cmsspread.cpp

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/*
 Copyright (C) 2018 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
#include <ored/portfolio/builders/cmsspread.hpp>
#include <ored/utilities/log.hpp>
#include <ored/utilities/parsers.hpp>
#include <qle/termstructures/flatcorrelation.hpp>
 
#include <boost/make_shared.hpp>
 
using namespace QuantLib;
 
namespace ore {
namespace data {
 
QuantLib::ext::shared_ptr<FloatingRateCouponPricer>
CmsSpreadCouponPricerBuilder::engineImpl(const Currency& ccy, const string& index1, const string& index2,
                                         const QuantLib::ext::shared_ptr<CmsCouponPricer>& cmsPricer) {
 
    QuantLib::Handle<QuantExt::CorrelationTermStructure> corrCurve(
        QuantLib::ext::make_shared<QuantExt::FlatCorrelation>(0, NullCalendar(), 0.0, Actual365Fixed()));
    try {
        corrCurve = market_->correlationCurve(index1, index2, configuration(MarketContext::pricing));
    } catch (...) {
        WLOG("no correlation curve for " << index1 << ", " << index2 << " found, fall back to zero correlation.");
    }
 
    const string& ccyCode = ccy.code();
    return QuantLib::ext::make_shared<QuantExt::LognormalCmsSpreadPricer>(
        cmsPricer, corrCurve, market_->discountCurve(ccyCode, configuration(MarketContext::pricing)),
        parseInteger(engineParameter("IntegrationPoints")));
}
 
} // namespace data
} // namespace ore