BRLCdiCouponPricer Class Reference

BRL CDI coupon pricer. More...

#include <qle/cashflows/brlcdicouponpricer.hpp>

Inheritance diagram for BRLCdiCouponPricer:

Collaboration diagram for BRLCdiCouponPricer:

FloatingRateCouponPricer interface
const QuantLib::OvernightIndexedCoupon *	couponQl_
const QuantExt::OvernightIndexedCoupon *	couponQle_
QuantLib::ext::shared_ptr< BRLCdi >	index_
	The index underlying the coupon to be priced. More...
virtual QuantLib::Rate	swapletRate () const override
virtual void	initialize (const QuantLib::FloatingRateCoupon &coupon) override
virtual QuantLib::Real	swapletPrice () const override
virtual QuantLib::Real	capletPrice (QuantLib::Rate effectiveCap) const override
virtual QuantLib::Rate	capletRate (QuantLib::Rate effectiveCap) const override
virtual QuantLib::Real	floorletPrice (QuantLib::Rate effectiveFloor) const override
virtual QuantLib::Rate	floorletRate (QuantLib::Rate effectiveFloor) const override

Detailed Description

BRL CDI coupon pricer.

Definition at line 36 of file brlcdicouponpricer.hpp.

Member Function Documentation

swapletRate()

Rate swapletRate ( ) const

overridevirtual

Definition at line 30 of file brlcdicouponpricer.cpp.

                                           {
 
    const vector<Date>& fixingDates = couponQl_ ? couponQl_->fixingDates() : couponQle_->fixingDates();
    const vector<Time>& dt = couponQl_ ? couponQl_->dt() : couponQle_->dt();
    Size n = dt.size();
    Size i = 0;
    Real compoundFactor = 1.0;
    Date today = Settings::instance().evaluationDate();
 
    // Already fixed part of the coupon
    while (i < n && fixingDates[i] < today) {
        Rate pastFixing = IndexManager::instance().getHistory(index_->name())[fixingDates[i]];
        QL_REQUIRE(pastFixing != Null<Real>(), "Missing " << index_->name() << " fixing for " << fixingDates[i]);
        compoundFactor *= pow(1.0 + pastFixing, dt[i]);
        ++i;
    }
 
    // Today is a border case. If there is a fixing use it. If not, it will be projected in the next block.
    if (i < n && fixingDates[i] == today) {
        try {
            Rate pastFixing = IndexManager::instance().getHistory(index_->name())[fixingDates[i]];
            if (pastFixing != Null<Real>()) {
                compoundFactor *= pow(1.0 + pastFixing, dt[i]);
                ++i;
            }
        } catch (Error&) {
        }
    }
 
    // Use telescopic property for piece of coupon in the future
    // \Pi_{i=0}^{n-1} \left( 1 + DI(t, t_{i}, t_{i+1}) \right) ^ \delta = \frac{P(t, t_0)}{P(t, t_n)}
    if (i < n) {
        Handle<YieldTermStructure> curve = index_->forwardingTermStructure();
        QL_REQUIRE(!curve.empty(), "BRLCdiCouponPricer needs the index to have a forwarding term structure");
 
        const vector<Date>& dates = couponQl_ ? couponQl_->valueDates() : couponQle_->valueDates();
        DiscountFactor startDiscount = curve->discount(dates[i]);
        DiscountFactor endDiscount = curve->discount(dates[n]);
 
        compoundFactor *= startDiscount / endDiscount;
    }
 
    Rate rate = (compoundFactor - 1.0) / (couponQl_ ? couponQl_->accrualPeriod() : couponQle_->accrualPeriod());
    return (couponQl_ ? couponQl_->gearing() : couponQle_->gearing()) * rate +
           (couponQl_ ? couponQl_->spread() : couponQle_->spread());
}

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initialize()

void initialize ( const QuantLib::FloatingRateCoupon &  coupon )

overridevirtual

Definition at line 77 of file brlcdicouponpricer.cpp.

                                                                    {
    // Ensure that we have an overnight coupon and that the index is BRL DI
    couponQl_ = dynamic_cast<const QuantLib::OvernightIndexedCoupon*>(&coupon);
    couponQle_ = dynamic_cast<const QuantExt::OvernightIndexedCoupon*>(&coupon);
    QL_REQUIRE(couponQl_ || couponQle_, "BRLCdiCouponPricer expects an OvernightIndexedCoupon");
 
    QuantLib::ext::shared_ptr<InterestRateIndex> index = couponQl_ ? couponQl_->index() : couponQle_->index();
    index_ = QuantLib::ext::dynamic_pointer_cast<BRLCdi>(index);
    QL_REQUIRE(index_, "BRLCdiCouponPricer expects the coupon's index to be BRLCdi");
}

swapletPrice()

Real swapletPrice ( ) const

overridevirtual

Definition at line 88 of file brlcdicouponpricer.cpp.

{ QL_FAIL("swapletPrice not implemented for BRLCdiCouponPricer"); }

capletPrice()

Real capletPrice ( QuantLib::Rate  effectiveCap ) const

overridevirtual

Definition at line 90 of file brlcdicouponpricer.cpp.

                                                            {
    QL_FAIL("capletPrice not implemented for BRLCdiCouponPricer");
}

capletRate()

Real capletRate ( QuantLib::Rate  effectiveCap ) const

overridevirtual

Definition at line 94 of file brlcdicouponpricer.cpp.

                                                           {
    QL_FAIL("capletRate not implemented for BRLCdiCouponPricer");
}

floorletPrice()

Real floorletPrice ( QuantLib::Rate  effectiveFloor ) const

overridevirtual

Definition at line 98 of file brlcdicouponpricer.cpp.

                                                                {
    QL_FAIL("floorletPrice not implemented for BRLCdiCouponPricer");
}

floorletRate()

Real floorletRate ( QuantLib::Rate  effectiveFloor ) const

overridevirtual

Definition at line 102 of file brlcdicouponpricer.cpp.

                                                               {
    QL_FAIL("floorletRate not implemented for BRLCdiCouponPricer");
}

Member Data Documentation

couponQl_

const QuantLib::OvernightIndexedCoupon* couponQl_

private

The coupon to be priced, for now we support both QuantLib::OvernightIndexedCoupon and QuantExt::OvernightIndexedCoupon, see ORE ticket 1159

Definition at line 53 of file brlcdicouponpricer.hpp.

couponQle_

const QuantExt::OvernightIndexedCoupon* couponQle_

private

Definition at line 54 of file brlcdicouponpricer.hpp.

index_

QuantLib::ext::shared_ptr<BRLCdi> index_

private

The index underlying the coupon to be priced.

Definition at line 57 of file brlcdicouponpricer.hpp.