BalanceGuaranteedSwap Class Reference

Balance Guaranteed Swap. More...

#include <qle/instruments/balanceguaranteedswap.hpp>

Inheritance diagram for BalanceGuaranteedSwap:

Collaboration diagram for BalanceGuaranteedSwap:

Classes
class	arguments
	Arguments for Balance Guaranteed Swap More...
class	engine
	Base class for Balance Guaranteed Swap engines. More...
class	results
	Results for Balance Guaranteed Swap More...

Public Member Functions
	BalanceGuaranteedSwap (const VanillaSwap::Type type, const std::vector< std::vector< Real > > &trancheNominals, const Schedule &nominalSchedule, const Size referencedTranche, const Schedule &fixedSchedule, const std::vector< Real > &fixedRate, const DayCounter &fixedDayCount, const Schedule &floatingSchedule, const QuantLib::ext::shared_ptr< IborIndex > &iborIndex, const std::vector< Real > &gearing, const std::vector< Real > &spread, const std::vector< Real > &cappedRate, const std::vector< Real > &flooredRate, const DayCounter &floatingDayCount, boost::optional< BusinessDayConvention > paymentConvention=boost::none)

Inspectors
const VanillaSwap::Type	type_
const std::vector< std::vector< Real > >	trancheNominals_
const Schedule	nominalSchedule_
const Size	referencedTranche_
const Schedule	fixedSchedule_
const std::vector< Real >	fixedRate_
const DayCounter	fixedDayCount_
const Schedule	floatingSchedule_
const QuantLib::ext::shared_ptr< IborIndex >	iborIndex_
const std::vector< Real >	gearing_
const std::vector< Real >	spread_
const std::vector< Real >	cappedRate_
const std::vector< Real >	flooredRate_
const DayCounter	floatingDayCount_
BusinessDayConvention	paymentConvention_
VanillaSwap::Type	type () const
const std::vector< std::vector< Real > > &	trancheNominal () const
const Schedule &	nominalSchedule () const
const Size	referencedTranche () const
const Schedule &	fixedSchedule () const
const std::vector< Real > &	fixedRate () const
const DayCounter &	fixedDayCount () const
const Schedule &	floatingSchedule () const
const QuantLib::ext::shared_ptr< IborIndex > &	iborIndex () const
const std::vector< Real > &	gearing () const
const std::vector< Real > &	spread () const
const std::vector< Real > &	cappedRate () const
const std::vector< Real > &	flooredRate () const
const DayCounter &	floatingDayCount () const
BusinessDayConvention	paymentConvention () const
const Leg &	fixedLeg () const
const Leg &	floatingLeg () const
Real	trancheNominal (const Size trancheIndex, const Date &d)
void	setupArguments (QuantLib::PricingEngine::arguments *) const override
void	setupExpired () const override
void	fetchResults (const QuantLib::PricingEngine::results *) const override

Detailed Description

Balance Guaranteed Swap.

Notice the comment in the NumericLgmBgsFlexiSwapEngine concerning the start of the prepayments, this means that the tranche notionals for periods with a start date in the past or on the evaluation date should include actual (known) prepayments. For future periods the notionals should correspond to a zero CPR assumption on the other hand.

Definition at line 49 of file balanceguaranteedswap.hpp.

Constructor & Destructor Documentation

BalanceGuaranteedSwap()

BalanceGuaranteedSwap	(	const VanillaSwap::Type	type,
		const std::vector< std::vector< Real > > &	trancheNominals,
		const Schedule &	nominalSchedule,
		const Size	referencedTranche,
		const Schedule &	fixedSchedule,
		const std::vector< Real > &	fixedRate,
		const DayCounter &	fixedDayCount,
		const Schedule &	floatingSchedule,
		const QuantLib::ext::shared_ptr< IborIndex > &	iborIndex,
		const std::vector< Real > &	gearing,
		const std::vector< Real > &	spread,
		const std::vector< Real > &	cappedRate,
		const std::vector< Real > &	flooredRate,
		const DayCounter &	floatingDayCount,
		boost::optional< BusinessDayConvention >	paymentConvention = boost::none
	)

Definition at line 31 of file balanceguaranteedswap.cpp.

    : Swap(2), type_(type), trancheNominals_(trancheNominals), nominalSchedule_(nominalSchedule),
      referencedTranche_(referencedTranche), fixedSchedule_(fixedSchedule), fixedRate_(fixedRate),
      fixedDayCount_(fixedDayCount), floatingSchedule_(floatingSchedule), iborIndex_(iborIndex), gearing_(gearing),
      spread_(spread), cappedRate_(cappedRate), flooredRate_(flooredRate), floatingDayCount_(floatingDayCount) {
 
    // checks
 
    if (paymentConvention)
        paymentConvention_ = *paymentConvention;
    else
        paymentConvention_ = floatingSchedule_.businessDayConvention();
 
    QL_REQUIRE(nominalSchedule.size() > 0, "Nominal schedule size is zero");
    QL_REQUIRE(nominalSchedule.hasTenor(), "Nominal schedule needs a tenor");
    QL_REQUIRE(nominalSchedule.tenor().frequency() != QuantLib::OtherFrequency,
               "Nominal schedule tenor (" << nominalSchedule.tenor() << ") not allowed, corresponds to OtherFrequency");
    QL_REQUIRE(fixedSchedule.size() > 0, "Fixed schedule size is zero");
    QL_REQUIRE(floatingSchedule.size() > 0, "Floating schedule size is zero");
    QL_REQUIRE(fixedSchedule_.size() - 1 == fixedRate_.size(),
               "Fixed schedule size (" << fixedSchedule_.size() << ") does not match fixed rate size ("
                                       << fixedRate_.size() << ")");
 
    QL_REQUIRE(floatingSchedule_.size() - 1 == gearing_.size(),
               "Floating schedule size (" << floatingSchedule_.size() << ") does not match gearing size ("
                                          << gearing_.size() << ")");
    QL_REQUIRE(floatingSchedule_.size() - 1 == spread_.size(),
               "Floating schedule size (" << floatingSchedule_.size() << ") does not match spread size ("
                                          << spread_.size() << ")");
    QL_REQUIRE(floatingSchedule_.size() - 1 == cappedRate_.size(),
               "Floating schedule size (" << floatingSchedule_.size() << ") does not match spread size ("
                                          << cappedRate_.size() << ")");
    QL_REQUIRE(floatingSchedule_.size() - 1 == flooredRate_.size(),
               "Floating schedule size (" << floatingSchedule_.size() << ") does not match spread size ("
                                          << flooredRate_.size() << ")");
    QL_REQUIRE((floatingSchedule.size() - 1) % (fixedSchedule.size() - 1) == 0,
               "fixed schedule size - 1 (" << fixedSchedule.size() - 1 << ") must divide floating schedule size - 1 ("
                                           << floatingSchedule.size() - 1 << ")");
 
    QL_REQUIRE(trancheNominals.size() > 0, "trancheNominals must be non-empty");
    QL_REQUIRE(referencedTranche < trancheNominals.size(),
               "referencedTranche (" << referencedTranche << ") out of range 0..." << (trancheNominals.size() - 1));
    for (Size i = 0; i < trancheNominals.size(); ++i) {
        QL_REQUIRE(trancheNominals[i].size() == nominalSchedule.size() - 1,
                   "Tranche nominals at " << i << " (" << trancheNominals.size() << ") do not match nominal schedule ("
                                          << nominalSchedule.size() << ")");
    }
 
    // build the fixed and floating nominal for the swap
    std::vector<Real> fixedNominal, floatingNominal;
    for (Size i = 0; i < fixedSchedule.size() - 1; ++i) {
        fixedNominal.push_back(trancheNominal(referencedTranche_, fixedSchedule[i]));
    }
    // derive floating nominal schedule from fixed to ensure they match
    Size ratio = (floatingSchedule.size() - 1) / (fixedSchedule.size() - 1); // we know there is no remainder
    floatingNominal.resize(fixedNominal.size() * ratio);
    Size i = 0; // remove in C++14 and instead write [i=0, &fixedNotional] in the capture below
    std::generate(floatingNominal.begin(), floatingNominal.end(),
                  [i, &fixedNominal, ratio]() mutable { return fixedNominal[i++ / ratio]; });
 
    // if the gearing is zero then the ibor leg will be set up with fixed
    // coupons which makes trouble here in this context. We therefore use
    // a dirty trick and enforce the gearing to be non zero.
 
    // TODO do we need this?
 
    std::vector<Real> gearingTmp(gearing_);
    for (Size i = 0; i < gearingTmp.size(); ++i) {
        if (close(gearingTmp[i], 0.0))
            gearingTmp[i] = QL_EPSILON;
    }
 
    legs_[0] = FixedRateLeg(fixedSchedule_)
                   .withNotionals(fixedNominal)
                   .withCouponRates(fixedRate_, fixedDayCount_)
                   .withPaymentAdjustment(paymentConvention_);
 
    legs_[1] = IborLeg(floatingSchedule_, iborIndex_)
                   .withNotionals(floatingNominal)
                   .withPaymentDayCounter(floatingDayCount_)
                   .withPaymentAdjustment(paymentConvention_)
                   .withSpreads(spread_)
                   .withGearings(gearingTmp)
                   .withCaps(cappedRate_)
                   .withFloors(flooredRate_);
 
    for (Leg::const_iterator i = legs_[1].begin(); i < legs_[1].end(); ++i)
        registerWith(*i);
 
    auto cpnPricer = QuantLib::ext::make_shared<BlackIborCouponPricer>();
    setCouponPricer(legs_[1], cpnPricer);
 
    switch (type_) {
    case VanillaSwap::Payer:
        payer_[0] = -1.0;
        payer_[1] = +1.0;
        break;
    case VanillaSwap::Receiver:
        payer_[0] = +1.0;
        payer_[1] = -1.0;
        break;
    default:
        QL_FAIL("Unknown vanilla swap type");
    }
}

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Member Function Documentation

type()

VanillaSwap::Type type

(

)

const

Definition at line 65 of file balanceguaranteedswap.hpp.

{ return type_; }

trancheNominal() [1/2]

const std::vector< std::vector< Real > > & trancheNominal

(

)

const

Definition at line 66 of file balanceguaranteedswap.hpp.

{ return trancheNominals_; }

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nominalSchedule()

const Schedule & nominalSchedule

(

)

const

Definition at line 67 of file balanceguaranteedswap.hpp.

{ return nominalSchedule_; }

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referencedTranche()

const Size referencedTranche

(

)

const

Definition at line 68 of file balanceguaranteedswap.hpp.

{ return referencedTranche_; }

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fixedSchedule()

const Schedule & fixedSchedule

(

)

const

Definition at line 70 of file balanceguaranteedswap.hpp.

{ return fixedSchedule_; }

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fixedRate()

const std::vector< Real > & fixedRate

(

)

const

Definition at line 71 of file balanceguaranteedswap.hpp.

{ return fixedRate_; }

fixedDayCount()

const DayCounter & fixedDayCount

(

)

const

Definition at line 72 of file balanceguaranteedswap.hpp.

{ return fixedDayCount_; }

floatingSchedule()

const Schedule & floatingSchedule

(

)

const

Definition at line 74 of file balanceguaranteedswap.hpp.

{ return floatingSchedule_; }

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iborIndex()

const QuantLib::ext::shared_ptr< IborIndex > & iborIndex

(

)

const

Definition at line 75 of file balanceguaranteedswap.hpp.

{ return iborIndex_; }

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gearing()

const std::vector< Real > & gearing

(

)

const

Definition at line 76 of file balanceguaranteedswap.hpp.

{ return gearing_; }

spread()

const std::vector< Real > & spread

(

)

const

Definition at line 77 of file balanceguaranteedswap.hpp.

{ return spread_; }

cappedRate()

const std::vector< Real > & cappedRate

(

)

const

Definition at line 78 of file balanceguaranteedswap.hpp.

{ return cappedRate_; }

flooredRate()

const std::vector< Real > & flooredRate

(

)

const

Definition at line 79 of file balanceguaranteedswap.hpp.

{ return flooredRate_; }

floatingDayCount()

const DayCounter & floatingDayCount

(

)

const

Definition at line 80 of file balanceguaranteedswap.hpp.

{ return floatingDayCount_; }

paymentConvention()

BusinessDayConvention paymentConvention

(

)

const

Definition at line 82 of file balanceguaranteedswap.hpp.

{ return paymentConvention_; }

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fixedLeg()

const Leg & fixedLeg

(

)

const

Definition at line 84 of file balanceguaranteedswap.hpp.

{ return legs_[0]; }

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floatingLeg()

const Leg & floatingLeg

(

)

const

Definition at line 85 of file balanceguaranteedswap.hpp.

{ return legs_[1]; }

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trancheNominal() [2/2]

Real trancheNominal	(	const Size	trancheIndex,
		const Date &	d
	)

Definition at line 205 of file balanceguaranteedswap.cpp.

                                                                                 {
    QL_REQUIRE(trancheIndex < trancheNominals_.size(), "BalanceGuaranteedSwap::trancheNominal(): tranceIndex ("
                                                           << trancheIndex << ") out of range 0..."
                                                           << trancheNominals_.size() - 1);
    if (d < nominalSchedule_.dates().front() || d >= nominalSchedule_.dates().back())
        return 0.0;
    Size l = std::upper_bound(nominalSchedule_.dates().begin(), nominalSchedule_.dates().end(), d) -
             nominalSchedule_.dates().begin();
    return trancheNominals_[trancheIndex][l - 1];
}

setupArguments()

void setupArguments ( QuantLib::PricingEngine::arguments *  ) const

overrideprivate

Definition at line 143 of file balanceguaranteedswap.cpp.

                                                                             {
    Swap::setupArguments(args);
    auto arguments = dynamic_cast<BalanceGuaranteedSwap::arguments*>(args);
 
    // QL_REQUIRE(arguments != nullptr, "BalanceGuaranteedSwap::setupArguments(): wrong argument type");
 
    // allow for swap engine
    if (arguments == nullptr)
        return;
 
    arguments->type = type_;
    arguments->trancheNominals = trancheNominals_;
    arguments->trancheNominalDates = nominalSchedule_.dates();
    arguments->trancheNominalFrequency = nominalSchedule_.tenor().frequency();
    arguments->referencedTranche = referencedTranche_;
    arguments->fixedRate = fixedRate_;
    arguments->iborIndex = iborIndex();
    arguments->cappedRate = cappedRate_;
    arguments->flooredRate = flooredRate_;
 
    const Leg& fixedCoupons = fixedLeg();
 
    arguments->fixedResetDates = arguments->fixedPayDates = std::vector<Date>(fixedCoupons.size());
    arguments->fixedCoupons = std::vector<Real>(fixedCoupons.size());
 
    for (Size i = 0; i < fixedCoupons.size(); ++i) {
        auto coupon = QuantLib::ext::dynamic_pointer_cast<FixedRateCoupon>(fixedCoupons[i]);
        QL_REQUIRE(coupon != nullptr, "BalanceGuaranteedSwap::setupArguments(): expected fixed rate coupon");
        arguments->fixedPayDates[i] = coupon->date();
        arguments->fixedResetDates[i] = coupon->accrualStartDate();
        arguments->fixedCoupons[i] = coupon->amount();
    }
 
    const Leg& floatingCoupons = floatingLeg();
 
    arguments->floatingResetDates = arguments->floatingPayDates = arguments->floatingFixingDates =
        std::vector<Date>(floatingCoupons.size());
    arguments->floatingAccrualTimes = std::vector<Time>(floatingCoupons.size());
    arguments->floatingSpreads = std::vector<Spread>(floatingCoupons.size());
    arguments->floatingGearings = std::vector<Real>(floatingCoupons.size());
    arguments->floatingCoupons = std::vector<Real>(floatingCoupons.size());
 
    for (Size i = 0; i < floatingCoupons.size(); ++i) {
        auto coupon = QuantLib::ext::dynamic_pointer_cast<FloatingRateCoupon>(floatingCoupons[i]);
        QL_REQUIRE(coupon != nullptr, "BalanceGuaranteedSwap::setupArguments(): expected fixed rate coupon");
        arguments->floatingResetDates[i] = coupon->accrualStartDate();
        arguments->floatingPayDates[i] = coupon->date();
        arguments->floatingFixingDates[i] = coupon->fixingDate();
        arguments->floatingAccrualTimes[i] = coupon->accrualPeriod();
        arguments->floatingSpreads[i] = coupon->spread();
        arguments->floatingGearings[i] = coupon->gearing();
        try {
            arguments->floatingCoupons[i] = coupon->amount();
        } catch (const std::exception&) {
            arguments->floatingCoupons[i] = Null<Real>();
        }
    }
 
    arguments->fixedLeg = legs_[0];
    arguments->floatingLeg = legs_[1];
}

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setupExpired()

void setupExpired ( ) const

overrideprivate

Definition at line 216 of file balanceguaranteedswap.cpp.

{ Swap::setupExpired(); }

fetchResults()

void fetchResults ( const QuantLib::PricingEngine::results *  ) const

overrideprivate

Definition at line 218 of file balanceguaranteedswap.cpp.

                                                                            {
    Swap::fetchResults(r);
    auto results = dynamic_cast<const BalanceGuaranteedSwap::results*>(r);
 
    // QL_REQUIRE(results != nullptr, "BalanceGuaranteedSwap::fetchResult(): wrong result type");
 
    // allow for swap engine
    if (results == nullptr)
        return;
}

Member Data Documentation

type_

const VanillaSwap::Type type_

private

Definition at line 91 of file balanceguaranteedswap.hpp.

trancheNominals_

const std::vector<std::vector<Real> > trancheNominals_

private

Definition at line 92 of file balanceguaranteedswap.hpp.

nominalSchedule_

const Schedule nominalSchedule_

private

Definition at line 93 of file balanceguaranteedswap.hpp.

referencedTranche_

const Size referencedTranche_

private

Definition at line 94 of file balanceguaranteedswap.hpp.

fixedSchedule_

const Schedule fixedSchedule_

private

Definition at line 95 of file balanceguaranteedswap.hpp.

fixedRate_

const std::vector<Real> fixedRate_

private

Definition at line 96 of file balanceguaranteedswap.hpp.

fixedDayCount_

const DayCounter fixedDayCount_

private

Definition at line 97 of file balanceguaranteedswap.hpp.

floatingSchedule_

const Schedule floatingSchedule_

private

Definition at line 98 of file balanceguaranteedswap.hpp.

iborIndex_

const QuantLib::ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 99 of file balanceguaranteedswap.hpp.

gearing_

const std::vector<Real> gearing_

private

Definition at line 100 of file balanceguaranteedswap.hpp.

spread_

const std::vector<Real> spread_

private

Definition at line 101 of file balanceguaranteedswap.hpp.

cappedRate_

const std::vector<Real> cappedRate_

private

Definition at line 102 of file balanceguaranteedswap.hpp.

flooredRate_

const std::vector<Real> flooredRate_

private

Definition at line 103 of file balanceguaranteedswap.hpp.

floatingDayCount_

const DayCounter floatingDayCount_

private

Definition at line 104 of file balanceguaranteedswap.hpp.

paymentConvention_

BusinessDayConvention paymentConvention_

private

Definition at line 105 of file balanceguaranteedswap.hpp.