Cross currency basis swap. More...

#include <qle/instruments/crossccybasisswap.hpp>

Inheritance diagram for CrossCcyBasisSwap:

Collaboration diagram for CrossCcyBasisSwap:

Classes
class	arguments

class	results

Public Member Functions
Constructors
	CrossCcyBasisSwap (Real payNominal, const Currency &payCurrency, const Schedule &paySchedule, const QuantLib::ext::shared_ptr< IborIndex > &payIndex, Spread paySpread, Real payGearing, Real recNominal, const Currency &recCurrency, const Schedule &recSchedule, const QuantLib::ext::shared_ptr< IborIndex > &recIndex, Spread recSpread, Real recGearing, Size payPaymentLag=0, Size recPaymentLag=0, boost::optional< bool > payIncludeSpread=boost::none, boost::optional< Period > payLookback=boost::none, boost::optional< Size > payFixingDays=boost::none, boost::optional< Size > payRateCutoff=boost::none, boost::optional< bool > payIsAveraged=boost::none, boost::optional< bool > recIncludeSpread=boost::none, boost::optional< Period > recLookback=boost::none, boost::optional< Size > recFixingDays=boost::none, boost::optional< Size > recRateCutoff=boost::none, boost::optional< bool > recIsAveraged=boost::none, const bool telescopicValueDates=false)

Inspectors
Real	payNominal () const

const Currency &	payCurrency () const

const Schedule &	paySchedule () const

const QuantLib::ext::shared_ptr< IborIndex > &	payIndex () const

Spread	paySpread () const

Real	payGearing () const

Real	recNominal () const

const Currency &	recCurrency () const

const Schedule &	recSchedule () const

const QuantLib::ext::shared_ptr< IborIndex > &	recIndex () const

Spread	recSpread () const

Real	recGearing () const

Additional interface
Spread	fairPaySpread () const

Spread	fairRecSpread () const

Public Member Functions inherited from CrossCcySwap
const Currency &	legCurrency (Size j) const

Real	inCcyLegBPS (Size j) const

Real	inCcyLegNPV (Size j) const

DiscountFactor	npvDateDiscounts (Size j) const

void	setupArguments (PricingEngine::arguments *args) const override

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

	CrossCcySwap (const Leg &firstLeg, const Currency &firstLegCcy, const Leg &secondLeg, const Currency &secondLegCcy)
	First leg is paid and the second is received. More...

	CrossCcySwap (const std::vector< Leg > &legs, const std::vector< bool > &payer, const std::vector< Currency > &currencies)

Instrument interface
Real	payNominal_

Currency	payCurrency_

Schedule	paySchedule_

QuantLib::ext::shared_ptr< IborIndex >	payIndex_

Spread	paySpread_

Real	payGearing_

Real	recNominal_

Currency	recCurrency_

Schedule	recSchedule_

QuantLib::ext::shared_ptr< IborIndex >	recIndex_

Spread	recSpread_

Real	recGearing_

Size	payPaymentLag_

Size	recPaymentLag_

boost::optional< bool >	payIncludeSpread_

boost::optional< QuantLib::Period >	payLookback_

boost::optional< QuantLib::Size >	payFixingDays_

boost::optional< Size >	payRateCutoff_

boost::optional< bool >	payIsAveraged_

boost::optional< bool >	recIncludeSpread_

boost::optional< QuantLib::Period >	recLookback_

boost::optional< QuantLib::Size >	recFixingDays_

boost::optional< Size >	recRateCutoff_

boost::optional< bool >	recIsAveraged_

bool	telescopicValueDates_

Spread	fairPaySpread_

Spread	fairRecSpread_

void	setupArguments (PricingEngine::arguments *args) const override

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

void	setupExpired () const override

void	initialize ()

Additional Inherited Members
Protected Member Functions inherited from CrossCcySwap
void	setupExpired () const override

	CrossCcySwap (Size legs)

Protected Attributes inherited from CrossCcySwap
std::vector< Currency >	currencies_

Detailed Description

Cross currency basis swap.

The first leg holds the pay currency cashflows and second leg holds the receive currency cashflows.

    \ingroup instruments

Definition at line 41 of file crossccybasisswap.hpp.

Constructor & Destructor Documentation

◆ CrossCcyBasisSwap()

CrossCcyBasisSwap	(	Real	payNominal,
		const Currency &	payCurrency,
		const Schedule &	paySchedule,
		const QuantLib::ext::shared_ptr< IborIndex > &	payIndex,
		Spread	paySpread,
		Real	payGearing,
		Real	recNominal,
		const Currency &	recCurrency,
		const Schedule &	recSchedule,
		const QuantLib::ext::shared_ptr< IborIndex > &	recIndex,
		Spread	recSpread,
		Real	recGearing,
		Size	payPaymentLag = `0`,
		Size	recPaymentLag = `0`,
		boost::optional< bool >	payIncludeSpread = `boost::none`,
		boost::optional< Period >	payLookback = `boost::none`,
		boost::optional< Size >	payFixingDays = `boost::none`,
		boost::optional< Size >	payRateCutoff = `boost::none`,
		boost::optional< bool >	payIsAveraged = `boost::none`,
		boost::optional< bool >	recIncludeSpread = `boost::none`,
		boost::optional< Period >	recLookback = `boost::none`,
		boost::optional< Size >	recFixingDays = `boost::none`,
		boost::optional< Size >	recRateCutoff = `boost::none`,
		boost::optional< bool >	recIsAveraged = `boost::none`,
		const bool	telescopicValueDates = `false`
	)

First leg holds the pay currency cashflows and the second leg holds the receive currency cashflows.

Definition at line 32 of file crossccybasisswap.cpp.

    : CrossCcySwap(2), payNominal_(payNominal), payCurrency_(payCurrency), paySchedule_(paySchedule),
      payIndex_(payIndex), paySpread_(paySpread), payGearing_(payGearing), recNominal_(recNominal),
      recCurrency_(recCurrency), recSchedule_(recSchedule), recIndex_(recIndex), recSpread_(recSpread),
      recGearing_(recGearing), payPaymentLag_(payPaymentLag), recPaymentLag_(recPaymentLag),
      payIncludeSpread_(payIncludeSpread), payLookback_(payLookback), payFixingDays_(payFixingDays),
      payRateCutoff_(payRateCutoff), payIsAveraged_(payIsAveraged), recIncludeSpread_(recIncludeSpread),
      recLookback_(recLookback), recFixingDays_(recFixingDays), recRateCutoff_(recRateCutoff),
      recIsAveraged_(recIsAveraged), telescopicValueDates_(telescopicValueDates) {
    registerWith(payIndex_);
    registerWith(recIndex_);
    initialize();
}

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Member Function Documentation

◆ setupArguments()

void setupArguments ( PricingEngine::arguments * args ) const

override

Definition at line 153 of file crossccybasisswap.cpp.

                                                                         {
 
    CrossCcySwap::setupArguments(args);
 
    CrossCcyBasisSwap::arguments* arguments = dynamic_cast<CrossCcyBasisSwap::arguments*>(args);
 
    /* Returns here if e.g. args is CrossCcySwap::arguments which
       is the case if PricingEngine is a CrossCcySwap::engine. */
    if (!arguments)
        return;
 
    arguments->paySpread = paySpread_;
    arguments->recSpread = recSpread_;
}

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◆ fetchResults()

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

override

Definition at line 168 of file crossccybasisswap.cpp.

                                                                        {
 
    CrossCcySwap::fetchResults(r);
 
    const CrossCcyBasisSwap::results* results = dynamic_cast<const CrossCcyBasisSwap::results*>(r);
    if (results) {
        /* If PricingEngine::results are of type
           CrossCcyBasisSwap::results */
        fairPaySpread_ = results->fairPaySpread;
        fairRecSpread_ = results->fairRecSpread;
    } else {
        /* If not, e.g. if the engine is a CrossCcySwap::engine */
        fairPaySpread_ = Null<Spread>();
        fairRecSpread_ = Null<Spread>();
    }
 
    /* Calculate the fair pay and receive spreads if they are null */
    static Spread basisPoint = 1.0e-4;
    if (fairPaySpread_ == Null<Spread>()) {
        if (legBPS_[0] != Null<Real>())
            fairPaySpread_ = paySpread_ - NPV_ / (legBPS_[0] / basisPoint);
    }
    if (fairRecSpread_ == Null<Spread>()) {
        if (legBPS_[1] != Null<Real>())
            fairRecSpread_ = recSpread_ - NPV_ / (legBPS_[1] / basisPoint);
    }
}

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◆ payNominal()

Real payNominal ( ) const

Definition at line 69 of file crossccybasisswap.hpp.

69{ return payNominal_; }

◆ payCurrency()

const Currency & payCurrency ( ) const

Definition at line 70 of file crossccybasisswap.hpp.

70{ return payCurrency_; }

◆ paySchedule()

const Schedule & paySchedule ( ) const

Definition at line 71 of file crossccybasisswap.hpp.

71{ return paySchedule_; }

◆ payIndex()

const QuantLib::ext::shared_ptr< IborIndex > & payIndex ( ) const

Definition at line 72 of file crossccybasisswap.hpp.

72{ return payIndex_; }

◆ paySpread()

Spread paySpread ( ) const

Definition at line 73 of file crossccybasisswap.hpp.

73{ return paySpread_; }

◆ payGearing()

Real payGearing ( ) const

Definition at line 74 of file crossccybasisswap.hpp.

74{ return payGearing_; }

◆ recNominal()

Real recNominal ( ) const

Definition at line 76 of file crossccybasisswap.hpp.

76{ return recNominal_; }

◆ recCurrency()

const Currency & recCurrency ( ) const

Definition at line 77 of file crossccybasisswap.hpp.

77{ return recCurrency_; }

◆ recSchedule()

const Schedule & recSchedule ( ) const

Definition at line 78 of file crossccybasisswap.hpp.

78{ return recSchedule_; }

◆ recIndex()

const QuantLib::ext::shared_ptr< IborIndex > & recIndex ( ) const

Definition at line 79 of file crossccybasisswap.hpp.

79{ return recIndex_; }

◆ recSpread()

Spread recSpread ( ) const

Definition at line 80 of file crossccybasisswap.hpp.

80{ return recSpread_; }

◆ recGearing()

Real recGearing ( ) const

Definition at line 81 of file crossccybasisswap.hpp.

81{ return recGearing_; }

◆ fairPaySpread()

Spread fairPaySpread ( ) const

Definition at line 86 of file crossccybasisswap.hpp.

                                 {
        calculate();
        QL_REQUIRE(fairPaySpread_ != Null<Real>(), "Fair pay spread is not available");
        return fairPaySpread_;
    }

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◆ fairRecSpread()

Spread fairRecSpread ( ) const

Definition at line 91 of file crossccybasisswap.hpp.

                                 {
        calculate();
        QL_REQUIRE(fairRecSpread_ != Null<Real>(), "Fair pay spread is not available");
        return fairRecSpread_;
    }

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◆ setupExpired()

void setupExpired ( ) const

overrideprotected

Definition at line 196 of file crossccybasisswap.cpp.

                                           {
    CrossCcySwap::setupExpired();
    fairPaySpread_ = Null<Spread>();
    fairRecSpread_ = Null<Spread>();
}

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◆ initialize()

void initialize ( )

private

Definition at line 55 of file crossccybasisswap.cpp.

                                   {
    // Pay leg
    if (auto on = QuantLib::ext::dynamic_pointer_cast<QuantLib::OvernightIndex>(payIndex_)) {
        // ON leg
        if (payIsAveraged_ && *payIsAveraged_) {
            legs_[0] = QuantExt::AverageONLeg(paySchedule_, on)
                           .withNotional(payNominal_)
                           .withSpread(paySpread_)
                           .withGearing(payGearing_)
                           .withPaymentLag(payPaymentLag_)
                           .withLookback(payLookback_ ? *payLookback_ : 0 * Days)
                           .withFixingDays(payFixingDays_ ? *payFixingDays_ : 0)
                           .withRateCutoff(payRateCutoff_ ? *payRateCutoff_ : 0)
                           .withTelescopicValueDates(telescopicValueDates_);
        } else {
            legs_[0] = QuantExt::OvernightLeg(paySchedule_, on)
                           .withNotionals(payNominal_)
                           .withSpreads(paySpread_)
                           .withGearings(payGearing_)
                           .withPaymentLag(payPaymentLag_)
                           .includeSpread(payIncludeSpread_ ? *payIncludeSpread_ : false)
                           .withLookback(payLookback_ ? *payLookback_ : 0 * Days)
                           .withFixingDays(payFixingDays_ ? *payFixingDays_ : 0)
                           .withRateCutoff(payRateCutoff_ ? *payRateCutoff_ : 0)
                           .withTelescopicValueDates(telescopicValueDates_);
        }
    } else {
        // Ibor leg
        legs_[0] = IborLeg(paySchedule_, payIndex_)
                       .withNotionals(payNominal_)
                       .withSpreads(paySpread_)
                       .withGearings(payGearing_)
                       .withPaymentLag(payPaymentLag_);
    }
    payer_[0] = -1.0;
    currencies_[0] = payCurrency_;
    // Pay leg notional exchange at start.
    Date initialPayDate = paySchedule_.dates().front();
    QuantLib::ext::shared_ptr<CashFlow> initialPayCF(new SimpleCashFlow(-payNominal_, initialPayDate));
    legs_[0].insert(legs_[0].begin(), initialPayCF);
    // Pay leg notional exchange at end.
    Date finalPayDate = paySchedule_.dates().back();
    QuantLib::ext::shared_ptr<CashFlow> finalPayCF(new SimpleCashFlow(payNominal_, finalPayDate));
    legs_[0].push_back(finalPayCF);
 
    // Receive leg
    if (auto on = QuantLib::ext::dynamic_pointer_cast<QuantLib::OvernightIndex>(recIndex_)) {
        // ON leg
        if (recIsAveraged_ && *recIsAveraged_) {
            legs_[1] = QuantExt::AverageONLeg(recSchedule_, on)
                           .withNotional(recNominal_)
                           .withSpread(recSpread_)
                           .withGearing(recGearing_)
                           .withPaymentLag(recPaymentLag_)
                           .withLookback(recLookback_ ? *recLookback_ : 0 * Days)
                           .withFixingDays(recFixingDays_ ? *recFixingDays_ : 0)
                           .withRateCutoff(recRateCutoff_ ? *recRateCutoff_ : 0)
                           .withTelescopicValueDates(telescopicValueDates_);
        } else {
            legs_[1] = QuantExt::OvernightLeg(recSchedule_, on)
                           .withNotionals(recNominal_)
                           .withSpreads(recSpread_)
                           .withGearings(recGearing_)
                           .withPaymentLag(recPaymentLag_)
                           .includeSpread(recIncludeSpread_ ? *recIncludeSpread_ : false)
                           .withLookback(recLookback_ ? *recLookback_ : 0 * Days)
                           .withFixingDays(recFixingDays_ ? *recFixingDays_ : 0)
                           .withRateCutoff(recRateCutoff_ ? *recRateCutoff_ : 0)
                           .withTelescopicValueDates(telescopicValueDates_);
        }
    } else {
        // Ibor leg
        legs_[1] = IborLeg(recSchedule_, recIndex_)
                       .withNotionals(recNominal_)
                       .withSpreads(recSpread_)
                       .withGearings(recGearing_)
                       .withPaymentLag(recPaymentLag_);
    }
    payer_[1] = +1.0;
    currencies_[1] = recCurrency_;
    // Receive leg notional exchange at start.
    Date initialRecDate = recSchedule_.dates().front();
    QuantLib::ext::shared_ptr<CashFlow> initialRecCF(new SimpleCashFlow(-recNominal_, initialRecDate));
    legs_[1].insert(legs_[1].begin(), initialRecCF);
    // Receive leg notional exchange at end.
    Date finalRecDate = recSchedule_.dates().back();
    QuantLib::ext::shared_ptr<CashFlow> finalRecCF(new SimpleCashFlow(recNominal_, finalRecDate));
    legs_[1].push_back(finalRecCF);
 
    // Register the instrument with all cashflows on each leg.
    for (Size legNo = 0; legNo < 2; legNo++) {
        Leg::iterator it;
        for (it = legs_[legNo].begin(); it != legs_[legNo].end(); ++it) {
            registerWith(*it);
        }
    }
}

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Member Data Documentation

◆ payNominal_

Real payNominal_

private

Definition at line 107 of file crossccybasisswap.hpp.

◆ payCurrency_

Currency payCurrency_

private

Definition at line 108 of file crossccybasisswap.hpp.

◆ paySchedule_

Schedule paySchedule_

private

Definition at line 109 of file crossccybasisswap.hpp.

◆ payIndex_

QuantLib::ext::shared_ptr<IborIndex> payIndex_

private

Definition at line 110 of file crossccybasisswap.hpp.

◆ paySpread_

Spread paySpread_

private

Definition at line 111 of file crossccybasisswap.hpp.

◆ payGearing_

Real payGearing_

private

Definition at line 112 of file crossccybasisswap.hpp.

◆ recNominal_

Real recNominal_

private

Definition at line 114 of file crossccybasisswap.hpp.

◆ recCurrency_

Currency recCurrency_

private

Definition at line 115 of file crossccybasisswap.hpp.

◆ recSchedule_

Schedule recSchedule_

private

Definition at line 116 of file crossccybasisswap.hpp.

◆ recIndex_

QuantLib::ext::shared_ptr<IborIndex> recIndex_

private

Definition at line 117 of file crossccybasisswap.hpp.

◆ recSpread_

Spread recSpread_

private

Definition at line 118 of file crossccybasisswap.hpp.

◆ recGearing_

Real recGearing_

private

Definition at line 119 of file crossccybasisswap.hpp.

◆ payPaymentLag_

Size payPaymentLag_

private

Definition at line 121 of file crossccybasisswap.hpp.

◆ recPaymentLag_

Size recPaymentLag_

private

Definition at line 122 of file crossccybasisswap.hpp.

◆ payIncludeSpread_

boost::optional<bool> payIncludeSpread_

private

Definition at line 124 of file crossccybasisswap.hpp.

◆ payLookback_

boost::optional<QuantLib::Period> payLookback_

private

Definition at line 125 of file crossccybasisswap.hpp.

◆ payFixingDays_

boost::optional<QuantLib::Size> payFixingDays_

private

Definition at line 126 of file crossccybasisswap.hpp.

◆ payRateCutoff_

boost::optional<Size> payRateCutoff_

private

Definition at line 127 of file crossccybasisswap.hpp.

◆ payIsAveraged_

boost::optional<bool> payIsAveraged_

private

Definition at line 128 of file crossccybasisswap.hpp.

◆ recIncludeSpread_

boost::optional<bool> recIncludeSpread_

private

Definition at line 129 of file crossccybasisswap.hpp.

◆ recLookback_

boost::optional<QuantLib::Period> recLookback_

private

Definition at line 130 of file crossccybasisswap.hpp.

◆ recFixingDays_

boost::optional<QuantLib::Size> recFixingDays_

private

Definition at line 131 of file crossccybasisswap.hpp.

◆ recRateCutoff_

boost::optional<Size> recRateCutoff_

private

Definition at line 132 of file crossccybasisswap.hpp.

◆ recIsAveraged_

boost::optional<bool> recIsAveraged_

private

Definition at line 133 of file crossccybasisswap.hpp.

◆ telescopicValueDates_

bool telescopicValueDates_

private

Definition at line 134 of file crossccybasisswap.hpp.

◆ fairPaySpread_

Spread fairPaySpread_

mutableprivate

Definition at line 136 of file crossccybasisswap.hpp.

◆ fairRecSpread_

Spread fairRecSpread_

mutableprivate

Definition at line 137 of file crossccybasisswap.hpp.

Classes

Public Member Functions

Instrument interface

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CrossCcyBasisSwap()

Member Function Documentation

◆ setupArguments()

◆ fetchResults()

◆ payNominal()

◆ payCurrency()

◆ paySchedule()

◆ payIndex()

◆ paySpread()

◆ payGearing()

◆ recNominal()

◆ recCurrency()

◆ recSchedule()

◆ recIndex()

◆ recSpread()

◆ recGearing()

◆ fairPaySpread()

◆ fairRecSpread()

◆ setupExpired()

◆ initialize()

Member Data Documentation

◆ payNominal_

◆ payCurrency_

◆ paySchedule_

◆ payIndex_

◆ paySpread_

◆ payGearing_

◆ recNominal_

◆ recCurrency_

◆ recSchedule_

◆ recIndex_

◆ recSpread_

◆ recGearing_

◆ payPaymentLag_

◆ recPaymentLag_

◆ payIncludeSpread_

◆ payLookback_

◆ payFixingDays_

◆ payRateCutoff_

◆ payIsAveraged_

◆ recIncludeSpread_

◆ recLookback_

◆ recFixingDays_

◆ recRateCutoff_

◆ recIsAveraged_

◆ telescopicValueDates_

◆ fairPaySpread_

◆ fairRecSpread_