CrossCcySwapEngine Class Reference

Cross currency swap engine. More...

#include <qle/pricingengines/crossccyswapengine.hpp>

Inheritance diagram for CrossCcySwapEngine:

Collaboration diagram for CrossCcySwapEngine:

Public Member Functions
Constructors
	CrossCcySwapEngine (const Currency &ccy1, const Handle< YieldTermStructure > &currency1DiscountCurve, const Currency &ccy2, const Handle< YieldTermStructure > &currency2DiscountCurve, const Handle< Quote > &spotFX, boost::optional< bool > includeSettlementDateFlows=boost::none, const Date &settlementDate=Date(), const Date &npvDate=Date(), const Date &spotFXSettleDate=Date())
PricingEngine interface
void	calculate () const override

Inspectors
Currency	ccy1_
Handle< YieldTermStructure >	currency1Discountcurve_
Currency	ccy2_
Handle< YieldTermStructure >	currency2Discountcurve_
Handle< Quote >	spotFX_
boost::optional< bool >	includeSettlementDateFlows_
Date	settlementDate_
Date	npvDate_
Date	spotFXSettleDate_
const Handle< YieldTermStructure > &	currency1DiscountCurve () const
const Handle< YieldTermStructure > &	currency2DiscountCurve () const
const Currency &	currency1 () const
const Currency &	currency2 () const
const Handle< Quote > &	spotFX () const

Detailed Description

Cross currency swap engine.

This class implements an engine for pricing swaps comprising legs that involve two currencies. The npv is expressed in ccy1. The given currencies ccy1 and ccy2 are matched to the correct swap legs. The evaluation date is the reference date of either discounting curve (which must be equal).

    \ingroup engines

Definition at line 43 of file crossccyswapengine.hpp.

Constructor & Destructor Documentation

CrossCcySwapEngine()

CrossCcySwapEngine	(	const Currency &	ccy1,
		const Handle< YieldTermStructure > &	currency1DiscountCurve,
		const Currency &	ccy2,
		const Handle< YieldTermStructure > &	currency2DiscountCurve,
		const Handle< Quote > &	spotFX,
		boost::optional< bool >	includeSettlementDateFlows = boost::none,
		const Date &	settlementDate = Date(),
		const Date &	npvDate = Date(),
		const Date &	spotFXSettleDate = Date()
	)

Parameters

ccy1	Currency 1
currency1DiscountCurve	Discount curve for cash flows in currency 1
ccy2	Currency 2
currency2DiscountCurve	Discount curve for cash flows in currency 2
spotFX	The market spot rate quote, given as units of ccy1 for one unit of cc2. The spot rate must be given w.r.t. a settlement equal to the npv date.
includeSettlementDateFlows,settlementDate	If includeSettlementDateFlows is true (false), cashflows on the settlementDate are (not) included in the NPV. If not given the settlement date is set to the npv date.
npvDate	Discount to this date. If not given the npv date is set to the evaluation date
spotFXSettleDate	FX conversion as of this date if specified explicitly

Definition at line 27 of file crossccyswapengine.cpp.

    : ccy1_(ccy1), currency1Discountcurve_(currency1Discountcurve), ccy2_(ccy2),
      currency2Discountcurve_(currency2Discountcurve), spotFX_(spotFX),
      includeSettlementDateFlows_(includeSettlementDateFlows), settlementDate_(settlementDate), npvDate_(npvDate),
      spotFXSettleDate_(spotFXSettleDate) {
 
    registerWith(currency1Discountcurve_);
    registerWith(currency2Discountcurve_);
    registerWith(spotFX_);
}

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 41 of file crossccyswapengine.cpp.

                                         {
 
    QL_REQUIRE(!currency1Discountcurve_.empty() && !currency2Discountcurve_.empty(),
               "Discounting term structure handle is empty.");
 
    QL_REQUIRE(!spotFX_.empty(), "FX spot quote handle is empty.");
 
    QL_REQUIRE(currency1Discountcurve_->referenceDate() == currency2Discountcurve_->referenceDate(),
               "Term structures should have the same reference date.");
    Date referenceDate = currency1Discountcurve_->referenceDate();
    Date settlementDate = settlementDate_;
    if (settlementDate_ == Date()) {
        settlementDate = referenceDate;
    } else {
        QL_REQUIRE(settlementDate >= referenceDate, "Settlement date (" << settlementDate
                                                                        << ") cannot be before discount curve "
                                                                           "reference date ("
                                                                        << referenceDate << ")");
    }
 
    Size numLegs = arguments_.legs.size();
    // - Instrument::Results
    if (npvDate_ == Date()) {
        results_.valuationDate = referenceDate;
    } else {
        QL_REQUIRE(npvDate_ >= referenceDate, "NPV date (" << npvDate_
                                                           << ") cannot be before "
                                                              "discount curve reference date ("
                                                           << referenceDate << ")");
        results_.valuationDate = npvDate_;
    }
 
    Date spotFXSettleDate = spotFXSettleDate_;
    if (spotFXSettleDate_ == Date()) {
        spotFXSettleDate = referenceDate;
    } else {
        QL_REQUIRE(spotFXSettleDate >= referenceDate, "FX settlement date (" << spotFXSettleDate
                                                                        << ") cannot be before discount curve "
                                                                           "reference date ("
                                                                        << referenceDate << ")");
    }
    
    results_.value = 0.0;
    results_.errorEstimate = Null<Real>();
    // - Swap::Results
    results_.legNPV.resize(numLegs);
    results_.legBPS.resize(numLegs);
    results_.startDiscounts.resize(numLegs);
    results_.endDiscounts.resize(numLegs);
    // - CrossCcySwap::Results
    results_.inCcyLegNPV.resize(numLegs);
    results_.inCcyLegBPS.resize(numLegs);
    results_.npvDateDiscounts.resize(numLegs);
 
    bool includeReferenceDateFlows =
        includeSettlementDateFlows_ ? *includeSettlementDateFlows_ : Settings::instance().includeReferenceDateEvents();
 
    for (Size legNo = 0; legNo < numLegs; legNo++) {
        try {
            // Choose the correct discount curve for the leg.
            Handle<YieldTermStructure> legDiscountCurve;
            if (arguments_.currencies[legNo] == ccy1_) {
                legDiscountCurve = currency1Discountcurve_;
            } else {
                QL_REQUIRE(arguments_.currencies[legNo] == ccy2_, "leg ccy (" << arguments_.currencies[legNo]
                                                                              << ") must be ccy1 (" << ccy1_
                                                                              << ") or ccy2 (" << ccy2_ << ")");
                legDiscountCurve = currency2Discountcurve_;
            }
            results_.npvDateDiscounts[legNo] = legDiscountCurve->discount(results_.valuationDate);
 
            // Calculate the NPV and BPS of each leg in its currency.
            std::tie(results_.inCcyLegNPV[legNo], results_.inCcyLegBPS[legNo]) =
                CashFlows::npvbps(arguments_.legs[legNo], **legDiscountCurve, includeReferenceDateFlows, settlementDate,
                                  results_.valuationDate);
            results_.inCcyLegNPV[legNo] *= arguments_.payer[legNo];
            results_.inCcyLegBPS[legNo] *= arguments_.payer[legNo];
 
            results_.legNPV[legNo] = results_.inCcyLegNPV[legNo];
            results_.legBPS[legNo] = results_.inCcyLegBPS[legNo];
 
            // Convert to NPV currency if necessary.
            if (arguments_.currencies[legNo] != ccy1_) {
                // results_.legNPV[legNo] *= spotFX_->value();
                // results_.legBPS[legNo] *= spotFX_->value();
                Real spotFXRate = spotFX_->value();
                if (spotFXSettleDate != referenceDate) {
                    // Use the parity relation between discount factors and fx rates to compute spotFXRate
                    // Generic formula: fx(T1)/fx(T2) = FwdDF_Quote(T1->T2) / FwdDF_Base(T1->T2),
                    // where fx represents the currency ratio Base/Quote
                    Real ccy1DF = currency1Discountcurve_->discount(spotFXSettleDate);
                    Real ccy2DF = currency2Discountcurve_->discount(spotFXSettleDate);
                    QL_REQUIRE(ccy2DF != 0.0, "Discount Factor associated with currency " << ccy2_
                                                 << " at maturity " << spotFXSettleDate << " cannot be zero");
                    spotFXRate *= ccy1DF / ccy2DF;
                }
                results_.legNPV[legNo] *= spotFXRate;
                results_.legBPS[legNo] *= spotFXRate;
            }
 
            // Get start date and end date discount for the leg
            Date startDate = CashFlows::startDate(arguments_.legs[legNo]);
            if (startDate >= currency1Discountcurve_->referenceDate()) {
                results_.startDiscounts[legNo] = legDiscountCurve->discount(startDate);
            } else {
                results_.startDiscounts[legNo] = Null<DiscountFactor>();
            }
 
            Date maturityDate = CashFlows::maturityDate(arguments_.legs[legNo]);
            if (maturityDate >= currency1Discountcurve_->referenceDate()) {
                results_.endDiscounts[legNo] = legDiscountCurve->discount(maturityDate);
            } else {
                results_.endDiscounts[legNo] = Null<DiscountFactor>();
            }
 
        } catch (std::exception& e) {
            QL_FAIL(io::ordinal(legNo + 1) << " leg: " << e.what());
        }
 
        results_.value += results_.legNPV[legNo];
    }
}

currency1DiscountCurve()

const Handle< YieldTermStructure > & currency1DiscountCurve

(

)

const

Definition at line 83 of file crossccyswapengine.hpp.

{ return currency1Discountcurve_; }

currency2DiscountCurve()

const Handle< YieldTermStructure > & currency2DiscountCurve

(

)

const

Definition at line 84 of file crossccyswapengine.hpp.

{ return currency2Discountcurve_; }

currency1()

const Currency & currency1

(

)

const

Definition at line 86 of file crossccyswapengine.hpp.

{ return ccy1_; }

currency2()

const Currency & currency2

(

)

const

Definition at line 87 of file crossccyswapengine.hpp.

{ return ccy2_; }

spotFX()

const Handle< Quote > & spotFX

(

)

const

Definition at line 89 of file crossccyswapengine.hpp.

{ return spotFX_; }

Member Data Documentation

ccy1_

Currency ccy1_

private

Definition at line 93 of file crossccyswapengine.hpp.

currency1Discountcurve_

Handle<YieldTermStructure> currency1Discountcurve_

private

Definition at line 94 of file crossccyswapengine.hpp.

ccy2_

Currency ccy2_

private

Definition at line 95 of file crossccyswapengine.hpp.

currency2Discountcurve_

Handle<YieldTermStructure> currency2Discountcurve_

private

Definition at line 96 of file crossccyswapengine.hpp.

spotFX_

Handle<Quote> spotFX_

private

Definition at line 97 of file crossccyswapengine.hpp.

includeSettlementDateFlows_

boost::optional<bool> includeSettlementDateFlows_

private

Definition at line 98 of file crossccyswapengine.hpp.

settlementDate_

Date settlementDate_

private

Definition at line 99 of file crossccyswapengine.hpp.

npvDate_

Date npvDate_

private

Definition at line 100 of file crossccyswapengine.hpp.

spotFXSettleDate_

Date spotFXSettleDate_

private

Definition at line 101 of file crossccyswapengine.hpp.