectionStart = null,
Claim claim = null,
DayCounter lastPeriodDayCounter = null,
bool rebatesAccrual = true)
{
side_ = side;
notional_ = notional;
upfront_ = null;
runningSpread_ = spread;
settlesAccrual_ = settlesAccrual;
paysAtDefaultTime_ = paysAtDefaultTime;
claim_ = claim;
protectionStart_ = protectionStart ?? schedule[0];
Utils.QL_REQUIRE(protectionStart_ <= schedule[0] ||
schedule.rule() == DateGeneration.Rule.CDS ||
schedule.rule() == DateGeneration.Rule.CDS2015
, () => "protection can not start after accrual");
leg_ = new FixedRateLeg(schedule)
.withLastPeriodDayCounter(lastPeriodDayCounter)
.withCouponRates(spread, dayCounter)
.withNotionals(notional)
.withPaymentAdjustment(convention);
Date effectiveUpfrontDate = schedule.calendar().advance(protectionStart_, 2, TimeUnit.Days, convention);
// '2' is used above since the protection start is assumed to be on trade_date + 1
if (rebatesAccrual)
{
FixedRateCoupon firstCoupon = leg_[0] as FixedRateCoupon;
Date rebateDate = effectiveUpfrontDate;
accrualRebate_ = new SimpleCashFlow(firstCoupon.accruedAmount(protectionStart_), rebateDate);
}
upfrontPayment_ = new SimpleCashFlow(0.0, effectiveUpfrontDate);
if (claim_ == null)
{
claim_ = new FaceValueClaim();
}
claim_.registerWith(update);
maturity_ = schedule.dates().Last();
}
public CPIBond(int settlementDays,
double faceAmount,
bool growthOnly,
double baseCPI,
Period observationLag,
ZeroInflationIndex cpiIndex,
InterpolationType observationInterpolation,
Schedule schedule,
List <double> fixedRate,
DayCounter accrualDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.ModifiedFollowing,
Date issueDate = null,
Calendar paymentCalendar = null,
Period exCouponPeriod = null,
Calendar exCouponCalendar = null,
BusinessDayConvention exCouponConvention = BusinessDayConvention.Unadjusted,
bool exCouponEndOfMonth = false)
: base(settlementDays, paymentCalendar ?? schedule.calendar(), issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
growthOnly_ = growthOnly;
baseCPI_ = baseCPI;
observationLag_ = observationLag;
cpiIndex_ = cpiIndex;
observationInterpolation_ = observationInterpolation;
maturityDate_ = schedule.endDate();
// a CPIleg know about zero legs and inclusion of base inflation notional
cashflows_ = new CPILeg(schedule, cpiIndex_,
baseCPI_, observationLag_)
.withSubtractInflationNominal(growthOnly_)
.withObservationInterpolation(observationInterpolation_)
.withPaymentDayCounter(accrualDayCounter)
.withFixedRates(fixedRate)
.withPaymentCalendar(calendar_)
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
calculateNotionalsFromCashflows();
cpiIndex_.registerWith(update);
foreach (CashFlow i in cashflows_)
{
i.registerWith(update);
}
}
public static List <CashFlow> OvernightLeg(List <double> nominals,
Schedule schedule,
BusinessDayConvention paymentAdjustment,
OvernightIndex overnightIndex,
List <double> gearings,
List <double> spreads,
DayCounter paymentDayCounter
)
{
if (nominals.Count == 0)
{
throw new ArgumentException("no nominal given");
}
List <CashFlow> leg = new List <CashFlow>();
// the following is not always correct
Calendar calendar = schedule.calendar();
Date refStart, start, refEnd, end;
Date paymentDate;
int n = schedule.Count;
for (int i = 0; i < n - 1; ++i)
{
refStart = start = schedule.date(i);
refEnd = end = schedule.date(i + 1);
paymentDate = calendar.adjust(end, paymentAdjustment);
if (i == 0 && !schedule.isRegular(i + 1))
{
refStart = calendar.adjust(end - schedule.tenor(),
paymentAdjustment);
}
if (i == n - 1 && !schedule.isRegular(i + 1))
{
refEnd = calendar.adjust(start + schedule.tenor(),
paymentAdjustment);
}
leg.Add(new OvernightIndexedCoupon(paymentDate,
Utils.Get(nominals, i),
start, end,
overnightIndex,
Utils.Get(gearings, i, 1.0),
Utils.Get(spreads, i, 0.0),
refStart, refEnd,
paymentDayCounter));
}
return(leg);
}
public CPIBond(int settlementDays,
double faceAmount,
bool growthOnly,
double baseCPI,
Period observationLag,
ZeroInflationIndex cpiIndex,
InterpolationType observationInterpolation,
Schedule schedule,
List<double> fixedRate,
DayCounter accrualDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.ModifiedFollowing,
Date issueDate = null,
Calendar paymentCalendar = null,
Period exCouponPeriod = null,
Calendar exCouponCalendar = null,
BusinessDayConvention exCouponConvention = BusinessDayConvention.Unadjusted,
bool exCouponEndOfMonth = false)
:base(settlementDays, paymentCalendar == null ? schedule.calendar() : paymentCalendar, issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
growthOnly_ = growthOnly;
baseCPI_=baseCPI;
observationLag_ = observationLag;
cpiIndex_= cpiIndex;
observationInterpolation_ = observationInterpolation;
maturityDate_ = schedule.endDate();
// a CPIleg know about zero legs and inclusion of base inflation notional
cashflows_ = new CPILeg(schedule, cpiIndex_,
baseCPI_, observationLag_)
.withSubtractInflationNominal(growthOnly_)
.withObservationInterpolation(observationInterpolation_)
.withPaymentDayCounter(accrualDayCounter)
.withFixedRates(fixedRate)
.withPaymentCalendar(calendar_)
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
calculateNotionalsFromCashflows();
cpiIndex_.registerWith(update);
foreach ( CashFlow i in cashflows_)
i.registerWith(update);
}
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 FixedRateBond(int settlementDays,
double faceAmount,
Schedule schedule,
List <InterestRate> coupons,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
double redemption = 100,
Date issueDate = null,
Calendar paymentCalendar = null,
Period exCouponPeriod = null,
Calendar exCouponCalendar = null,
BusinessDayConvention exCouponConvention = BusinessDayConvention.Unadjusted,
bool exCouponEndOfMonth = false)
: base(settlementDays, paymentCalendar == null ? schedule.calendar() : paymentCalendar,
issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = coupons[0].dayCounter();
maturityDate_ = schedule.endDate();
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons)
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth)
.withPaymentCalendar(calendar_)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List <double>()
{
redemption
});
if (cashflows().Count == 0)
{
throw new ApplicationException("bond with no cashflows!");
}
if (redemptions_.Count != 1)
{
throw new ApplicationException("multiple redemptions created");
}
}
public CmsRateBond(int settlementDays,
double faceAmount,
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,
double redemption = 100.0,
Date issueDate = null)
: base(settlementDays, schedule.calendar(), issueDate)
{
// Optional value check
if ( gearings == null ) gearings = new List<double>(){1};
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(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List<double>() { redemption });
if (cashflows().Count == 0)
throw new ApplicationException("bond with no cashflows!");
if (redemptions_.Count != 1)
throw new ApplicationException("multiple redemptions created");
index.registerWith(update);
}
public CPILeg(Schedule schedule,
ZeroInflationIndex index,
double baseCPI,
Period observationLag)
{
schedule_ = schedule;
index_ = index;
baseCPI_ = baseCPI;
observationLag_ = observationLag;
paymentDayCounter_ = new Thirty360();
paymentAdjustment_ = BusinessDayConvention.ModifiedFollowing;
paymentCalendar_ = schedule.calendar();
fixingDays_ = new List <int>()
{
0
};
observationInterpolation_ = InterpolationType.AsIndex;
subtractInflationNominal_ = true;
spreads_ = new List <double>()
{
0
};
}
public FloatingCatBond(int settlementDays,
double faceAmount,
Schedule schedule,
IborIndex iborIndex,
DayCounter paymentDayCounter,
NotionalRisk notionalRisk,
BusinessDayConvention paymentConvention = QLNet.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)
: base(settlementDays, schedule.calendar(), issueDate, notionalRisk)
{
maturityDate_ = schedule.endDate();
cashflows_ = new IborLeg(schedule, iborIndex)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.withCaps(caps)
.withFloors(floors)
.inArrears(inArrears)
.withPaymentDayCounter(paymentDayCounter)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
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);
}
//! simple annual compounding coupon rates
public FixedRateBond(int settlementDays, double faceAmount, Schedule schedule,List<double> coupons,
DayCounter accrualDayCounter, BusinessDayConvention paymentConvention,
double redemption, Date issueDate,Calendar paymentCalendar)
: base(settlementDays, paymentCalendar == new Calendar() ? schedule.calendar() : paymentCalendar,
issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
maturityDate_ = schedule.endDate();
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withPaymentCalendar(calendar_)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List<double>() { redemption });
if (cashflows().Count == 0)
throw new ApplicationException("bond with no cashflows!");
if (redemptions_.Count != 1)
throw new ApplicationException("multiple redemptions created");
}
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 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;
}
}
/// <summary>
/// CDS quoted as upfront and running spread
/// </summary>
/// <param name="side">Whether the protection is bought or sold.</param>
/// <param name="notional"> Notional value</param>
/// <param name="upfront">Upfront in fractional units.</param>
/// <param name="runningSpread">Running spread in fractional units.</param>
/// <param name="schedule">Coupon schedule.</param>
/// <param name="convention">Business-day convention for payment-date adjustment.</param>
/// <param name="dayCounter">Day-count convention for accrual.</param>
/// <param name="settlesAccrual">Whether or not the accrued coupon is due in the event of a default.</param>
/// <param name="paysAtDefaultTime">If set to true, any payments triggered by a default event are
/// due at default time. If set to false, they are due at the end of the accrual period.</param>
/// <param name="protectionStart">The first date where a default event will trigger the contract.</param>
/// <param name="upfrontDate">Settlement date for the upfront payment.</param>
/// <param name="claim"></param>
/// <param name="lastPeriodDayCounter">Day-count convention for accrual in last period</param>
/// <param name="rebatesAccrual">The protection seller pays the accrued scheduled current coupon at the start
/// of the contract. The rebate date is not provided but computed to be two days after protection start.</param>
public CreditDefaultSwap(Protection.Side side,
double notional,
double upfront,
double runningSpread,
Schedule schedule,
BusinessDayConvention convention,
DayCounter dayCounter,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
Date protectionStart = null,
Date upfrontDate = null,
Claim claim = null,
DayCounter lastPeriodDayCounter = null,
bool rebatesAccrual = true)
{
side_ = side;
notional_ = notional;
upfront_ = upfront;
runningSpread_ = runningSpread;
settlesAccrual_ = settlesAccrual;
paysAtDefaultTime_ = paysAtDefaultTime;
claim_ = claim;
protectionStart_ = protectionStart ?? schedule[0];
Utils.QL_REQUIRE(protectionStart_ <= schedule[0] ||
schedule.rule() == DateGeneration.Rule.CDS
, () => "protection can not start after accrual");
leg_ = new FixedRateLeg(schedule)
.withLastPeriodDayCounter(lastPeriodDayCounter)
.withCouponRates(runningSpread, dayCounter)
.withNotionals(notional)
.withPaymentAdjustment(convention);
// If empty, adjust to T+3 standard settlement, alternatively add
// an arbitrary date to the constructor
Date effectiveUpfrontDate = upfrontDate == null?
schedule.calendar().advance(protectionStart_, 2, TimeUnit.Days, convention) : upfrontDate;
// '2' is used above since the protection start is assumed to be
// on trade_date + 1
upfrontPayment_ = new SimpleCashFlow(notional * upfront, effectiveUpfrontDate);
Utils.QL_REQUIRE(effectiveUpfrontDate >= protectionStart_, () => "upfront can not be due before contract start");
if (rebatesAccrual)
{
FixedRateCoupon firstCoupon = leg_[0] as FixedRateCoupon;
// adjust to T+3 standard settlement, alternatively add
// an arbitrary date to the constructor
Date rebateDate = effectiveUpfrontDate;
accrualRebate_ = new SimpleCashFlow(firstCoupon.accruedAmount(protectionStart_), rebateDate);
}
if (claim_ == null)
{
claim_ = new FaceValueClaim();
}
claim_.registerWith(update);
maturity_ = schedule.dates().Last();
}
public static List <CashFlow> yoyInflationLeg(List <double> notionals_,
Schedule schedule_,
BusinessDayConvention paymentAdjustment_,
YoYInflationIndex index_,
List <double> gearings_,
List <double> spreads_,
DayCounter paymentDayCounter_,
List <double> caps_,
List <double> floors_,
Calendar paymentCalendar_,
List <int> fixingDays_,
Period observationLag_)
{
int n = schedule_.Count - 1;
Utils.QL_REQUIRE(!notionals_.empty(), () => "no notional given");
Utils.QL_REQUIRE(notionals_.Count <= n, () => "too many nominals (" + notionals_.Count + "), only " + n + " required");
if (gearings_ != null)
{
Utils.QL_REQUIRE(gearings_.Count <= n, () => "too many gearings (" + gearings_.Count + "), only " + n + " required");
}
if (spreads_ != null)
{
Utils.QL_REQUIRE(spreads_.Count <= n, () => "too many spreads (" + spreads_.Count + "), only " + n + " required");
}
if (caps_ != null)
{
Utils.QL_REQUIRE(caps_.Count <= n, () => "too many caps (" + caps_.Count + "), only " + n + " required");
}
if (floors_ != null)
{
Utils.QL_REQUIRE(floors_.Count <= n, () => "too many floors (" + floors_.Count + "), only " + n + " required");
}
List <CashFlow> leg = new List <CashFlow>(n);
Calendar calendar = paymentCalendar_;
Date refStart, start, refEnd, end;
for (int i = 0; i < n; ++i)
{
refStart = start = schedule_.date(i);
refEnd = end = schedule_.date(i + 1);
Date paymentDate = calendar.adjust(end, paymentAdjustment_);
if (i == 0 && !schedule_.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule_.businessDayConvention();
refStart = schedule_.calendar().adjust(end - schedule_.tenor(), bdc);
}
if (i == n - 1 && !schedule_.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule_.businessDayConvention();
refEnd = schedule_.calendar().adjust(start + schedule_.tenor(), bdc);
}
if (Utils.Get(gearings_, i, 1.0).IsEqual(0.0))
{
// fixed coupon
leg.Add(new FixedRateCoupon(paymentDate, Utils.Get(notionals_, i, 1.0),
Utils.effectiveFixedRate(spreads_, caps_, floors_, i),
paymentDayCounter_,
start, end, refStart, refEnd));
}
else
{
// yoy inflation coupon
if (Utils.noOption(caps_, floors_, i))
{
// just swaplet
YoYInflationCoupon coup = new YoYInflationCoupon(paymentDate,
Utils.Get(notionals_, i, 1.0),
start, end,
Utils.Get(fixingDays_, i, 0),
index_,
observationLag_,
paymentDayCounter_,
Utils.Get(gearings_, i, 1.0),
Utils.Get(spreads_, i, 0.0),
refStart, refEnd);
// in this case you can set a pricer
// straight away because it only provides computation - not data
YoYInflationCouponPricer pricer = new YoYInflationCouponPricer();
coup.setPricer(pricer);
leg.Add(coup);
}
else
{
// cap/floorlet
leg.Add(new CappedFlooredYoYInflationCoupon(
paymentDate,
Utils.Get(notionals_, i, 1.0),
start, end,
Utils.Get(fixingDays_, i, 0),
index_,
observationLag_,
paymentDayCounter_,
Utils.Get(gearings_, i, 1.0),
Utils.Get(spreads_, i, 0.0),
Utils.toNullable(Utils.Get(caps_, i, Double.MinValue)),
Utils.toNullable(Utils.Get(floors_, i, Double.MinValue)),
refStart, refEnd));
}
}
}
return(leg);
}
// constructor
public FixedRateLeg(Schedule schedule)
{
schedule_ = schedule;
calendar_ = schedule.calendar();
paymentAdjustment_ = BusinessDayConvention.Following;
}
public void testDateConstructor()
{
// Testing the constructor taking a vector of dates and possibly additional meta information
List<Date> dates = new List<Date>();
dates.Add(new Date(16, Month.May, 2015));
dates.Add(new Date(18, Month.May, 2015));
dates.Add(new Date(18, Month.May, 2016));
dates.Add(new Date(31, Month.December, 2017));
// schedule without any additional information
Schedule schedule1 = new Schedule(dates);
if (schedule1.Count != dates.Count)
Assert.Fail("schedule1 has size {0}, expected {1}", schedule1.Count, dates.Count);
for (int i = 0; i < dates.Count; ++i)
if (schedule1[i] != dates[i])
Assert.Fail("schedule1 has {0} at position {1}, expected {2}", schedule1[i], i, dates[i]);
if (schedule1.calendar() != new NullCalendar())
Assert.Fail("schedule1 has calendar {0}, expected null calendar", schedule1.calendar().name());
if (schedule1.businessDayConvention() != BusinessDayConvention.Unadjusted)
Assert.Fail("schedule1 has convention {0}, expected unadjusted", schedule1.businessDayConvention());
// schedule with metadata
List<bool> regular = new List<bool>();
regular.Add(false);
regular.Add(true);
regular.Add(false);
Schedule schedule2 = new Schedule(dates, new TARGET(), BusinessDayConvention.Following, BusinessDayConvention.ModifiedPreceding, new Period(1, TimeUnit.Years),
DateGeneration.Rule.Backward, true, regular);
for (int i = 1; i < dates.Count; ++i)
if (schedule2.isRegular(i) != regular[i - 1])
Assert.Fail("schedule2 has a {0} period at position {1}, expected {2}", (schedule2.isRegular(i) ? "regular" : "irregular"), i, (regular[i - 1] ? "regular" : "irregular"));
if (schedule2.calendar() != new TARGET())
Assert.Fail("schedule1 has calendar {0}, expected TARGET", schedule2.calendar().name());
if (schedule2.businessDayConvention() != BusinessDayConvention.Following)
Assert.Fail("schedule2 has convention {0}, expected Following", schedule2.businessDayConvention());
if (schedule2.terminationDateBusinessDayConvention() != BusinessDayConvention.ModifiedPreceding)
Assert.Fail("schedule2 has convention {0}, expected Modified Preceding", schedule2.terminationDateBusinessDayConvention());
if (schedule2.tenor() != new Period(1, TimeUnit.Years))
Assert.Fail("schedule2 has tenor {0}, expected 1Y", schedule2.tenor());
if (schedule2.rule() != DateGeneration.Rule.Backward)
Assert.Fail("schedule2 has rule {0}, expected Backward", schedule2.rule());
if (schedule2.endOfMonth() != true)
Assert.Fail("schedule2 has end of month flag false, expected true");
}
// constructor
public FixedRateLeg(Schedule schedule)
{
schedule_ = schedule;
calendar_ = schedule.calendar();
paymentAdjustment_ = BusinessDayConvention.Following;
}
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;
}
}
public static List <CashFlow> FloatingDigitalLeg <InterestRateIndexType, FloatingCouponType, DigitalCouponType>(
List <double> nominals,
Schedule schedule,
InterestRateIndexType index,
DayCounter paymentDayCounter,
BusinessDayConvention paymentAdj,
List <int> fixingDays,
List <double> gearings,
List <double> spreads,
bool isInArrears,
List <double> callStrikes,
Position.Type callPosition,
bool isCallATMIncluded,
List <double> callDigitalPayoffs,
List <double> putStrikes,
Position.Type putPosition,
bool isPutATMIncluded,
List <double> putDigitalPayoffs,
DigitalReplication replication)
where InterestRateIndexType : InterestRateIndex, new()
where FloatingCouponType : FloatingRateCoupon, new()
where DigitalCouponType : DigitalCoupon, new()
{
int n = schedule.Count;
Utils.QL_REQUIRE(!nominals.empty(), () => "no notional given");
Utils.QL_REQUIRE(nominals.Count <= n, () => "too many nominals (" + nominals.Count + "), only " + n + " required");
if (gearings != null)
{
Utils.QL_REQUIRE(gearings.Count <= n, () => "too many gearings (" + gearings.Count + "), only " + n + " required");
}
if (spreads != null)
{
Utils.QL_REQUIRE(spreads.Count <= n, () => "too many spreads (" + spreads.Count + "), only " + n + " required");
}
if (callStrikes != null)
{
Utils.QL_REQUIRE(callStrikes.Count <= n, () => "too many nominals (" + callStrikes.Count + "), only " + n + " required");
}
if (putStrikes != null)
{
Utils.QL_REQUIRE(putStrikes.Count <= n, () => "too many nominals (" + putStrikes.Count + "), only " + n + " required");
}
List <CashFlow> leg = new List <CashFlow>();
// the following is not always correct
Calendar calendar = schedule.calendar();
Date refStart, start, refEnd, end;
Date paymentDate;
for (int i = 0; i < n; ++i)
{
refStart = start = schedule.date(i);
refEnd = end = schedule.date(i + 1);
paymentDate = calendar.adjust(end, paymentAdj);
if (i == 0 && !schedule.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule.businessDayConvention();
refStart = calendar.adjust(end - schedule.tenor(), bdc);
}
if (i == n - 1 && !schedule.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule.businessDayConvention();
refEnd = calendar.adjust(start + schedule.tenor(), bdc);
}
if (Utils.Get(gearings, i, 1.0).IsEqual(0.0))
{
// fixed coupon
leg.Add(new FixedRateCoupon(paymentDate, Utils.Get(nominals, i, 1.0),
Utils.Get(spreads, i, 1.0),
paymentDayCounter,
start, end, refStart, refEnd));
}
else
{
// floating digital coupon
FloatingCouponType underlying = FastActivator <FloatingCouponType> .Create().factory(
Utils.Get(nominals, i, 1.0),
paymentDate, start, end,
Utils.Get(fixingDays, i, index.fixingDays()),
index,
Utils.Get(gearings, i, 1.0),
Utils.Get(spreads, i, 0.0),
refStart, refEnd,
paymentDayCounter, isInArrears) as FloatingCouponType;
DigitalCouponType digitalCoupon = FastActivator <DigitalCouponType> .Create().factory(
underlying,
Utils.toNullable(Utils.Get(callStrikes, i, Double.MinValue)),
callPosition,
isCallATMIncluded,
Utils.toNullable(Utils.Get(callDigitalPayoffs, i, Double.MinValue)),
Utils.toNullable(Utils.Get(putStrikes, i, Double.MinValue)),
putPosition,
isPutATMIncluded,
Utils.toNullable(Utils.Get(putDigitalPayoffs, i, Double.MinValue)),
replication) as DigitalCouponType;
leg.Add(digitalCoupon);
}
}
return(leg);
}
public void testBondFromScheduleWithDateVector()
{
// Testing South African R2048 bond price using Schedule constructor with Date vector
SavedSettings backup = new SavedSettings();
//When pricing bond from Yield To Maturity, use NullCalendar()
Calendar calendar = new NullCalendar();
int settlementDays = 3;
Date issueDate = new Date(29, Month.June, 2012);
Date today = new Date(7, Month.September, 2015);
Date evaluationDate = calendar.adjust(today);
Date settlementDate = calendar.advance(evaluationDate, new Period(settlementDays, TimeUnit.Days));
Settings.setEvaluationDate(evaluationDate);
// For the schedule to generate correctly for Feb-28's, make maturity date on Feb 29
Date maturityDate = new Date(29, Month.February, 2048);
double coupon = 0.0875;
Compounding comp = Compounding.Compounded;
Frequency freq = Frequency.Semiannual;
DayCounter dc = new ActualActual(ActualActual.Convention.Bond);
// Yield as quoted in market
InterestRate yield = new InterestRate(0.09185, dc, comp, freq);
Period tenor = new Period(6, TimeUnit.Months);
Period exCouponPeriod = new Period(10, TimeUnit.Days);
// Generate coupon dates for 31 Aug and end of Feb each year
// For leap years, this will generate 29 Feb, but the bond
// actually pays coupons on 28 Feb, regardsless of whether
// it is a leap year or not.
Schedule schedule = new Schedule(issueDate, maturityDate, tenor,
new NullCalendar(), BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, true);
// Adjust the 29 Feb's to 28 Feb
List<Date> dates = new List<Date>();
for (int i = 0; i < schedule.Count; ++i)
{
Date d = schedule.date(i);
if (d.Month == 2 && d.Day == 29)
dates.Add(new Date(28, Month.February, d.Year));
else
dates.Add(d);
}
schedule = new Schedule(dates,
schedule.calendar(),
schedule.businessDayConvention(),
schedule.terminationDateBusinessDayConvention(),
schedule.tenor(),
schedule.rule(),
schedule.endOfMonth(),
schedule.isRegular());
FixedRateBond bond = new FixedRateBond(
0,
100.0,
schedule,
new List<double>() { coupon },
dc, BusinessDayConvention.Following, 100.0,
issueDate, calendar,
exCouponPeriod, calendar, BusinessDayConvention.Unadjusted, false);
double calculatedPrice = BondFunctions.dirtyPrice(bond, yield, settlementDate);
double expectedPrice = 95.75706;
double tolerance = 1e-5;
if (Math.Abs(calculatedPrice - expectedPrice) > tolerance)
{
Assert.Fail(string.Format("failed to reproduce R2048 dirty price\nexpected: {0}\ncalculated: {1}", expectedPrice, calculatedPrice));
}
}
public static List <CashFlow> FloatingLeg <InterestRateIndexType, FloatingCouponType, CappedFlooredCouponType>(
List <double> nominals,
Schedule schedule,
InterestRateIndexType index,
DayCounter paymentDayCounter,
BusinessDayConvention paymentAdj,
List <int> fixingDays,
List <double> gearings,
List <double> spreads,
List <double> caps,
List <double> floors,
bool isInArrears,
bool isZero)
where InterestRateIndexType : InterestRateIndex, new()
where FloatingCouponType : FloatingRateCoupon, new()
where CappedFlooredCouponType : CappedFlooredCoupon, new()
{
int n = schedule.Count;
Utils.QL_REQUIRE(!nominals.empty(), () => "no notional given");
Utils.QL_REQUIRE(nominals.Count <= n, () => "too many nominals (" + nominals.Count + "), only " + n + " required");
if (gearings != null)
{
Utils.QL_REQUIRE(gearings.Count <= n, () => "too many gearings (" + gearings.Count + "), only " + n + " required");
}
if (spreads != null)
{
Utils.QL_REQUIRE(spreads.Count <= n, () => "too many spreads (" + spreads.Count + "), only " + n + " required");
}
if (caps != null)
{
Utils.QL_REQUIRE(caps.Count <= n, () => "too many caps (" + caps.Count + "), only " + n + " required");
}
if (floors != null)
{
Utils.QL_REQUIRE(floors.Count <= n, () => "too many floors (" + floors.Count + "), only " + n + " required");
}
Utils.QL_REQUIRE(!isZero || !isInArrears, () => "in-arrears and zero features are not compatible");
List <CashFlow> leg = new List <CashFlow>();
// the following is not always correct
Calendar calendar = schedule.calendar();
Date lastPaymentDate = calendar.adjust(schedule[n - 1], paymentAdj);
for (int i = 0; i < n - 1; ++i)
{
Date refStart, start, refEnd, end;
refStart = start = schedule[i];
refEnd = end = schedule[i + 1];
Date paymentDate = isZero ? lastPaymentDate : calendar.adjust(end, paymentAdj);
if (i == 0 && !schedule.isRegular(i + 1))
{
refStart = calendar.adjust(end - schedule.tenor(), schedule.businessDayConvention());
}
if (i == n - 1 && !schedule.isRegular(i + 1))
{
refEnd = calendar.adjust(start + schedule.tenor(), schedule.businessDayConvention());
}
if (Utils.Get(gearings, i, 1).IsEqual(0.0))
{
// fixed coupon
leg.Add(new FixedRateCoupon(paymentDate, Utils.Get(nominals, i),
Utils.effectiveFixedRate(spreads, caps, floors, i),
paymentDayCounter,
start, end, refStart, refEnd));
}
else
{
if (Utils.noOption(caps, floors, i))
{
leg.Add(FastActivator <FloatingCouponType> .Create().factory(
Utils.Get(nominals, i),
paymentDate, start, end,
Utils.Get(fixingDays, i, index.fixingDays()),
index,
Utils.Get(gearings, i, 1),
Utils.Get(spreads, i),
refStart, refEnd, paymentDayCounter,
isInArrears));
}
else
{
leg.Add(FastActivator <CappedFlooredCouponType> .Create().factory(
Utils.Get(nominals, i),
paymentDate, start, end,
Utils.Get(fixingDays, i, index.fixingDays()),
index,
Utils.Get(gearings, i, 1),
Utils.Get(spreads, i),
Utils.toNullable(Utils.Get(caps, i, Double.MinValue)),
Utils.toNullable(Utils.Get(floors, i, Double.MinValue)),
refStart, refEnd, paymentDayCounter,
isInArrears));
}
}
}
return(leg);
}
public CPILeg(Schedule schedule,
ZeroInflationIndex index,
double baseCPI,
Period observationLag)
{
schedule_ = schedule;
index_ = index;
baseCPI_ = baseCPI;
observationLag_ = observationLag;
paymentDayCounter_ = new Thirty360();
paymentAdjustment_ = BusinessDayConvention.ModifiedFollowing;
paymentCalendar_ = schedule.calendar();
fixingDays_ = new List<int>() { 0 };
observationInterpolation_ = InterpolationType.AsIndex;
subtractInflationNominal_ = true;
spreads_ = new List<double>() { 0 };
}
public CmsRateBond(int settlementDays,
double faceAmount,
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,
double redemption = 100.0,
Date issueDate = null)
: base(settlementDays, schedule.calendar(), issueDate)
{
// Optional value check
if (gearings == null)
{
gearings = new List <double>()
{
1
}
}
;
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(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 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);
}
}
}
