AverageOIS Class Reference

Average overnight index swap. More...

#include <qle/instruments/averageois.hpp>

Inheritance diagram for AverageOIS:

Collaboration diagram for AverageOIS:

Public Types
enum	Type { Receiver = -1 , Payer = 1 }
	Receiver (Payer) means receive (pay) fixed. More...

Public Member Functions
	AverageOIS (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCounter, BusinessDayConvention fixedPaymentAdjustment, const Calendar &fixedPaymentCalendar, const Schedule &onSchedule, const QuantLib::ext::shared_ptr< OvernightIndex > &overnightIndex, BusinessDayConvention onPaymentAdjustment, const Calendar &onPaymentCalendar, Natural rateCutoff=0, Spread onSpread=0.0, Real onGearing=1.0, const DayCounter &onDayCounter=DayCounter(), const QuantLib::ext::shared_ptr< AverageONIndexedCouponPricer > &onCouponPricer=QuantLib::ext::shared_ptr< AverageONIndexedCouponPricer >(), const bool telescopicValueDates=false)
	Arithmetic average ON leg vs. fixed leg constructor. More...
	AverageOIS (Type type, std::vector< Real > nominals, const Schedule &fixedSchedule, std::vector< Rate > fixedRates, const DayCounter &fixedDayCounter, BusinessDayConvention fixedPaymentAdjustment, const Calendar &fixedPaymentCalendar, const Schedule &onSchedule, const QuantLib::ext::shared_ptr< OvernightIndex > &overnightIndex, BusinessDayConvention onPaymentAdjustment, const Calendar &onPaymentCalendar, Natural rateCutoff=0, std::vector< Spread > onSpreads=std::vector< Spread >(1, 0.0), std::vector< Real > onGearings=std::vector< Real >(1, 1.0), const DayCounter &onDayCounter=DayCounter(), const QuantLib::ext::shared_ptr< AverageONIndexedCouponPricer > &onCouponPricer=QuantLib::ext::shared_ptr< AverageONIndexedCouponPricer >(), const bool telescopicValueDates=false)
Inspectors
Type	type () const
Real	nominal () const
const std::vector< Real > &	nominals () const
Rate	fixedRate () const
const std::vector< Rate > &	fixedRates () const
const DayCounter &	fixedDayCounter ()
const QuantLib::ext::shared_ptr< OvernightIndex > &	overnightIndex ()
Natural	rateCutoff ()
Spread	onSpread () const
const std::vector< Spread > &	onSpreads () const
Real	onGearing () const
const std::vector< Real > &	onGearings () const
const DayCounter &	onDayCounter ()
const Leg &	fixedLeg () const
const Leg &	overnightLeg () const

Results
Type	type_
std::vector< Real >	nominals_
std::vector< Rate >	fixedRates_
DayCounter	fixedDayCounter_
BusinessDayConvention	fixedPaymentAdjustment_
Calendar	fixedPaymentCalendar_
QuantLib::ext::shared_ptr< OvernightIndex >	overnightIndex_
BusinessDayConvention	onPaymentAdjustment_
Calendar	onPaymentCalendar_
Natural	rateCutoff_
std::vector< Spread >	onSpreads_
std::vector< Real >	onGearings_
DayCounter	onDayCounter_
QuantLib::ext::shared_ptr< AverageONIndexedCouponPricer >	onCouponPricer_
bool	telescopicValueDates_
Real	fixedLegBPS () const
Real	fixedLegNPV () const
Real	fairRate () const
Real	overnightLegBPS () const
Real	overnightLegNPV () const
Spread	fairSpread () const
void	setONIndexedCouponPricer (const QuantLib::ext::shared_ptr< AverageONIndexedCouponPricer > &onCouponPricer)
void	initialize (const Schedule &fixedLegSchedule, const Schedule &onLegSchedule)

Detailed Description

Average overnight index swap.

Swap with first leg fixed and the second leg being an arithmetic average overnight index.

    \ingroup instruments

Definition at line 46 of file averageois.hpp.

Member Enumeration Documentation

Type

enum Type

Receiver (Payer) means receive (pay) fixed.

Enumerator
Receiver
Payer

Definition at line 49 of file averageois.hpp.

{ Receiver = -1, Payer = 1 };

Constructor & Destructor Documentation

AverageOIS() [1/2]

AverageOIS	(	Type	type,
		Real	nominal,
		const Schedule &	fixedSchedule,
		Rate	fixedRate,
		const DayCounter &	fixedDayCounter,
		BusinessDayConvention	fixedPaymentAdjustment,
		const Calendar &	fixedPaymentCalendar,
		const Schedule &	onSchedule,
		const QuantLib::ext::shared_ptr< OvernightIndex > &	overnightIndex,
		BusinessDayConvention	onPaymentAdjustment,
		const Calendar &	onPaymentCalendar,
		Natural	rateCutoff = 0,
		Spread	onSpread = 0.0,
		Real	onGearing = 1.0,
		const DayCounter &	onDayCounter = DayCounter(),
		const QuantLib::ext::shared_ptr< AverageONIndexedCouponPricer > &	onCouponPricer = QuantLib::ext::shared_ptr<AverageONIndexedCouponPricer>(),
		const bool	telescopicValueDates = false
	)

Arithmetic average ON leg vs. fixed leg constructor.

Definition at line 26 of file averageois.cpp.

    : Swap(2), type_(type), nominals_(std::vector<Real>(1, nominal)), fixedRates_(std::vector<Rate>(1, fixedRate)),
      fixedDayCounter_(fixedDCB), fixedPaymentAdjustment_(fixedLegPaymentAdjustment),
      fixedPaymentCalendar_(fixedLegPaymentCalendar), overnightIndex_(overnightIndex),
      onPaymentAdjustment_(onLegPaymentAdjustment), onPaymentCalendar_(onLegPaymentCalendar), rateCutoff_(rateCutoff),
      onSpreads_(std::vector<Spread>(1, onLegSpread)), onGearings_(std::vector<Real>(1, onLegGearing)),
      onDayCounter_(onLegDCB), onCouponPricer_(onLegCouponPricer), telescopicValueDates_(telescopicValueDates) {
    initialize(fixedLegSchedule, onLegSchedule);
}

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AverageOIS() [2/2]

AverageOIS	(	Type	type,
		std::vector< Real >	nominals,
		const Schedule &	fixedSchedule,
		std::vector< Rate >	fixedRates,
		const DayCounter &	fixedDayCounter,
		BusinessDayConvention	fixedPaymentAdjustment,
		const Calendar &	fixedPaymentCalendar,
		const Schedule &	onSchedule,
		const QuantLib::ext::shared_ptr< OvernightIndex > &	overnightIndex,
		BusinessDayConvention	onPaymentAdjustment,
		const Calendar &	onPaymentCalendar,
		Natural	rateCutoff = 0,
		std::vector< Spread >	onSpreads = std::vector<Spread>(1, 0.0),
		std::vector< Real >	onGearings = std::vector<Real>(1, 1.0),
		const DayCounter &	onDayCounter = DayCounter(),
		const QuantLib::ext::shared_ptr< AverageONIndexedCouponPricer > &	onCouponPricer = QuantLib::ext::shared_ptr<AverageONIndexedCouponPricer>(),
		const bool	telescopicValueDates = false
	)

Arithmetic average ON leg vs. fixed leg constructor, allowing for varying nominals, fixed rates, ON leg spreads and ON leg gearings.

Definition at line 43 of file averageois.cpp.

    : Swap(2), type_(type), nominals_(nominals), fixedRates_(fixedRates), fixedDayCounter_(fixedDCB),
      fixedPaymentAdjustment_(fixedLegPaymentAdjustment), fixedPaymentCalendar_(fixedLegPaymentCalendar),
      overnightIndex_(overnightIndex), onPaymentAdjustment_(onLegPaymentAdjustment),
      onPaymentCalendar_(onLegPaymentCalendar), rateCutoff_(rateCutoff), onSpreads_(onLegSpreads),
      onGearings_(onLegGearings), onDayCounter_(onLegDCB), onCouponPricer_(onLegCouponPricer),
      telescopicValueDates_(telescopicValueDates) {
    initialize(fixedLegSchedule, onLegSchedule);
}

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Member Function Documentation

type()

Type type

(

)

const

Definition at line 78 of file averageois.hpp.

{ return type_; }

nominal()

Real nominal

(

)

const

Definition at line 101 of file averageois.cpp.

                               {
    QL_REQUIRE(nominals_.size() == 1, "Swap has varying nominals");
    return nominals_[0];
}

nominals()

const std::vector< Real > & nominals

(

)

const

Definition at line 81 of file averageois.hpp.

{ return nominals_; }

fixedRate()

Rate fixedRate

(

)

const

Definition at line 106 of file averageois.cpp.

                                 {
    QL_REQUIRE(fixedRates_.size() == 1, "Swap has varying fixed rates");
    return fixedRates_[0];
}

fixedRates()

const std::vector< Rate > & fixedRates

(

)

const

Definition at line 84 of file averageois.hpp.

{ return fixedRates_; }

fixedDayCounter()

const DayCounter & fixedDayCounter

(

)

Definition at line 85 of file averageois.hpp.

{ return fixedDayCounter_; }

overnightIndex()

const QuantLib::ext::shared_ptr< OvernightIndex > & overnightIndex

(

)

Definition at line 87 of file averageois.hpp.

{ return overnightIndex_; }

rateCutoff()

Natural rateCutoff

(

)

Definition at line 88 of file averageois.hpp.

{ return rateCutoff_; }

onSpread()

Spread onSpread

(

)

const

Definition at line 111 of file averageois.cpp.

                                  {
    QL_REQUIRE(onSpreads_.size() == 1, "Swap has varying ON spreads");
    return onSpreads_[0];
}

onSpreads()

const std::vector< Spread > & onSpreads

(

)

const

Definition at line 90 of file averageois.hpp.

{ return onSpreads_; }

onGearing()

Real onGearing

(

)

const

Definition at line 116 of file averageois.cpp.

                                 {
    QL_REQUIRE(onGearings_.size() == 1, "Swap has varying ON gearings");
    return onGearings_[0];
}

onGearings()

const std::vector< Real > & onGearings

(

)

const

Definition at line 92 of file averageois.hpp.

{ return onGearings_; }

onDayCounter()

const DayCounter & onDayCounter

(

)

Definition at line 93 of file averageois.hpp.

{ return onDayCounter_; }

fixedLeg()

const Leg & fixedLeg

(

)

const

Definition at line 95 of file averageois.hpp.

{ return legs_[0]; }

overnightLeg()

const Leg & overnightLeg

(

)

const

Definition at line 96 of file averageois.hpp.

{ return legs_[1]; }

fixedLegBPS()

Real fixedLegBPS

(

)

const

Definition at line 121 of file averageois.cpp.

                                   {
    calculate();
    QL_REQUIRE(legBPS_[0] != Null<Real>(), "fixedLegBPS not available");
    return legBPS_[0];
}

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fixedLegNPV()

Real fixedLegNPV

(

)

const

Definition at line 127 of file averageois.cpp.

                                   {
    calculate();
    QL_REQUIRE(legNPV_[0] != Null<Real>(), "fixedLegNPV not available");
    return legNPV_[0];
}

fairRate()

Real fairRate

(

)

const

Definition at line 133 of file averageois.cpp.

                                {
    static const Spread basisPoint = 1.0e-4;
    calculate();
    return -overnightLegNPV() / (fixedLegBPS() / basisPoint);
}

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overnightLegBPS()

Real overnightLegBPS

(

)

const

Definition at line 139 of file averageois.cpp.

                                       {
    calculate();
    QL_REQUIRE(legBPS_[1] != Null<Real>(), "overnightLegBPS not available");
    return legBPS_[1];
}

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overnightLegNPV()

Real overnightLegNPV

(

)

const

Definition at line 145 of file averageois.cpp.

                                       {
    calculate();
    QL_REQUIRE(legNPV_[1] != Null<Real>(), "overnightLegNPV not available");
    return legNPV_[1];
}

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fairSpread()

Spread fairSpread

(

)

const

Definition at line 151 of file averageois.cpp.

                                    {
    QL_REQUIRE(onSpreads_.size() == 1, "fairSpread not implemented for varying spreads.");
    static const Spread basisPoint = 1.0e-4;
    calculate();
    return onSpreads_[0] - NPV_ / (overnightLegBPS() / basisPoint);
}

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setONIndexedCouponPricer()

void setONIndexedCouponPricer

(

const QuantLib::ext::shared_ptr< AverageONIndexedCouponPricer > &

onCouponPricer

)

Definition at line 158 of file averageois.cpp.

                                                                                                                   {
    QuantExt::setCouponPricer(legs_[1], onCouponPricer);
    update();
}

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initialize()

void initialize ( const Schedule &  fixedLegSchedule, const Schedule &  onLegSchedule  )

private

Definition at line 61 of file averageois.cpp.

                                                                                           {
    // Fixed leg.
    legs_[0] = FixedRateLeg(fixedLegSchedule)
                   .withNotionals(nominals_)
                   .withCouponRates(fixedRates_, fixedDayCounter_)
                   .withPaymentAdjustment(fixedPaymentAdjustment_)
                   .withPaymentCalendar(fixedPaymentCalendar_);
 
    // Average ON leg.
    AverageONLeg tempAverageONLeg = AverageONLeg(onLegSchedule, overnightIndex_)
                                        .withNotionals(nominals_)
                                        .withPaymentAdjustment(onPaymentAdjustment_)
                                        .withPaymentCalendar(onPaymentCalendar_)
                                        .withRateCutoff(rateCutoff_)
                                        .withSpreads(onSpreads_)
                                        .withGearings(onGearings_)
                                        .withPaymentDayCounter(onDayCounter_)
                                        .withTelescopicValueDates(telescopicValueDates_);
 
    if (onCouponPricer_) {
        tempAverageONLeg = tempAverageONLeg.withAverageONIndexedCouponPricer(onCouponPricer_);
    }
 
    legs_[1] = tempAverageONLeg;
 
    // Set the fixed and ON leg to pay (receive) and receive (pay) resp.
    switch (type_) {
    case Payer:
        payer_[0] = -1.0;
        payer_[1] = +1.0;
        break;
    case Receiver:
        payer_[0] = +1.0;
        payer_[1] = -1.0;
        break;
    default:
        QL_FAIL("Unknown average ON index swap type");
    }
}

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Member Data Documentation

type_

Type type_

private

Definition at line 115 of file averageois.hpp.

nominals_

std::vector<Real> nominals_

private

Definition at line 116 of file averageois.hpp.

fixedRates_

std::vector<Rate> fixedRates_

private

Definition at line 118 of file averageois.hpp.

fixedDayCounter_

DayCounter fixedDayCounter_

private

Definition at line 119 of file averageois.hpp.

fixedPaymentAdjustment_

BusinessDayConvention fixedPaymentAdjustment_

private

Definition at line 120 of file averageois.hpp.

fixedPaymentCalendar_

Calendar fixedPaymentCalendar_

private

Definition at line 121 of file averageois.hpp.

overnightIndex_

QuantLib::ext::shared_ptr<OvernightIndex> overnightIndex_

private

Definition at line 123 of file averageois.hpp.

onPaymentAdjustment_

BusinessDayConvention onPaymentAdjustment_

private

Definition at line 124 of file averageois.hpp.

onPaymentCalendar_

Calendar onPaymentCalendar_

private

Definition at line 125 of file averageois.hpp.

rateCutoff_

Natural rateCutoff_

private

Definition at line 126 of file averageois.hpp.

onSpreads_

std::vector<Spread> onSpreads_

private

Definition at line 127 of file averageois.hpp.

onGearings_

std::vector<Real> onGearings_

private

Definition at line 128 of file averageois.hpp.

onDayCounter_

DayCounter onDayCounter_

private

Definition at line 129 of file averageois.hpp.

onCouponPricer_

QuantLib::ext::shared_ptr<AverageONIndexedCouponPricer> onCouponPricer_

private

Definition at line 130 of file averageois.hpp.

telescopicValueDates_

bool telescopicValueDates_

private

Definition at line 131 of file averageois.hpp.