helper class building a sequence of equity coupons More...

#include <qle/cashflows/equitycoupon.hpp>

Collaboration diagram for EquityLeg:

Public Member Functions
	EquityLeg (const Schedule &schedule, const QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > &equityCurve, const QuantLib::ext::shared_ptr< FxIndex > &fxIndex=nullptr)

EquityLeg &	withNotional (Real notional)

EquityLeg &	withNotionals (const std::vector< Real > &notionals)

EquityLeg &	withPaymentDayCounter (const DayCounter &dayCounter)

EquityLeg &	withPaymentAdjustment (BusinessDayConvention convention)

EquityLeg &	withPaymentLag (Natural paymentLag)

EquityLeg &	withPaymentCalendar (const Calendar &calendar)

EquityLeg &	withReturnType (EquityReturnType)

EquityLeg &	withDividendFactor (Real)

EquityLeg &	withInitialPrice (Real)

EquityLeg &	withInitialPriceIsInTargetCcy (bool)

EquityLeg &	withFixingDays (Natural)

EquityLeg &	withValuationSchedule (const Schedule &valuationSchedule)

EquityLeg &	withNotionalReset (bool)

EquityLeg &	withQuantity (Real)

	operator Leg () const

Private Attributes
Schedule	schedule_

QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 >	equityCurve_

QuantLib::ext::shared_ptr< FxIndex >	fxIndex_

std::vector< Real >	notionals_

DayCounter	paymentDayCounter_

Natural	paymentLag_

BusinessDayConvention	paymentAdjustment_

Calendar	paymentCalendar_

EquityReturnType	returnType_

Real	initialPrice_

bool	initialPriceIsInTargetCcy_

Real	dividendFactor_

Natural	fixingDays_

Schedule	valuationSchedule_

bool	notionalReset_

Real	quantity_

Detailed Description

helper class building a sequence of equity coupons

Definition at line 161 of file equitycoupon.hpp.

Constructor & Destructor Documentation

◆ EquityLeg()

EquityLeg	(	const Schedule &	schedule,
		const QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > &	equityCurve,
		const QuantLib::ext::shared_ptr< FxIndex > &	fxIndex = `nullptr`
	)

Definition at line 179 of file equitycoupon.cpp.

    : schedule_(schedule), equityCurve_(equityCurve), fxIndex_(fxIndex), paymentLag_(0), paymentAdjustment_(Following),
      paymentCalendar_(Calendar()), returnType_(EquityReturnType::Total), initialPrice_(Null<Real>()),
      initialPriceIsInTargetCcy_(false), dividendFactor_(1.0), fixingDays_(0), notionalReset_(false),
      quantity_(Null<Real>()) {}

Member Function Documentation

◆ withNotional()

EquityLeg & withNotional ( Real notional )

Definition at line 186 of file equitycoupon.cpp.

                                                {
    notionals_ = std::vector<Real>(1, notional);
    return *this;
}

◆ withNotionals()

EquityLeg & withNotionals ( const std::vector< Real > & notionals )

Definition at line 191 of file equitycoupon.cpp.

                                                                    {
    notionals_ = notionals;
    return *this;
}

◆ withPaymentDayCounter()

EquityLeg & withPaymentDayCounter ( const DayCounter & dayCounter )

Definition at line 196 of file equitycoupon.cpp.

                                                                        {
    paymentDayCounter_ = dayCounter;
    return *this;
}

◆ withPaymentAdjustment()

EquityLeg & withPaymentAdjustment ( BusinessDayConvention convention )

Definition at line 201 of file equitycoupon.cpp.

                                                                            {
    paymentAdjustment_ = convention;
    return *this;
}

◆ withPaymentLag()

EquityLeg & withPaymentLag ( Natural paymentLag )

Definition at line 206 of file equitycoupon.cpp.

                                                       {
    paymentLag_ = paymentLag;
    return *this;
}

◆ withPaymentCalendar()

EquityLeg & withPaymentCalendar ( const Calendar & calendar )

Definition at line 211 of file equitycoupon.cpp.

                                                                  {
    paymentCalendar_ = calendar;
    return *this;
}

◆ withReturnType()

EquityLeg & withReturnType ( EquityReturnType returnType )

Definition at line 216 of file equitycoupon.cpp.

                                                                {
    returnType_ = returnType;
    return *this;
}

◆ withDividendFactor()

EquityLeg & withDividendFactor ( Real dividendFactor )

Definition at line 221 of file equitycoupon.cpp.

                                                            {
    dividendFactor_ = dividendFactor;
    return *this;
}

◆ withInitialPrice()

EquityLeg & withInitialPrice ( Real initialPrice )

Definition at line 226 of file equitycoupon.cpp.

                                                        {
    initialPrice_ = initialPrice;
    return *this;
}

◆ withInitialPriceIsInTargetCcy()

EquityLeg & withInitialPriceIsInTargetCcy ( bool initialPriceIsInTargetCcy )

Definition at line 231 of file equitycoupon.cpp.

                                                                                  {
    initialPriceIsInTargetCcy_ = initialPriceIsInTargetCcy;
    return *this;
}

◆ withFixingDays()

EquityLeg & withFixingDays ( Natural fixingDays )

Definition at line 236 of file equitycoupon.cpp.

                                                       {
    fixingDays_ = fixingDays;
    return *this;
}

◆ withValuationSchedule()

EquityLeg & withValuationSchedule ( const Schedule & valuationSchedule )

Definition at line 241 of file equitycoupon.cpp.

                                                                             {
    valuationSchedule_ = valuationSchedule;
    return *this;
}

◆ withNotionalReset()

EquityLeg & withNotionalReset ( bool notionalReset )

Definition at line 246 of file equitycoupon.cpp.

                                                          {
    notionalReset_ = notionalReset;
    return *this;
}

◆ withQuantity()

EquityLeg & withQuantity ( Real quantity )

Definition at line 251 of file equitycoupon.cpp.

                                                {
    quantity_ = quantity;
    return *this;
}

◆ operator Leg()

operator Leg ( ) const

Definition at line 256 of file equitycoupon.cpp.

                              {
 
    Leg cashflows;
    Date startDate;
    Date endDate;
    Date paymentDate;
 
    Calendar calendar;
    if (!paymentCalendar_.empty()) {
        calendar = paymentCalendar_;
    } else {
        calendar = schedule_.calendar();
    }
 
    Size numPeriods = schedule_.size() - 1;
 
    if (valuationSchedule_.size() > 0) {
        QL_REQUIRE(valuationSchedule_.size() == schedule_.size(),
                   "mismatch in valuationSchedule (" << valuationSchedule_.size() << ") and scheduleData ("
                                                     << schedule_.size() << ") sizes");
    }
 
    Date legFixingDate = Date();
    if (valuationSchedule_.size() > 0)
        legFixingDate = valuationSchedule_.dates().front();
    else if (schedule_.size() > 0)
        legFixingDate = equityCurve_->fixingCalendar().advance(schedule_.dates().front(),
                                                               -static_cast<Integer>(fixingDays_), Days, Preceding);
    else
        QL_FAIL("Cannot build equity leg, neither schedule nor valuation schedule are defined");
    
    Real quantity = Null<Real>(), notional = Null<Real>(), legInitialNotional = Null<Real>();
    if (notionalReset_) {
        // We need a quantity in each coupon in this case
        if (quantity_ != Null<Real>()) {
            quantity = quantity_;
            QL_REQUIRE(notionals_.empty(), "EquityLeg: notional and quantity are given at the same time");
        } else {
            // If we have a notional, but no quantity is given:
            // a) Compute quantity from notional and initial price
            // b) If initial price is missing, leave quantity undefined here:
            //    The coupon will compute it from legInitialNotional=notional and legFixingDate
            QL_REQUIRE(!notionals_.empty(), "EquityLeg: can not compute qunantity, since no notional is given");
            QL_REQUIRE(fxIndex_ == nullptr || initialPriceIsInTargetCcy_,
                           "EquityLeg: can not compute quantity from nominal when fx conversion is required");
            notional = notionals_.front();
            legInitialNotional = notional;
            if (initialPrice_ != Null<Real>())
                quantity = (initialPrice_ == 0) ? notional : notional / initialPrice_;
        }
    } else {
        if (!notionals_.empty()) {
            QL_REQUIRE(quantity_ == Null<Real>(), "EquityLeg: notional and quantity are given at the same time");
            // notional is determined below in the loop over the periods
            legInitialNotional = notionals_.front();
        } else {
            QL_REQUIRE(initialPrice_ != Null<Real>(), "EquityLeg: can not compute notional, since no intialPrice is given");
                QL_REQUIRE(quantity_ != Null<Real>(), "EquityLeg: can not compute notional, since no quantity is given");
            QL_REQUIRE(fxIndex_ == nullptr || initialPriceIsInTargetCcy_,
                           "EquityLeg: can not compute notional from quantity when fx conversion is required");
                notional = (initialPrice_ == 0) ? quantity_ : quantity_ * initialPrice_;
        }
    }
 
    for (Size i = 0; i < numPeriods; ++i) {
        startDate = schedule_.date(i);
        endDate = schedule_.date(i + 1);
        paymentDate = calendar.advance(endDate, paymentLag_, Days, paymentAdjustment_);
 
        Date fixingStartDate = Date();
        Date fixingEndDate = Date();
        if (valuationSchedule_.size() > 0) {
            fixingStartDate = valuationSchedule_.date(i);
            fixingEndDate = valuationSchedule_.date(i + 1);
        }
 
        Real initialPrice = (i == 0) ? initialPrice_ : Null<Real>();
        bool initialPriceIsInTargetCcy = initialPrice != Null<Real>() ? initialPriceIsInTargetCcy_ : false;
        if (!notionalReset_ && !notionals_.empty()) {
            notional = detail::get(notionals_, i, 0.0);
        }
 
        QuantLib::ext::shared_ptr<EquityCoupon> cashflow(new EquityCoupon(
            paymentDate, notional, startDate, endDate, fixingDays_, equityCurve_, paymentDayCounter_, returnType_,
            dividendFactor_, notionalReset_, initialPrice, quantity, fixingStartDate, fixingEndDate, Date(), Date(),
            Date(), fxIndex_, initialPriceIsInTargetCcy, legInitialNotional, legFixingDate));
 
        QuantLib::ext::shared_ptr<EquityCouponPricer> pricer(new EquityCouponPricer);
        cashflow->setPricer(pricer);
 
        cashflows.push_back(cashflow);
    }
    return cashflows;
}

Member Data Documentation

◆ schedule_

Schedule schedule_

private

Definition at line 182 of file equitycoupon.hpp.

◆ equityCurve_

QuantLib::ext::shared_ptr<QuantExt::EquityIndex2> equityCurve_

private

Definition at line 183 of file equitycoupon.hpp.

◆ fxIndex_

QuantLib::ext::shared_ptr<FxIndex> fxIndex_

private

Definition at line 184 of file equitycoupon.hpp.

◆ notionals_

std::vector<Real> notionals_

private

Definition at line 185 of file equitycoupon.hpp.

◆ paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 186 of file equitycoupon.hpp.

◆ paymentLag_

Natural paymentLag_

private

Definition at line 187 of file equitycoupon.hpp.

◆ paymentAdjustment_

BusinessDayConvention paymentAdjustment_

private

Definition at line 188 of file equitycoupon.hpp.

◆ paymentCalendar_

Calendar paymentCalendar_

private

Definition at line 189 of file equitycoupon.hpp.

◆ returnType_

EquityReturnType returnType_

private

Definition at line 190 of file equitycoupon.hpp.

◆ initialPrice_

Real initialPrice_

private

Definition at line 191 of file equitycoupon.hpp.

◆ initialPriceIsInTargetCcy_

bool initialPriceIsInTargetCcy_

private

Definition at line 192 of file equitycoupon.hpp.

◆ dividendFactor_

Real dividendFactor_

private

Definition at line 193 of file equitycoupon.hpp.

◆ fixingDays_

Natural fixingDays_

private

Definition at line 194 of file equitycoupon.hpp.

◆ valuationSchedule_

Schedule valuationSchedule_

private

Definition at line 195 of file equitycoupon.hpp.

◆ notionalReset_

bool notionalReset_

private

Definition at line 196 of file equitycoupon.hpp.

◆ quantity_

Real quantity_

private

Definition at line 197 of file equitycoupon.hpp.

Public Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ EquityLeg()

Member Function Documentation

◆ withNotional()

◆ withNotionals()

◆ withPaymentDayCounter()

◆ withPaymentAdjustment()

◆ withPaymentLag()

◆ withPaymentCalendar()

◆ withReturnType()

◆ withDividendFactor()

◆ withInitialPrice()

◆ withInitialPriceIsInTargetCcy()

◆ withFixingDays()

◆ withValuationSchedule()

◆ withNotionalReset()

◆ withQuantity()

◆ operator Leg()

Member Data Documentation

◆ schedule_

◆ equityCurve_

◆ fxIndex_

◆ notionals_

◆ paymentDayCounter_

◆ paymentLag_

◆ paymentAdjustment_

◆ paymentCalendar_

◆ returnType_

◆ initialPrice_

◆ initialPriceIsInTargetCcy_

◆ dividendFactor_

◆ fixingDays_

◆ valuationSchedule_

◆ notionalReset_

◆ quantity_