Discounting Swap Engine - Multi Curve. More...

#include <qle/pricingengines/discountingswapenginemulticurve.hpp>

Inheritance diagram for DiscountingSwapEngineMultiCurve:

Collaboration diagram for DiscountingSwapEngineMultiCurve:

Public Member Functions
	DiscountingSwapEngineMultiCurve (const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), bool minimalResults=true, boost::optional< bool > includeSettlementDateFlows=boost::none, Date settlementDate=Date(), Date npvDate=Date())

void	calculate () const override

Handle< YieldTermStructure >	discountCurve () const

Private Attributes
Handle< YieldTermStructure >	discountCurve_

bool	minimalResults_

boost::optional< bool >	includeSettlementDateFlows_

Date	settlementDate_

Date	npvDate_

QuantLib::ext::shared_ptr< AmountImpl >	impl_

Detailed Description

Discounting Swap Engine - Multi Curve.

This class prices a swap with numerous simplifications in the case of an ibor coupon leg to speed up the calculations:

the index of an IborCoupon is assumed to be fixing in advance and to have a tenor from accrual start date to accrual end date.
start and end discounts of Swap::results not populated.

Warning:
if an IborCoupon with non-natural fixing and/or accrual period is present, the NPV will be false

Definition at line 47 of file discountingswapenginemulticurve.hpp.

Constructor & Destructor Documentation

◆ DiscountingSwapEngineMultiCurve()

DiscountingSwapEngineMultiCurve	(	const Handle< YieldTermStructure > &	discountCurve = `Handle<YieldTermStructure>()`,
		bool	minimalResults = `true`,
		boost::optional< bool >	includeSettlementDateFlows = `boost::none`,
		Date	settlementDate = `Date()`,
		Date	npvDate = `Date()`
	)

Definition at line 118 of file discountingswapenginemulticurve.cpp.

    : discountCurve_(discountCurve), minimalResults_(minimalResults),
      includeSettlementDateFlows_(includeSettlementDateFlows), settlementDate_(settlementDate), npvDate_(npvDate),
      impl_(new AmountImpl) {
 
    registerWith(discountCurve_);
 
    if (minimalResults_) {
        impl_->amountGetter_.reset(new AmountGetter);
    } else {
        impl_->amountGetter_.reset(new AdditionalAmountGetter);
    }
}

Member Function Documentation

◆ calculate()

void calculate ( ) const

override

Definition at line 135 of file discountingswapenginemulticurve.cpp.

                                                      {
    QL_REQUIRE(!discountCurve_.empty(), "Empty discounting "
                                        "term structure handle");
 
    // Instrument settlement date
    Date referenceDate = discountCurve_->referenceDate();
    Date settlementDate = settlementDate_;
    if (settlementDate_ == Date()) {
        settlementDate = referenceDate;
    } else {
        QL_REQUIRE(settlementDate >= referenceDate, "settlement date (" << settlementDate
                                                                        << ") before "
                                                                           "discount curve reference date ("
                                                                        << referenceDate << ")");
    }
 
    // - Instrument::results
    results_.value = 0.0;
    results_.errorEstimate = Null<Real>();
    results_.valuationDate = npvDate_;
    if (npvDate_ == Date()) {
        results_.valuationDate = referenceDate;
    } else {
        QL_REQUIRE(npvDate_ >= referenceDate, "npv date (" << npvDate_
                                                           << ") before "
                                                              "discount curve reference date ("
                                                           << referenceDate << ")");
    }
 
    // - Swap::results
    Size numLegs = arguments_.legs.size();
    results_.legNPV.resize(numLegs);
    results_.legBPS.resize(numLegs);
    results_.startDiscounts.resize(numLegs);
    results_.endDiscounts.resize(numLegs);
    results_.npvDateDiscount = discountCurve_->discount(results_.valuationDate);
 
    bool includeRefDateFlows =
        includeSettlementDateFlows_ ? *includeSettlementDateFlows_ : Settings::instance().includeReferenceDateEvents();
 
    const Spread bp = 1.0e-4;
 
    for (Size i = 0; i < numLegs; i++) {
 
        Leg leg = arguments_.legs[i];
        results_.legNPV[i] = 0.0;
        results_.legBPS[i] = 0.0;
 
        // Call amount() method of underlying coupon for first coupon.
        impl_->amountGetter_->setCallAmount(true);
 
        for (Size j = 0; j < leg.size(); j++) {
 
            /* Exclude cashflows that have occurred taking into account the
            settlement date and includeSettlementDateFlows flag */
            if (leg[j]->hasOccurred(settlementDate, includeRefDateFlows)) {
                continue;
            }
 
            DiscountFactor discount = discountCurve_->discount(leg[j]->date());
            leg[j]->accept(*(impl_->amountGetter_));
            results_.legNPV[i] += impl_->amountGetter_->amount() * discount;
            results_.legBPS[i] += impl_->amountGetter_->bpsFactor() * discount;
 
            // For all coupons after second do not call amount(), since for those
            // we can be sure that they are not fixed yet
            if (j == 1)
                impl_->amountGetter_->setCallAmount(false);
        }
 
        results_.legNPV[i] *= arguments_.payer[i];
        results_.legNPV[i] /= results_.npvDateDiscount;
        results_.legBPS[i] *= arguments_.payer[i] * bp;
        results_.legBPS[i] /= results_.npvDateDiscount;
        results_.value += results_.legNPV[i];
    }
}