DurationAdjustedCmsLegBuilder Class Reference

#include <ored/portfolio/durationadjustedcmslegbuilder.hpp>

Inheritance diagram for DurationAdjustedCmsLegBuilder:

Collaboration diagram for DurationAdjustedCmsLegBuilder:

Public Member Functions
	DurationAdjustedCmsLegBuilder ()
QuantLib::Leg	buildLeg (const ore::data::LegData &data, const QuantLib::ext::shared_ptr< ore::data::EngineFactory > &engineFactory, ore::data::RequiredFixings &requiredFixings, const std::string &configuration, const QuantLib::Date &openEndDateReplacement=Null< Date >(), const bool useXbsCurves=false) const override
Public Member Functions inherited from LegBuilder
	LegBuilder (const string &legType)
virtual	~LegBuilder ()
virtual Leg	buildLeg (const LegData &data, const QuantLib::ext::shared_ptr< EngineFactory > &, RequiredFixings &requiredFixings, const string &configuration, const QuantLib::Date &openEndDateReplacement=Null< Date >(), const bool useXbsCurves=false) const =0
const string &	legType () const

Detailed Description

Definition at line 33 of file durationadjustedcmslegbuilder.hpp.

Constructor & Destructor Documentation

DurationAdjustedCmsLegBuilder()

DurationAdjustedCmsLegBuilder

(

)

Definition at line 35 of file durationadjustedcmslegbuilder.hpp.

: LegBuilder("DurationAdjustedCMS") {}

Member Function Documentation

buildLeg()

Leg buildLeg ( const ore::data::LegData &  data, const QuantLib::ext::shared_ptr< ore::data::EngineFactory > &  engineFactory, ore::data::RequiredFixings &  requiredFixings, const std::string &  configuration, const QuantLib::Date &  openEndDateReplacement = Null<Date>(), const bool  useXbsCurves = false  ) const

override

Definition at line 37 of file durationadjustedcmslegbuilder.cpp.

                                                                           {
 
    auto cmsData = QuantLib::ext::dynamic_pointer_cast<DurationAdjustedCmsLegData>(data.concreteLegData());
    QL_REQUIRE(cmsData, "Wrong LegType, expected CMS");
 
    string indexName = cmsData->swapIndex();
    auto index = *engineFactory->market()->swapIndex(indexName, configuration);
    Schedule schedule = makeSchedule(data.schedule(), openEndDateReplacement);
    DayCounter dc = parseDayCounter(data.dayCounter());
    BusinessDayConvention bdc = parseBusinessDayConvention(data.paymentConvention());
 
    vector<double> spreads =
        ore::data::buildScheduledVectorNormalised(cmsData->spreads(), cmsData->spreadDates(), schedule, 0.0);
    vector<double> gearings =
        ore::data::buildScheduledVectorNormalised(cmsData->gearings(), cmsData->gearingDates(), schedule, 1.0);
    vector<double> notionals = buildScheduledVector(data.notionals(), data.notionalDates(), schedule);
    Size fixingDays = cmsData->fixingDays() == Null<Size>() ? index->fixingDays() : cmsData->fixingDays();
 
    applyAmortization(notionals, data, schedule, false);
 
    PaymentLag paymentLag = parsePaymentLag(data.paymentLag());
    DurationAdjustedCmsLeg leg = DurationAdjustedCmsLeg(schedule, index, cmsData->duration())
                                     .withNotionals(notionals)
                                     .withSpreads(spreads)
                                     .withGearings(gearings)
                                     .withPaymentDayCounter(dc)
                                     .withPaymentAdjustment(bdc)
                                     .withPaymentLag(boost::apply_visitor(PaymentLagInteger(), paymentLag))
                                     .withFixingDays(fixingDays)
                                     .inArrears(cmsData->isInArrears());
 
    if (!data.paymentCalendar().empty())
        leg.withPaymentCalendar(parseCalendar(data.paymentCalendar()));
 
    if (cmsData->caps().size() > 0)
        leg.withCaps(buildScheduledVector(cmsData->caps(), cmsData->capDates(), schedule));
 
    if (cmsData->floors().size() > 0)
        leg.withFloors(buildScheduledVector(cmsData->floors(), cmsData->floorDates(), schedule));
 
    // Get a coupon pricer for the leg
    auto builder = QuantLib::ext::dynamic_pointer_cast<DurationAdjustedCmsCouponPricerBuilder>(
        engineFactory->builder("DurationAdjustedCMS"));
    QL_REQUIRE(builder != nullptr, "No builder found for DurationAdjustedCmsLeg");
    auto couponPricer = builder->engine(IndexNameTranslator::instance().oreName(index->iborIndex()->name()));
 
    // Loop over the coupons in the leg and set pricer
    Leg result = leg;
    for (auto& c : result) {
        auto f = QuantLib::ext::dynamic_pointer_cast<FloatingRateCoupon>(c);
        QL_REQUIRE(f != nullptr,
                   "DurationAdjustedCmsLegBuilder::buildLeg(): internal error, expected FloatingRateCoupon");
        f->setPricer(couponPricer);
    }
 
    // build naked option leg if required
    if (cmsData->nakedOption()) {
        result = StrippedCappedFlooredCouponLeg(result);
    }
 
    applyIndexing(result, data, engineFactory, requiredFixings, openEndDateReplacement, useXbsCurves);
    addToRequiredFixings(result, QuantLib::ext::make_shared<FixingDateGetter>(requiredFixings));
    return result;
}

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