BRLCdiSwap Class Reference

Standard BRL CDI swap. More...

#include <qle/instruments/brlcdiswap.hpp>

Inheritance diagram for BRLCdiSwap:

Collaboration diagram for BRLCdiSwap:

Public Member Functions
	BRLCdiSwap (Type type, QuantLib::Real nominal, const QuantLib::Date &startDate, const QuantLib::Date &endDate, QuantLib::Rate fixedRate, const QuantLib::ext::shared_ptr< BRLCdi > &overnightIndex, QuantLib::Spread spread=0.0, bool telescopicValueDates=false)

Results
QuantLib::Date	startDate_
QuantLib::Date	endDate_
QuantLib::ext::shared_ptr< QuantLib::OvernightIndex >	index_
	QuantLib does not implement the method OvernightIndexedSwap::overnightIndex() so I need this. More...
QuantLib::Real	fixedLegBPS () const
QuantLib::Real	fairRate () const

Detailed Description

Standard BRL CDI swap.

Definition at line 33 of file brlcdiswap.hpp.

Constructor & Destructor Documentation

BRLCdiSwap()

BRLCdiSwap	(	Type	type,
		QuantLib::Real	nominal,
		const QuantLib::Date &	startDate,
		const QuantLib::Date &	endDate,
		QuantLib::Rate	fixedRate,
		const QuantLib::ext::shared_ptr< BRLCdi > &	overnightIndex,
		QuantLib::Spread	spread = 0.0,
		bool	telescopicValueDates = false
	)

Definition at line 34 of file brlcdiswap.cpp.

    : OvernightIndexedSwap(type, nominal,
                           Schedule({startDate, endDate}, NullCalendar(),
                                    QuantLib::Unadjusted, QuantLib::Unadjusted, 100 * Years),
                           fixedRate, overnightIndex->dayCounter(), overnightIndex, spread, 0, ModifiedFollowing,
                           overnightIndex->fixingCalendar(), telescopicValueDates),
      startDate_(startDate), endDate_(endDate), index_(overnightIndex) {
 
    // Need to overwrite the fixed leg with the correct fixed leg for a standard BRL CDI swap
    // Fixed leg is of the form: N [(1 + k) ^ \delta - 1]
    // where \delta is the number of BRL business days in the period divided by 252 i.e.
    // the day count fraction for the period on a Business252 basis.
    Time dcf = index_->dayCounter().yearFraction(startDate_, endDate_);
    Real fixedLegPayment = nominal * (pow(1.0 + fixedRate, dcf) - 1.0);
    Date paymentDate = legs_[0].back()->date();
    QuantLib::ext::shared_ptr<CashFlow> fixedCashflow = QuantLib::ext::make_shared<SimpleCashFlow>(fixedLegPayment, paymentDate);
    legs_[0].clear();
    legs_[0].push_back(fixedCashflow);
    registerWith(fixedCashflow);
 
    // Set the pricer on the BRL CDI coupon
    QL_REQUIRE(legs_[1].size() == 1, "BRLCdiSwap expected exactly one overnight coupon");
    QuantLib::ext::shared_ptr<QuantLib::OvernightIndexedCoupon> coupon =
        QuantLib::ext::dynamic_pointer_cast<QuantLib::OvernightIndexedCoupon>(legs_[1][0]);
    QL_REQUIRE(coupon, "BRLCdiSwap: expected QuantLib::OvernightIndexedCoupon");
    coupon->setPricer(QuantLib::ext::make_shared<BRLCdiCouponPricer>());
}

Member Function Documentation

fixedLegBPS()

Real fixedLegBPS

(

)

const

Definition at line 63 of file brlcdiswap.cpp.

                                   {
 
    calculate();
 
    const Spread basisPoint = 1.0e-4;
    if (!close(endDiscounts_[0], 0.0) && endDiscounts_[0] != Null<DiscountFactor>()) {
        DiscountFactor df = payer_[0] * endDiscounts_[0];
        Time dcf = index_->dayCounter().yearFraction(startDate_, endDate_);
        legBPS_[0] = df * nominal() * (pow(1.0 + fixedRate() + basisPoint, dcf) - pow(1.0 + fixedRate(), dcf));
        return legBPS_[0];
    }
 
    QL_FAIL("BRLCdiSwap cannot calculate fixed leg BPS because end discount is not populated");
}

Here is the call graph for this function:

fairRate()

Real fairRate

(

)

const

Definition at line 78 of file brlcdiswap.cpp.

                                {
 
    calculate();
 
    if (!close(endDiscounts_[0], 0.0) && endDiscounts_[0] != Null<DiscountFactor>()) {
        DiscountFactor df = -payer_[0] * endDiscounts_[0];
        Time dcf = index_->dayCounter().yearFraction(startDate_, endDate_);
        return pow(overnightLegNPV() / (nominal() * df) + 1.0, 1.0 / dcf) - 1.0;
    }
 
    QL_FAIL("BRLCdiSwap cannot calculate fair rate because end discount is not populated");
}

Here is the call graph for this function:

Member Data Documentation

startDate_

QuantLib::Date startDate_

private

Definition at line 46 of file brlcdiswap.hpp.

endDate_

QuantLib::Date endDate_

private

Definition at line 47 of file brlcdiswap.hpp.

index_

QuantLib::ext::shared_ptr<QuantLib::OvernightIndex> index_

private

QuantLib does not implement the method OvernightIndexedSwap::overnightIndex() so I need this.

Definition at line 49 of file brlcdiswap.hpp.