equity coupon More...

#include <qle/cashflows/equitymargincoupon.hpp>

Inheritance diagram for EquityMarginCoupon:

Collaboration diagram for EquityMarginCoupon:

Public Member Functions
	EquityMarginCoupon (const Date &paymentDate, Real nominal, Rate rate, Real marginFactor, const Date &startDate, const Date &endDate, Natural fixingDays, const QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > &equityCurve, const DayCounter &dayCounter, bool isTotalReturn=false, Real dividendFactor=1.0, bool notionalReset=false, Real initialPrice=Null< Real >(), Real quantity=Null< Real >(), const Date &fixingStartDate=Date(), const Date &fixingEndDate=Date(), const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date(), Real multiplier=Null< Real >(), const QuantLib::ext::shared_ptr< FxIndex > &fxIndex=nullptr, const bool initialPriceIsInTargetCcy=false)

Coupon interface
DayCounter	dayCounter () const override

Real	accruedAmount (const Date &) const override

Real	amount () const override

Rate	rate () const override

Real	nominal () const override

Inspectors
const QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > &	equityCurve () const
	equity reference rate curve More...

const QuantLib::ext::shared_ptr< FxIndex > &	fxIndex () const
	fx index curve More...

bool	isTotalReturn () const
	total return or price return? More...

Real	dividendFactor () const
	are dividends scaled (e.g. to account for tax) More...

Date	fixingStartDate () const
	The date at which the starting equity price is fixed. More...

Date	fixingEndDate () const
	The date at which performance is measured. More...

std::vector< Date >	fixingDates () const
	return both fixing dates More...

Real	initialPrice () const
	initial price More...

bool	initialPriceIsInTargetCcy () const
	initial price is in target ccy (if applicable, i.e. if fxIndex != null, otherwise ignored) More...

Real	quantity () const
	Number of equity shares held. More...

Real	fxRate () const
	FX conversion rate (or 1.0 if not applicable) More...

Date	fixingDate () const
	This function is called for other coupon types. More...

Real	marginFactor () const

InterestRate	fixedRate () const

Real	multiplier () const

Observer interface
void	update () override

Visitability
QuantLib::ext::shared_ptr< EquityMarginCouponPricer >	pricer_

Natural	fixingDays_

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

DayCounter	dayCounter_

bool	isTotalReturn_

Real	dividendFactor_

bool	notionalReset_

Real	initialPrice_

bool	initialPriceIsInTargetCcy_

Real	quantity_

Date	fixingStartDate_

Date	fixingEndDate_

Natural	paymentLag_

QuantLib::ext::shared_ptr< FxIndex >	fxIndex_

Real	marginFactor_

InterestRate	fixedRate_

Real	multiplier_

virtual void	accept (AcyclicVisitor &) override

void	setPricer (const QuantLib::ext::shared_ptr< EquityMarginCouponPricer > &)

QuantLib::ext::shared_ptr< EquityMarginCouponPricer >	pricer () const

Detailed Description

equity coupon

Definition at line 48 of file equitymargincoupon.hpp.

Constructor & Destructor Documentation

◆ EquityMarginCoupon()

EquityMarginCoupon	(	const Date &	paymentDate,
		Real	nominal,
		Rate	rate,
		Real	marginFactor,
		const Date &	startDate,
		const Date &	endDate,
		Natural	fixingDays,
		const QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > &	equityCurve,
		const DayCounter &	dayCounter,
		bool	isTotalReturn = `false`,
		Real	dividendFactor = `1.0`,
		bool	notionalReset = `false`,
		Real	initialPrice = `Null<Real>()`,
		Real	quantity = `Null<Real>()`,
		const Date &	fixingStartDate = `Date()`,
		const Date &	fixingEndDate = `Date()`,
		const Date &	refPeriodStart = `Date()`,
		const Date &	refPeriodEnd = `Date()`,
		const Date &	exCouponDate = `Date()`,
		Real	multiplier = `Null<Real>()`,
		const QuantLib::ext::shared_ptr< FxIndex > &	fxIndex = `nullptr`,
		const bool	initialPriceIsInTargetCcy = `false`
	)

Definition at line 28 of file equitymargincoupon.cpp.

    : Coupon(paymentDate, nominal, startDate, endDate, refPeriodStart, refPeriodEnd, exCouponDate),
      fixingDays_(fixingDays), equityCurve_(equityCurve), dayCounter_(dayCounter), isTotalReturn_(isTotalReturn),
      dividendFactor_(dividendFactor), notionalReset_(notionalReset), initialPrice_(initialPrice),
      initialPriceIsInTargetCcy_(initialPriceIsInTargetCcy), quantity_(quantity), fixingStartDate_(fixingStartDate),
      fixingEndDate_(fixingEndDate), fxIndex_(fxIndex), marginFactor_(marginFactor), 
      fixedRate_(InterestRate(rate, dayCounter, Simple, Annual)), multiplier_(multiplier) {
      
    QL_REQUIRE(dividendFactor_ > 0.0, "Dividend factor should not be negative. It is expected to be between 0 and 1.");
    QL_REQUIRE(equityCurve_, "Equity underlying an equity swap coupon cannot be empty.");
 
    // If a fixing start / end date is provided, use these
    // else adjust the start/endDate by the FixingDays - defaulted to 0
    if (fixingStartDate_ == Date())
        fixingStartDate_ =
            equityCurve_->fixingCalendar().advance(startDate, -static_cast<Integer>(fixingDays_), Days, Preceding);
 
    if (fixingEndDate_ == Date())
        fixingEndDate_ =
            equityCurve_->fixingCalendar().advance(endDate, -static_cast<Integer>(fixingDays_), Days, Preceding);
 
    registerWith(equityCurve_);
    registerWith(fxIndex_);
    registerWith(Settings::instance().evaluationDate());
 
    QL_REQUIRE(!notionalReset_ || quantity_ != Null<Real>(), "EquityCoupon: quantity required if notional resets");
    QL_REQUIRE(notionalReset_ || nominal_ != Null<Real>(),
               "EquityCoupon: notional required if notional does not reset");
      
}

Member Function Documentation

◆ dayCounter()

DayCounter dayCounter ( ) const

override

Definition at line 64 of file equitymargincoupon.hpp.

64{ return dayCounter_; }

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◆ accruedAmount()

Real accruedAmount ( const Date & d ) const

override

Definition at line 96 of file equitymargincoupon.cpp.

                                                          {
    if (d <= accrualStartDate_ || d > paymentDate_) {
        return 0.0;
    } else {
        Time fullPeriod = dayCounter().yearFraction(accrualStartDate_, accrualEndDate_, refPeriodStart_, refPeriodEnd_);
        Time thisPeriod =
            dayCounter().yearFraction(accrualStartDate_, std::min(d, accrualEndDate_), refPeriodStart_, refPeriodEnd_);
        return nominal() * rate() * thisPeriod / fullPeriod;
    }
}

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◆ amount()

Real amount ( ) const

override

Definition at line 116 of file equitymargincoupon.cpp.

                                      {
    return rate() * nominal() * multiplier();
}

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◆ rate()

Rate rate ( ) const

override

Definition at line 120 of file equitymargincoupon.cpp.

                                    {
    QL_REQUIRE(pricer_, "pricer not set");
    pricer_->initialize(*this);
    return pricer_->rate();
}

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◆ nominal()

Real nominal ( ) const

override

Definition at line 73 of file equitymargincoupon.cpp.

                                       {
    if (notionalReset_) {
        Real mult = (initialPrice_ == 0) ? 1 : initialPrice();
        return mult * (initialPriceIsInTargetCcy_ ? 1.0 : fxRate()) * quantity_;
    } else {
        return nominal_;
    }
}

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◆ equityCurve()

const QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > & equityCurve ( ) const

equity reference rate curve

Definition at line 76 of file equitymargincoupon.hpp.

76{ return equityCurve_; }

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◆ fxIndex()

const QuantLib::ext::shared_ptr< FxIndex > & fxIndex ( ) const

fx index curve

Definition at line 78 of file equitymargincoupon.hpp.

78{ return fxIndex_; }

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◆ isTotalReturn()

bool isTotalReturn ( ) const

total return or price return?

Definition at line 80 of file equitymargincoupon.hpp.

80{ return isTotalReturn_; }

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◆ dividendFactor()

Real dividendFactor ( ) const

are dividends scaled (e.g. to account for tax)

Definition at line 82 of file equitymargincoupon.hpp.

82{ return dividendFactor_; }

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◆ fixingStartDate()

Date fixingStartDate ( ) const

The date at which the starting equity price is fixed.

Definition at line 84 of file equitymargincoupon.hpp.

84{ return fixingStartDate_; }

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◆ fixingEndDate()

Date fixingEndDate ( ) const

The date at which performance is measured.

Definition at line 86 of file equitymargincoupon.hpp.

86{ return fixingEndDate_; }

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◆ fixingDates()

std::vector< Date > fixingDates ( ) const

return both fixing dates

Definition at line 107 of file equitymargincoupon.cpp.

                                                      {
    std::vector<Date> fixingDates;
 
    fixingDates.push_back(fixingStartDate_);
    fixingDates.push_back(fixingEndDate_);
 
    return fixingDates;
};

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◆ initialPrice()

Real initialPrice ( ) const

initial price

Definition at line 87 of file equitymargincoupon.cpp.

                                            {
    if (initialPrice_ != Null<Real>())
        return initialPrice_;
    else
        return equityCurve_->fixing(fixingStartDate(), false, false);
}

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◆ initialPriceIsInTargetCcy()

bool initialPriceIsInTargetCcy ( ) const

initial price is in target ccy (if applicable, i.e. if fxIndex != null, otherwise ignored)

Definition at line 94 of file equitymargincoupon.cpp.

94{ return initialPriceIsInTargetCcy_; }

◆ quantity()

Real quantity ( ) const

Number of equity shares held.

Definition at line 94 of file equitymargincoupon.hpp.

94{ return quantity_; }

◆ fxRate()

Real fxRate ( ) const

FX conversion rate (or 1.0 if not applicable)

Definition at line 82 of file equitymargincoupon.cpp.

                                      {
    // fxRate applied if equity underlying currency differs from leg
    return fxIndex_ ? fxIndex_->fixing(fixingStartDate_) : 1.0;
}

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◆ fixingDate()

Date fixingDate ( ) const

This function is called for other coupon types.

Definition at line 98 of file equitymargincoupon.hpp.

                            {
        QL_FAIL("Equity Coupons have 2 fixings, not 1.");
        return Date();
    }

◆ marginFactor()

Real marginFactor ( ) const

Definition at line 102 of file equitymargincoupon.hpp.

102{ return marginFactor_; }

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◆ fixedRate()

InterestRate fixedRate ( ) const

Definition at line 103 of file equitymargincoupon.hpp.

103{ return fixedRate_; }

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◆ multiplier()

Real multiplier ( ) const

Definition at line 104 of file equitymargincoupon.hpp.

104{ return multiplier_; }

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◆ update()

void update ( )

override

Definition at line 109 of file equitymargincoupon.hpp.

109{ notifyObservers(); }

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◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Definition at line 142 of file equitymargincoupon.hpp.

                                                        {
    Visitor<EquityMarginCoupon>* v1 = dynamic_cast<Visitor<EquityMarginCoupon>*>(&v);
    if (v1 != 0)
        v1->visit(*this);
    else
        Coupon::accept(v);
}

◆ setPricer()

void setPricer ( const QuantLib::ext::shared_ptr< EquityMarginCouponPricer > & pricer )

Definition at line 64 of file equitymargincoupon.cpp.

                                                                                                {
    if (pricer_)
        unregisterWith(pricer_);
    pricer_ = pricer;
    if (pricer_)
        registerWith(pricer_);
    update();
}

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◆ pricer()

QuantLib::ext::shared_ptr< EquityMarginCouponPricer > pricer ( ) const

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Member Data Documentation

◆ pricer_

QuantLib::ext::shared_ptr<EquityMarginCouponPricer> pricer_

protected

Definition at line 121 of file equitymargincoupon.hpp.

◆ fixingDays_

Natural fixingDays_

protected

Definition at line 122 of file equitymargincoupon.hpp.

◆ equityCurve_

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

protected

Definition at line 123 of file equitymargincoupon.hpp.

◆ dayCounter_

DayCounter dayCounter_

protected

Definition at line 124 of file equitymargincoupon.hpp.

◆ isTotalReturn_

bool isTotalReturn_

protected

Definition at line 125 of file equitymargincoupon.hpp.

◆ dividendFactor_

Real dividendFactor_

protected

Definition at line 126 of file equitymargincoupon.hpp.

◆ notionalReset_

bool notionalReset_

protected

Definition at line 127 of file equitymargincoupon.hpp.

◆ initialPrice_

Real initialPrice_

protected

Definition at line 128 of file equitymargincoupon.hpp.

◆ initialPriceIsInTargetCcy_

bool initialPriceIsInTargetCcy_

protected

Definition at line 129 of file equitymargincoupon.hpp.

◆ quantity_

Real quantity_

protected

Definition at line 130 of file equitymargincoupon.hpp.

◆ fixingStartDate_

Date fixingStartDate_

protected

Definition at line 131 of file equitymargincoupon.hpp.

◆ fixingEndDate_

Date fixingEndDate_

protected

Definition at line 132 of file equitymargincoupon.hpp.

◆ paymentLag_

Natural paymentLag_

protected

Definition at line 133 of file equitymargincoupon.hpp.

◆ fxIndex_

QuantLib::ext::shared_ptr<FxIndex> fxIndex_

protected

Definition at line 134 of file equitymargincoupon.hpp.

◆ marginFactor_

Real marginFactor_

protected

Definition at line 135 of file equitymargincoupon.hpp.

◆ fixedRate_

InterestRate fixedRate_

protected

Definition at line 136 of file equitymargincoupon.hpp.

◆ multiplier_

Real multiplier_

protected

Definition at line 137 of file equitymargincoupon.hpp.

Public Member Functions

Visitability

Detailed Description

Constructor & Destructor Documentation

◆ EquityMarginCoupon()

Member Function Documentation

◆ dayCounter()

◆ accruedAmount()

◆ amount()

◆ rate()

◆ nominal()

◆ equityCurve()

◆ fxIndex()

◆ isTotalReturn()

◆ dividendFactor()

◆ fixingStartDate()

◆ fixingEndDate()

◆ fixingDates()

◆ initialPrice()

◆ initialPriceIsInTargetCcy()

◆ quantity()

◆ fxRate()

◆ fixingDate()

◆ marginFactor()

◆ fixedRate()

◆ multiplier()

◆ update()

◆ accept()

◆ setPricer()

◆ pricer()

Member Data Documentation

◆ pricer_

◆ fixingDays_

◆ equityCurve_

◆ dayCounter_

◆ isTotalReturn_

◆ dividendFactor_

◆ notionalReset_

◆ initialPrice_

◆ initialPriceIsInTargetCcy_

◆ quantity_

◆ fixingStartDate_

◆ fixingEndDate_

◆ paymentLag_

◆ fxIndex_

◆ marginFactor_

◆ fixedRate_

◆ multiplier_