AverageONIndexedCoupon Class Reference

average overnight coupon More...

#include <qle/cashflows/averageonindexedcoupon.hpp>

Inheritance diagram for AverageONIndexedCoupon:

Collaboration diagram for AverageONIndexedCoupon:

Public Member Functions
	AverageONIndexedCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const QuantLib::ext::shared_ptr< OvernightIndex > &overnightIndex, Real gearing=1.0, Spread spread=0.0, Natural rateCutoff=0, const DayCounter &dayCounter=DayCounter(), const Period &lookback=0 *Days, const Size fixingDays=Null< Size >(), const Date &rateComputationStartDate=Null< Date >(), const Date &rateComputationEndDate=Null< Date >(), const bool telescopicValueDates=false)
Inspectors
const std::vector< Date > &	fixingDates () const
	fixing dates for the rates to be averaged More...
const std::vector< Time > &	dt () const
	accrual periods for the averaging More...
const std::vector< Rate > &	indexFixings () const
	fixings to be averaged More...
const std::vector< Date > &	valueDates () const
	value dates for the rates to be averaged More...
Natural	rateCutoff () const
	rate cutoff associated with the coupon More...
const Period &	lookback () const
	lookback period More...
const Date &	rateComputationStartDate () const
	rate computation start date More...
const Date &	rateComputationEndDate () const
	rate computation end date More...
const ext::shared_ptr< OvernightIndex > &	overnightIndex () const
	the underlying index More...
FloatingRateCoupon interface
Date	fixingDate () const override
	the date when the coupon is fully determined More...

Visitability
QuantLib::ext::shared_ptr< OvernightIndex >	overnightIndex_
std::vector< Date >	valueDates_
std::vector< Date >	fixingDates_
std::vector< Rate >	fixings_
Size	numPeriods_
std::vector< Time >	dt_
Natural	rateCutoff_
Period	lookback_
Date	rateComputationStartDate_
Date	rateComputationEndDate_
void	accept (AcyclicVisitor &) override

Detailed Description

average overnight coupon

Coupon paying the interest due to the weighted average of daily overnight fixings. The rateCutoff counts the number of fixing dates starting at the end date whose fixings are not taken into account, but rather replaced by the last known fixing before.

    \ingroup cashflows

Definition at line 48 of file averageonindexedcoupon.hpp.

Constructor & Destructor Documentation

AverageONIndexedCoupon()

AverageONIndexedCoupon	(	const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		const QuantLib::ext::shared_ptr< OvernightIndex > &	overnightIndex,
		Real	gearing = 1.0,
		Spread	spread = 0.0,
		Natural	rateCutoff = 0,
		const DayCounter &	dayCounter = DayCounter(),
		const Period &	lookback = 0 * Days,
		const Size	fixingDays = Null<Size>(),
		const Date &	rateComputationStartDate = Null<Date>(),
		const Date &	rateComputationEndDate = Null<Date>(),
		const bool	telescopicValueDates = false
	)

Definition at line 35 of file averageonindexedcoupon.cpp.

    : FloatingRateCoupon(paymentDate, nominal, startDate, endDate, fixingDays, overnightIndex, gearing, spread, Date(),
                         Date(), dayCounter, false),
      overnightIndex_(overnightIndex), rateCutoff_(rateCutoff), lookback_(lookback),
      rateComputationStartDate_(rateComputationStartDate), rateComputationEndDate_(rateComputationEndDate) {
 
    Date valueStart = rateComputationStartDate_ == Null<Date>() ? startDate : rateComputationStartDate_;
    Date valueEnd = rateComputationEndDate_ == Null<Date>() ? endDate : rateComputationEndDate_;
    if (lookback != 0 * Days) {
        BusinessDayConvention bdc = lookback.length() > 0 ? Preceding : Following;
        valueStart = overnightIndex->fixingCalendar().advance(valueStart, -lookback, bdc);
        valueEnd = overnightIndex->fixingCalendar().advance(valueEnd, -lookback, bdc);
    }
 
    // Populate the value dates.
    Date tmpEndDate = valueEnd;
    if(telescopicValueDates) {
    // same optimization as in OvernightIndexedCoupon
        Date evalDate = Settings::instance().evaluationDate();
        tmpEndDate = overnightIndex->fixingCalendar().advance(std::max(valueStart, evalDate), 7, Days, Following);
        tmpEndDate = std::min(tmpEndDate, valueEnd);
    }
 
    Schedule sch = MakeSchedule()
                       .from(valueStart)
                       .to(tmpEndDate)
                       .withTenor(1 * Days)
                       .withCalendar(overnightIndex->fixingCalendar())
                       .withConvention(overnightIndex->businessDayConvention())
                       .backwards();
    valueDates_ = sch.dates();
 
    if (telescopicValueDates) {
        // build optimised value dates schedule: back stub
        // contains at least two dates and enough periods to cover rate cutoff
        Date tmp2 = overnightIndex->fixingCalendar().adjust(valueEnd, overnightIndex->businessDayConvention());
        Date tmp1 = overnightIndex->fixingCalendar().advance(tmp2, -std::max<Size>(rateCutoff_, 1), Days, Preceding);
        while (tmp1 <= tmp2) {
            if (tmp1 > valueDates_.back())
                valueDates_.push_back(tmp1);
            tmp1 = overnightIndex->fixingCalendar().advance(tmp1, 1, Days, Following);
        }
    }
 
    QL_ENSURE(valueDates_.size() >= 2 + rateCutoff_, "degenerate schedule");
 
    // the first and last value date should be the unadjusted input value dates
    if (valueDates_.front() != valueStart)
        valueDates_.front() = valueStart;
    if (valueDates_.back() != valueEnd)
        valueDates_.back() = valueEnd;
 
    numPeriods_ = valueDates_.size() - 1;
 
    QL_REQUIRE(valueDates_[0] != valueDates_[1],
               "internal error: first two value dates of on coupon are equal: " << valueDates_[0]);
    QL_REQUIRE(valueDates_[numPeriods_] != valueDates_[numPeriods_ - 1],
               "internal error: last two value dates of on coupon are equal: " << valueDates_[numPeriods_]);
 
    // Populate the fixing dates.
    fixingDates_.resize(numPeriods_);
    for (Size i = 0; i < numPeriods_; ++i)
        fixingDates_[i] = overnightIndex->fixingCalendar().advance(
            valueDates_[i], -static_cast<Integer>(FloatingRateCoupon::fixingDays()), Days, Preceding);
 
    // Populate the accrual periods.
    dt_.resize(numPeriods_);
    for (Size i = 0; i < numPeriods_; ++i)
        dt_[i] = dayCounter.yearFraction(valueDates_[i], valueDates_[i + 1]);
 
    // check that rate cutoff is < number of fixing dates
    QL_REQUIRE(rateCutoff_ < numPeriods_, "rate cutoff (" << rateCutoff_
                                                          << ") must be less than number of fixings in period ("
                                                          << numPeriods_ << ")");
}

Here is the call graph for this function:

Member Function Documentation

fixingDates()

const std::vector< Date > & fixingDates

(

)

const

fixing dates for the rates to be averaged

Definition at line 59 of file averageonindexedcoupon.hpp.

{ return fixingDates_; }

Here is the caller graph for this function:

dt()

const std::vector< Time > & dt

(

)

const

accrual periods for the averaging

Definition at line 61 of file averageonindexedcoupon.hpp.

{ return dt_; }

Here is the caller graph for this function:

indexFixings()

const std::vector< Rate > & indexFixings

(

)

const

fixings to be averaged

Definition at line 117 of file averageonindexedcoupon.cpp.

                                                                  {
 
    fixings_.resize(numPeriods_);
    Size i;
 
    for (i = 0; i < numPeriods_ - rateCutoff_; ++i) {
        fixings_[i] = index_->fixing(fixingDates_[i]);
    }
 
    Rate cutoffFixing = fixings_[i - 1];
    while (i < numPeriods_) {
        fixings_[i] = cutoffFixing;
        i++;
    }
 
    return fixings_;
}

Here is the caller graph for this function:

valueDates()

const std::vector< Date > & valueDates

(

)

const

value dates for the rates to be averaged

Definition at line 65 of file averageonindexedcoupon.hpp.

{ return valueDates_; }

Here is the caller graph for this function:

rateCutoff()

Natural rateCutoff

(

)

const

rate cutoff associated with the coupon

Definition at line 67 of file averageonindexedcoupon.hpp.

{ return rateCutoff_; }

Here is the caller graph for this function:

lookback()

const Period & lookback

(

)

const

lookback period

Definition at line 69 of file averageonindexedcoupon.hpp.

{ return lookback_; }

Here is the caller graph for this function:

rateComputationStartDate()

const Date & rateComputationStartDate

(

)

const

rate computation start date

Definition at line 71 of file averageonindexedcoupon.hpp.

{ return rateComputationStartDate_; }

rateComputationEndDate()

const Date & rateComputationEndDate

(

)

const

rate computation end date

Definition at line 73 of file averageonindexedcoupon.hpp.

{ return rateComputationEndDate_; }

overnightIndex()

const ext::shared_ptr< OvernightIndex > & overnightIndex

(

)

const

the underlying index

Definition at line 75 of file averageonindexedcoupon.hpp.

{ return overnightIndex_; }

Here is the caller graph for this function:

fixingDate()

Date fixingDate ( ) const

override

the date when the coupon is fully determined

Definition at line 135 of file averageonindexedcoupon.cpp.

{ return fixingDates_[fixingDates_.size() - 1 - rateCutoff_]; }

accept()

void accept ( AcyclicVisitor &  v )

override

Definition at line 137 of file averageonindexedcoupon.cpp.

                                                     {
    Visitor<AverageONIndexedCoupon>* v1 = dynamic_cast<Visitor<AverageONIndexedCoupon>*>(&v);
    if (v1 != 0) {
        v1->visit(*this);
    } else {
        FloatingRateCoupon::accept(v);
    }
}

Member Data Documentation

overnightIndex_

QuantLib::ext::shared_ptr<OvernightIndex> overnightIndex_

private

Definition at line 87 of file averageonindexedcoupon.hpp.

valueDates_

std::vector<Date> valueDates_

private

Definition at line 88 of file averageonindexedcoupon.hpp.

fixingDates_

std::vector<Date> fixingDates_

private

Definition at line 88 of file averageonindexedcoupon.hpp.

fixings_

std::vector<Rate> fixings_

mutableprivate

Definition at line 89 of file averageonindexedcoupon.hpp.

numPeriods_

Size numPeriods_

private

Definition at line 90 of file averageonindexedcoupon.hpp.

dt_

std::vector<Time> dt_

private

Definition at line 91 of file averageonindexedcoupon.hpp.

rateCutoff_

Natural rateCutoff_

private

Definition at line 92 of file averageonindexedcoupon.hpp.

lookback_

Period lookback_

private

Definition at line 93 of file averageonindexedcoupon.hpp.

rateComputationStartDate_

Date rateComputationStartDate_

private

Definition at line 94 of file averageonindexedcoupon.hpp.

rateComputationEndDate_

Date rateComputationEndDate_

private

Definition at line 94 of file averageonindexedcoupon.hpp.