Pricer for equity margin coupons. More...

#include <qle/cashflows/equitymargincouponpricer.hpp>

Inheritance diagram for EquityMarginCouponPricer:

Collaboration diagram for EquityMarginCouponPricer:

Public Member Functions
virtual	~EquityMarginCouponPricer ()

Interface
virtual Rate	rate () const

virtual void	initialize (const EquityMarginCoupon &coupon)

Observer interface
const EquityMarginCoupon *	coupon_

Real	marginFactor_

InterestRate	fixedRate_

QuantLib::ext::shared_ptr< EquityIndex2 >	equityCurve_

QuantLib::ext::shared_ptr< FxIndex >	fxIndex_

bool	isTotalReturn_

Real	dividendFactor_

Real	initialPrice_

virtual void	update () override

Detailed Description

Pricer for equity margin coupons.

Definition at line 36 of file equitymargincouponpricer.hpp.

Constructor & Destructor Documentation

◆ ~EquityMarginCouponPricer()

virtual ~EquityMarginCouponPricer ( )

virtual

Definition at line 38 of file equitymargincouponpricer.hpp.

38{}

Member Function Documentation

◆ rate()

Rate rate ( ) const

virtual

Definition at line 23 of file equitymargincouponpricer.cpp.

                                          {
    
    Calendar calendar = equityCurve_->fixingCalendar();
    
    Date startDate = coupon_->fixingStartDate();
    // the final date in the period is treated differently
    Date endDate = equityCurve_->fixingCalendar().advance(coupon_->fixingEndDate(), -1 * Days);
 
    Real equityPrice = equityCurve_->fixing(endDate, false, false);
    Real dividends = 0.0;
    Real fx = fxIndex_ ? fxIndex_->fixing(coupon_->fixingEndDate()) : 1.0;
    // Dividends that are already fixed dividends + yield accrued over remaining period.
    // yield accrued = Forward without dividend yield - Forward with dividend yield
    if (isTotalReturn_) {
        // projected dividends from today until the fixing end date
        dividends = equityCurve_->fixing(endDate, false, true) -
                    equityCurve_->fixing(endDate, false, false);
        // subtract projected dividends from today until the fixing start date
        if (coupon_->fixingStartDate() > Settings::instance().evaluationDate()) {
            dividends -= (equityCurve_->fixing(startDate, false, true) -
                          equityCurve_->fixing(startDate, false, false));
        }
        // add historical dividends
        dividends += equityCurve_->dividendsBetweenDates(startDate, endDate);
    }
    
    Real rate = (equityPrice + dividends * dividendFactor_) * fx * fixedRate_.dayCounter().yearFraction(startDate, endDate) * marginFactor_;
    
    // on the valuation date we return the initialPrice
    startDate = endDate;
    endDate = coupon_->fixingEndDate();
    fx = fxIndex_ ? fxIndex_->fixing(coupon_->fixingEndDate()) : 1.0;
    rate += initialPrice_ * fx * fixedRate_.dayCounter().yearFraction(startDate, endDate) * marginFactor_;
 
    return rate * fixedRate_;
}

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◆ initialize()

void initialize ( const EquityMarginCoupon & coupon )

virtual

Definition at line 60 of file equitymargincouponpricer.cpp.

                                                                          {
 
    coupon_ = &coupon;
 
    marginFactor_ = coupon.marginFactor();
    fixedRate_ = coupon.fixedRate();
    equityCurve_ = QuantLib::ext::dynamic_pointer_cast<EquityIndex2>(coupon.equityCurve());
    fxIndex_ = QuantLib::ext::dynamic_pointer_cast<FxIndex>(coupon.fxIndex());
    isTotalReturn_ = coupon.isTotalReturn();
    dividendFactor_ = coupon.dividendFactor();
    initialPrice_ = coupon.initialPrice();
}