BondTRS Class Reference

Bond TRS class. More...

#include <qle/instruments/bondtotalreturnswap.hpp>

Inheritance diagram for BondTRS:

Collaboration diagram for BondTRS:

Classes
class	arguments

Public Types
using	engine = GenericEngine< BondTRS::arguments, BondTRS::results >
using	results = BondTRS::results

Public Member Functions
	BondTRS (const QuantLib::ext::shared_ptr< QuantExt::BondIndex > &bondIndex, const Real bondNotional, const Real initialPrice, const std::vector< Leg > &fundingLeg, const bool payTotalReturnLeg, const std::vector< Date > &valuationDates, const std::vector< Date > &paymentDates, const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndex=nullptr, bool payBondCashFlowsImmediately=false, const Currency &fundingCurrency=Currency(), const Currency &bondCurrency=Currency())
	Constructor. More...
Instrument interface
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override

Inspectors
QuantLib::ext::shared_ptr< QuantExt::BondIndex >	bondIndex_
Real	bondNotional_
Real	initialPrice_
std::vector< Leg >	fundingLeg_
bool	payTotalReturnLeg_
QuantLib::ext::shared_ptr< QuantExt::FxIndex >	fxIndex_
bool	payBondCashFlowsImmediately_
Currency	fundingCurrency_
Currency	bondCurrency_
std::vector< Date >	valuationDates_
std::vector< Date >	paymentDates_
Leg	returnLeg_
const QuantLib::ext::shared_ptr< QuantExt::BondIndex > &	bondIndex () const
const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &	fxIndex () const
Real	bondNotional () const
const std::vector< Leg > &	fundingLeg () const
Real	initialPrice () const
bool	payTotalReturnLeg () const
const Leg &	returnLeg () const
bool	payBondCashFlowsImmediately () const
const std::vector< Date > &	valuationDates () const
const std::vector< Date > &	paymentDates () const

Detailed Description

Bond TRS class.

Definition at line 37 of file bondtotalreturnswap.hpp.

Member Typedef Documentation

engine

using engine = GenericEngine<BondTRS::arguments, BondTRS::results>

Definition at line 40 of file bondtotalreturnswap.hpp.

results

using results = BondTRS::results

Definition at line 41 of file bondtotalreturnswap.hpp.

Constructor & Destructor Documentation

BondTRS()

BondTRS	(	const QuantLib::ext::shared_ptr< QuantExt::BondIndex > &	bondIndex,
		const Real	bondNotional,
		const Real	initialPrice,
		const std::vector< Leg > &	fundingLeg,
		const bool	payTotalReturnLeg,
		const std::vector< Date > &	valuationDates,
		const std::vector< Date > &	paymentDates,
		const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &	fxIndex = nullptr,
		bool	payBondCashFlowsImmediately = false,
		const Currency &	fundingCurrency = Currency(),
		const Currency &	bondCurrency = Currency()
	)

Constructor.

Definition at line 27 of file bondtotalreturnswap.cpp.

    : bondIndex_(bondIndex), bondNotional_(bondNotional), initialPrice_(initialPrice), fundingLeg_(fundingLeg),
      payTotalReturnLeg_(payTotalReturnLeg), fxIndex_(fxIndex),
      payBondCashFlowsImmediately_(payBondCashFlowsImmediately), fundingCurrency_(fundingCurrency),
      bondCurrency_(bondCurrency), valuationDates_(valuationDates), paymentDates_(paymentDates) {
 
    QL_REQUIRE(bondIndex, "BondTRS: no bond index given");
    registerWith(bondIndex);
 
    if (fxIndex_ != nullptr)
        registerWith(fxIndex_);
 
    if (!fundingCurrency_.empty() && !bondCurrency_.empty()) {
        // do we require an fx index for conversion ...
        QL_REQUIRE(fundingCurrency_ == bondCurrency_ || fxIndex_ != nullptr,
                   "BondTRS: fx index required if funding ccy ("
                       << fundingCurrency_.code() << ") not equal to bond ccy (" << bondCurrency_.code() << ")");
        // ... and if yes, has it the right currencies?
        if (fxIndex_ != nullptr) {
            QL_REQUIRE(fxIndex_->sourceCurrency() == bondCurrency_ && fxIndex_->targetCurrency() == fundingCurrency_,
                       "BondTRS: fx index '" << fxIndex_->name() << "' currencies must match bond ccy / funding ccy ("
                                             << bondCurrency_.code() << " / " << fundingCurrency_.code() << ")");
        }
    }
 
    for (auto const& l : fundingLeg) {
        for (auto const& c : l)
            registerWith(c);
    }
    QL_REQUIRE(valuationDates.size() > 1, "valuation dates size > 1 required");
 
    returnLeg_ =
        BondTRSLeg(valuationDates_, paymentDates_, bondNotional_, bondIndex_, fxIndex_).withInitialPrice(initialPrice_);
}

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Member Function Documentation

isExpired()

bool isExpired ( ) const

override

Definition at line 66 of file bondtotalreturnswap.cpp.

{ return detail::simple_event(valuationDates_.back()).hasOccurred(); }

setupArguments()

void setupArguments ( PricingEngine::arguments *  args ) const

override

Definition at line 68 of file bondtotalreturnswap.cpp.

                                                               {
    BondTRS::arguments* arguments = dynamic_cast<BondTRS::arguments*>(args);
    QL_REQUIRE(arguments, "BondTRS instrument: wrong argument type in bond total return swap");
    arguments->bondIndex = bondIndex_;
    arguments->fxIndex = fxIndex_;
    arguments->bondNotional = bondNotional_;
    arguments->fundingLeg = fundingLeg_;
    arguments->returnLeg = returnLeg_;
    arguments->payTotalReturnLeg = payTotalReturnLeg_;
    arguments->payBondCashFlowsImmediately = payBondCashFlowsImmediately_;
    arguments->fundingCurrency = fundingCurrency_;
    arguments->bondCurrency = bondCurrency_;
    arguments->valuationDates = valuationDates_;
    arguments->paymentDates = paymentDates_;
}

bondIndex()

const QuantLib::ext::shared_ptr< QuantExt::BondIndex > & bondIndex

(

)

const

Definition at line 57 of file bondtotalreturnswap.hpp.

{ return bondIndex_; }

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fxIndex()

const QuantLib::ext::shared_ptr< QuantExt::FxIndex > & fxIndex

(

)

const

Definition at line 58 of file bondtotalreturnswap.hpp.

{ return fxIndex_; }

bondNotional()

Real bondNotional

(

)

const

Definition at line 59 of file bondtotalreturnswap.hpp.

{ return bondNotional_; }

fundingLeg()

const std::vector< Leg > & fundingLeg

(

)

const

Definition at line 60 of file bondtotalreturnswap.hpp.

{ return fundingLeg_; }

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initialPrice()

Real initialPrice

(

)

const

Definition at line 61 of file bondtotalreturnswap.hpp.

{ return initialPrice_; }

payTotalReturnLeg()

bool payTotalReturnLeg

(

)

const

Definition at line 62 of file bondtotalreturnswap.hpp.

{ return payTotalReturnLeg_; }

returnLeg()

const Leg & returnLeg

(

)

const

Definition at line 63 of file bondtotalreturnswap.hpp.

{ return returnLeg_; }

payBondCashFlowsImmediately()

bool payBondCashFlowsImmediately

(

)

const

Definition at line 64 of file bondtotalreturnswap.hpp.

{ return payBondCashFlowsImmediately_; }

valuationDates()

const std::vector< Date > & valuationDates

(

)

const

Definition at line 65 of file bondtotalreturnswap.hpp.

{ return valuationDates_; }

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paymentDates()

const std::vector< Date > & paymentDates

(

)

const

Definition at line 66 of file bondtotalreturnswap.hpp.

{ return paymentDates_; }

Member Data Documentation

bondIndex_

QuantLib::ext::shared_ptr<QuantExt::BondIndex> bondIndex_

private

Definition at line 70 of file bondtotalreturnswap.hpp.

bondNotional_

Real bondNotional_

private

Definition at line 71 of file bondtotalreturnswap.hpp.

initialPrice_

Real initialPrice_

private

Definition at line 72 of file bondtotalreturnswap.hpp.

fundingLeg_

std::vector<Leg> fundingLeg_

private

Definition at line 73 of file bondtotalreturnswap.hpp.

payTotalReturnLeg_

bool payTotalReturnLeg_

private

Definition at line 74 of file bondtotalreturnswap.hpp.

fxIndex_

QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndex_

private

Definition at line 75 of file bondtotalreturnswap.hpp.

payBondCashFlowsImmediately_

bool payBondCashFlowsImmediately_

private

Definition at line 76 of file bondtotalreturnswap.hpp.

fundingCurrency_

Currency fundingCurrency_

private

Definition at line 77 of file bondtotalreturnswap.hpp.

bondCurrency_

Currency bondCurrency_

private

Definition at line 77 of file bondtotalreturnswap.hpp.

valuationDates_

std::vector<Date> valuationDates_

private

Definition at line 78 of file bondtotalreturnswap.hpp.

paymentDates_

std::vector<Date> paymentDates_

private

Definition at line 79 of file bondtotalreturnswap.hpp.

returnLeg_

Leg returnLeg_

private

Definition at line 81 of file bondtotalreturnswap.hpp.