Currency Interest Rate Swap More...

#include <qle/instruments/currencyswap.hpp>

Inheritance diagram for CurrencySwap:

Collaboration diagram for CurrencySwap:

Classes
class	arguments

class	engine

class	results

Public Member Functions
LazyObject interface
void	alwaysForwardNotifications () override

Observable interface
void	deepUpdate () override

Additional interface
Date	startDate () const

Date	maturityDate () const

Real	legBPS (Size j) const

Real	legNPV (Size j) const

Real	inCcyLegBPS (Size j) const

Real	inCcyLegNPV (Size j) const

DiscountFactor	startDiscounts (Size j) const

DiscountFactor	endDiscounts (Size j) const

DiscountFactor	npvDateDiscount () const

const Leg &	leg (Size j) const

const Currency &	legCurrency (Size j) const

std::vector< Leg >	legs ()

std::vector< Currency >	currencies ()

Instrument interface
std::vector< Leg >	legs_

std::vector< Real >	payer_

std::vector< Currency >	currency_

bool	isPhysicallySettled_

bool	isResettable_

std::vector< Real >	legNPV_

std::vector< Real >	inCcyLegNPV_

std::vector< Real >	legBPS_

std::vector< Real >	inCcyLegBPS_

std::vector< DiscountFactor >	startDiscounts_

std::vector< DiscountFactor >	endDiscounts_

DiscountFactor	npvDateDiscount_

bool	isExpired () const override

void	setupArguments (PricingEngine::arguments *) const override

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

void	setupExpired () const override

Constructors
	CurrencySwap (const std::vector< Leg > &legs, const std::vector< bool > &payer, const std::vector< Currency > &currency, const bool isPhysicallySettled=true, const bool isResettable=false)

	CurrencySwap (Size legs)

Detailed Description

Currency Interest Rate Swap

This instrument generalizes the QuantLib Swap instrument in that it allows multiple legs with different currencies (one per leg)

Definition at line 47 of file currencyswap.hpp.

Constructor & Destructor Documentation

◆ CurrencySwap() [1/2]

CurrencySwap	(	const std::vector< Leg > &	legs,
		const std::vector< bool > &	payer,
		const std::vector< Currency > &	currency,
		const bool	isPhysicallySettled = `true`,
		const bool	isResettable = `false`
	)

Multi leg constructor.

Definition at line 44 of file currencyswap.cpp.

    : legs_(legs), payer_(legs.size(), 1.0), currency_(currency), isPhysicallySettled_(isPhysicallySettled),
      isResettable_(isResettable), legNPV_(legs.size(), 0.0), inCcyLegNPV_(legs.size(), 0.0), legBPS_(legs.size(), 0.0),
      inCcyLegBPS_(legs.size(), 0.0), startDiscounts_(legs.size(), 0.0), endDiscounts_(legs.size(), 0.0),
      npvDateDiscount_(0.0) {
    QL_REQUIRE(payer.size() == legs_.size(),
               "size mismatch between payer (" << payer.size() << ") and legs (" << legs_.size() << ")");
    QL_REQUIRE(currency.size() == legs_.size(),
               "size mismatch between currency (" << currency.size() << ") and legs (" << legs_.size() << ")");
    for (Size j = 0; j < legs_.size(); ++j) {
        if (payer[j])
            payer_[j] = -1.0;
        for (Leg::iterator i = legs_[j].begin(); i != legs_[j].end(); ++i)
            registerWith(*i);
    }
}

◆ CurrencySwap() [2/2]

CurrencySwap ( Size legs )

protected

This constructor can be used by derived classes that will build their legs themselves.

Definition at line 32 of file currencyswap.cpp.

                                     {
    legs_.resize(nLegs);
    payer_.resize(nLegs);
    currency_.resize(nLegs);
    legNPV_.resize(nLegs);
    inCcyLegNPV_.resize(nLegs);
    legBPS_.resize(nLegs);
    inCcyLegBPS_.resize(nLegs);
    startDiscounts_.resize(nLegs);
    endDiscounts_.resize(nLegs);
}

Member Function Documentation

◆ alwaysForwardNotifications()

void alwaysForwardNotifications ( )

override

Definition at line 193 of file currencyswap.cpp.

                                              {
    for (auto& leg : legs_) {
        for (auto& k : leg) {
            if (auto lazy = ext::dynamic_pointer_cast<LazyObject>(k))
                lazy->alwaysForwardNotifications();
        }
    }
    LazyObject::alwaysForwardNotifications();
}

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◆ deepUpdate()

void deepUpdate ( )

override

Definition at line 183 of file currencyswap.cpp.

                              {
    for (auto& leg : legs_) {
        for (auto& k : leg) {
            if (auto lazy = ext::dynamic_pointer_cast<LazyObject>(k))
                lazy->deepUpdate();
        }
    }
    update();
}

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◆ isExpired()

bool isExpired ( ) const

override

Definition at line 63 of file currencyswap.cpp.

                                   {
    for (Size j = 0; j < legs_.size(); ++j) {
        Leg::const_iterator i;
        for (i = legs_[j].begin(); i != legs_[j].end(); ++i)
            if (!(*i)->hasOccurred())
                return false;
    }
    return true;
}

◆ setupArguments()

void setupArguments ( PricingEngine::arguments * args ) const

override

Definition at line 84 of file currencyswap.cpp.

                                                                    {
    CurrencySwap::arguments* arguments = dynamic_cast<CurrencySwap::arguments*>(args);
    QL_REQUIRE(arguments != 0, "wrong argument type");
 
    arguments->legs = legs_;
    arguments->payer = payer_;
    arguments->currency = currency_;
    arguments->isPhysicallySettled = isPhysicallySettled_;
    arguments->isResettable = isResettable_;
}

◆ fetchResults()

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

override

Definition at line 95 of file currencyswap.cpp.

                                                                   {
    Instrument::fetchResults(r);
 
    const CurrencySwap::results* results = dynamic_cast<const CurrencySwap::results*>(r);
    QL_REQUIRE(results != 0, "wrong result type");
 
    if (!results->legNPV.empty()) {
        QL_REQUIRE(results->legNPV.size() == legNPV_.size(), "wrong number of leg NPV returned");
        legNPV_ = results->legNPV;
    } else {
        std::fill(legNPV_.begin(), legNPV_.end(), Null<Real>());
    }
 
    if (!results->legBPS.empty()) {
        QL_REQUIRE(results->legBPS.size() == legBPS_.size(), "wrong number of leg BPS returned");
        legBPS_ = results->legBPS;
    } else {
        std::fill(legBPS_.begin(), legBPS_.end(), Null<Real>());
    }
 
    if (!results->inCcyLegNPV.empty()) {
        QL_REQUIRE(results->inCcyLegNPV.size() == inCcyLegNPV_.size(), "wrong number of leg NPV returned");
        inCcyLegNPV_ = results->inCcyLegNPV;
    } else {
        std::fill(inCcyLegNPV_.begin(), inCcyLegNPV_.end(), Null<Real>());
    }
 
    if (!results->inCcyLegBPS.empty()) {
        QL_REQUIRE(results->inCcyLegBPS.size() == inCcyLegBPS_.size(), "wrong number of leg BPS returned");
        inCcyLegBPS_ = results->inCcyLegBPS;
    } else {
        std::fill(inCcyLegBPS_.begin(), inCcyLegBPS_.end(), Null<Real>());
    }
 
    if (!results->startDiscounts.empty()) {
        QL_REQUIRE(results->startDiscounts.size() == startDiscounts_.size(),
                   "wrong number of leg start discounts returned");
        startDiscounts_ = results->startDiscounts;
    } else {
        std::fill(startDiscounts_.begin(), startDiscounts_.end(), Null<DiscountFactor>());
    }
 
    if (!results->endDiscounts.empty()) {
        QL_REQUIRE(results->endDiscounts.size() == endDiscounts_.size(), "wrong number of leg end discounts returned");
        endDiscounts_ = results->endDiscounts;
    } else {
        std::fill(endDiscounts_.begin(), endDiscounts_.end(), Null<DiscountFactor>());
    }
 
    if (results->npvDateDiscount != Null<DiscountFactor>()) {
        npvDateDiscount_ = results->npvDateDiscount;
    } else {
        npvDateDiscount_ = Null<DiscountFactor>();
    }
}

◆ startDate()

Date startDate ( ) const

Definition at line 151 of file currencyswap.cpp.

                                   {
    QL_REQUIRE(!legs_.empty(), "no legs given");
    Date d = CashFlows::startDate(legs_[0]);
    for (Size j = 1; j < legs_.size(); ++j)
        d = std::min(d, CashFlows::startDate(legs_[j]));
    return d;
}

◆ maturityDate()

Date maturityDate ( ) const

Definition at line 159 of file currencyswap.cpp.

                                      {
    QL_REQUIRE(!legs_.empty(), "no legs given");
    Date d = CashFlows::maturityDate(legs_[0]);
    for (Size j = 1; j < legs_.size(); ++j)
        d = std::max(d, CashFlows::maturityDate(legs_[j]));
    return d;
}