EquityMarginLeg Class Reference

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

#include <qle/cashflows/equitymargincoupon.hpp>

Collaboration diagram for EquityMarginLeg:

Public Member Functions
	EquityMarginLeg (const Schedule &schedule, const QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > &equityCurve, const QuantLib::ext::shared_ptr< FxIndex > &fxIndex=nullptr)
EquityMarginLeg &	withCouponRates (Rate, const DayCounter &paymentDayCounter, Compounding comp=Simple, Frequency freq=Annual)
EquityMarginLeg &	withCouponRates (const std::vector< Rate > &, const DayCounter &paymentDayCounter, Compounding comp=Simple, Frequency freq=Annual)
EquityMarginLeg &	withCouponRates (const InterestRate &)
EquityMarginLeg &	withCouponRates (const std::vector< InterestRate > &)
EquityMarginLeg &	withInitialMarginFactor (const Real &marginFactor)
EquityMarginLeg &	withNotional (Real notional)
EquityMarginLeg &	withNotionals (const std::vector< Real > &notionals)
EquityMarginLeg &	withPaymentDayCounter (const DayCounter &dayCounter)
EquityMarginLeg &	withPaymentAdjustment (BusinessDayConvention convention)
EquityMarginLeg &	withPaymentLag (Natural paymentLag)
EquityMarginLeg &	withPaymentCalendar (const Calendar &calendar)
EquityMarginLeg &	withTotalReturn (bool)
EquityMarginLeg &	withDividendFactor (Real)
EquityMarginLeg &	withInitialPrice (Real)
EquityMarginLeg &	withInitialPriceIsInTargetCcy (bool)
EquityMarginLeg &	withFixingDays (Natural)
EquityMarginLeg &	withValuationSchedule (const Schedule &valuationSchedule)
EquityMarginLeg &	withNotionalReset (bool)
EquityMarginLeg &	withQuantity (Real)
EquityMarginLeg &	withMultiplier (Real)
	operator Leg () const

Private Attributes
std::vector< InterestRate >	couponRates_
Real	marginFactor_
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_
bool	isTotalReturn_
Real	initialPrice_
bool	initialPriceIsInTargetCcy_
Real	dividendFactor_
Natural	fixingDays_
Schedule	valuationSchedule_
bool	notionalReset_
Real	quantity_
Real	multiplier_

Detailed Description

helper class building a sequence of equity margin coupons

Definition at line 153 of file equitymargincoupon.hpp.

Constructor & Destructor Documentation

EquityMarginLeg()

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

Definition at line 126 of file equitymargincoupon.cpp.

    : schedule_(schedule), equityCurve_(equityCurve), fxIndex_(fxIndex) {}

Member Function Documentation

withCouponRates() [1/4]

EquityMarginLeg & withCouponRates	(	Rate	,
		const DayCounter &	paymentDayCounter,
		Compounding	comp = Simple,
		Frequency	freq = Annual
	)

withCouponRates() [2/4]

EquityMarginLeg & withCouponRates	(	const std::vector< Rate > &	,
		const DayCounter &	paymentDayCounter,
		Compounding	comp = Simple,
		Frequency	freq = Annual
	)

withCouponRates() [3/4]

EquityMarginLeg & withCouponRates

(

const InterestRate &

i

)

Definition at line 139 of file equitymargincoupon.cpp.

                                                                       {
    couponRates_.resize(1);
    couponRates_[0] = i;
    return *this;
}

withCouponRates() [4/4]

EquityMarginLeg & withCouponRates

(

const std::vector< InterestRate > &

interestRates

)

Definition at line 155 of file equitymargincoupon.cpp.

                                                                          {
    couponRates_ = interestRates;
    return *this;
}

withInitialMarginFactor()

EquityMarginLeg & withInitialMarginFactor

(

const Real &

marginFactor

)

Definition at line 161 of file equitymargincoupon.cpp.

                                                                       {
    marginFactor_ = i;
    return *this;
}

withNotional()

EquityMarginLeg & withNotional

(

Real

notional

)

Definition at line 166 of file equitymargincoupon.cpp.

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

withNotionals()

EquityMarginLeg & withNotionals

(

const std::vector< Real > &

notionals

)

Definition at line 171 of file equitymargincoupon.cpp.

                                                                                {
    notionals_ = notionals;
    return *this;
}

withPaymentDayCounter()

EquityMarginLeg & withPaymentDayCounter

(

const DayCounter &

dayCounter

)

Definition at line 176 of file equitymargincoupon.cpp.

                                                                                    {
    paymentDayCounter_ = dayCounter;
    return *this;
}

withPaymentAdjustment()

EquityMarginLeg & withPaymentAdjustment

(

BusinessDayConvention

convention

)

Definition at line 181 of file equitymargincoupon.cpp.

                                                                                        {
    paymentAdjustment_ = convention;
    return *this;
}

withPaymentLag()

EquityMarginLeg & withPaymentLag

(

Natural

paymentLag

)

Definition at line 186 of file equitymargincoupon.cpp.

                                                                   {
    paymentLag_ = paymentLag;
    return *this;
}

withPaymentCalendar()

EquityMarginLeg & withPaymentCalendar

(

const Calendar &

calendar

)

Definition at line 191 of file equitymargincoupon.cpp.

                                                                              {
    paymentCalendar_ = calendar;
    return *this;
}

withTotalReturn()

EquityMarginLeg & withTotalReturn

(

bool

totalReturn

)

Definition at line 196 of file equitymargincoupon.cpp.

                                                                  {
    isTotalReturn_ = totalReturn;
    return *this;
}

withDividendFactor()

EquityMarginLeg & withDividendFactor

(

Real

dividendFactor

)

Definition at line 201 of file equitymargincoupon.cpp.

                                                                        {
    dividendFactor_ = dividendFactor;
    return *this;
}

withInitialPrice()

EquityMarginLeg & withInitialPrice

(

Real

initialPrice

)

Definition at line 206 of file equitymargincoupon.cpp.

                                                                    {
    initialPrice_ = initialPrice;
    return *this;
}

withInitialPriceIsInTargetCcy()

EquityMarginLeg & withInitialPriceIsInTargetCcy

(

bool

initialPriceIsInTargetCcy

)

Definition at line 216 of file equitymargincoupon.cpp.

                                                                                              {
    initialPriceIsInTargetCcy_ = initialPriceIsInTargetCcy;
    return *this;
}

withFixingDays()

EquityMarginLeg & withFixingDays

(

Natural

fixingDays

)

Definition at line 221 of file equitymargincoupon.cpp.

                                                                   {
    fixingDays_ = fixingDays;
    return *this;
}

withValuationSchedule()

EquityMarginLeg & withValuationSchedule

(

const Schedule &

valuationSchedule

)

Definition at line 226 of file equitymargincoupon.cpp.

                                                                                         {
    valuationSchedule_ = valuationSchedule;
    return *this;
}

withNotionalReset()

EquityMarginLeg & withNotionalReset

(

bool

notionalReset

)

Definition at line 231 of file equitymargincoupon.cpp.

                                                                      {
    notionalReset_ = notionalReset;
    return *this;
}

withQuantity()

EquityMarginLeg & withQuantity

(

Real

quantity

)

Definition at line 236 of file equitymargincoupon.cpp.

                                                            {
    quantity_ = quantity;
    return *this;
}

withMultiplier()

EquityMarginLeg & withMultiplier

(

Real

multiplier

)

Definition at line 211 of file equitymargincoupon.cpp.

                                                                {
    multiplier_ = multiplier;
    return *this;
}

operator Leg()

operator Leg

(

)

const

Definition at line 241 of file equitymargincoupon.cpp.

                                    {
 
    Leg cashflows;
    Date startDate;
    Date endDate;
    Date paymentDate;
    InterestRate rate = couponRates_[0];
 
    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");
    }
 
    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);
        }
 
        InterestRate rate;
        if ((i-1) < couponRates_.size())
            rate = couponRates_[i-1];
        else
            rate = couponRates_.back();
 
        Real initialPrice = (i == 0) ? initialPrice_ : Null<Real>();
        bool initialPriceIsInTargetCcy = initialPrice != Null<Real>() ? initialPriceIsInTargetCcy_ : false;
        Real quantity = Null<Real>(), notional = Null<Real>();
        if (notionalReset_) {
            if (quantity_ != Null<Real>()) {
                quantity = quantity_;
                QL_REQUIRE(notionals_.empty(), "EquityMarginLeg: notional and quantity are given at the same time");
            } else {
                QL_REQUIRE(fxIndex_ == nullptr,
                           "EquityMarginLeg: can not compute quantity from nominal when fx conversion is required");
                QL_REQUIRE(!notionals_.empty(), "EquityMarginLeg: can not compute qunantity, since no notional is given");
                quantity = notionals_.front() ;
            }
        } else {
            if (!notionals_.empty()) {
                notional = detail::get(notionals_, i, 0.0);
                QL_REQUIRE(quantity_ == Null<Real>(), "EquityMarginLeg: notional and quantity are given at the same time");
            } else {
                QL_REQUIRE(fxIndex_ == nullptr,
                           "EquityMarginLeg: can not compute notional from quantity when fx conversion is required");
                QL_REQUIRE(quantity_ != Null<Real>(),
                           "EquityMarginLeg: can not compute notional, since no quantity is given");
                notional = quantity_;
            }
        }
 
        QuantLib::ext::shared_ptr<EquityMarginCoupon> cashflow(
            new EquityMarginCoupon(paymentDate, notional, rate, marginFactor_, startDate, endDate, fixingDays_, equityCurve_, paymentDayCounter_,
                             isTotalReturn_, dividendFactor_, notionalReset_, initialPrice, quantity, fixingStartDate,
                             fixingEndDate, Date(), Date(), Date(), multiplier_, fxIndex_, initialPriceIsInTargetCcy));
 
        QuantLib::ext::shared_ptr<EquityMarginCouponPricer> pricer(new EquityMarginCouponPricer);
        cashflow->setPricer(pricer);
 
        cashflows.push_back(cashflow);
    }
    return cashflows;
}

Member Data Documentation

couponRates_

std::vector<InterestRate> couponRates_

private

Definition at line 191 of file equitymargincoupon.hpp.

marginFactor_

Real marginFactor_

private

Definition at line 192 of file equitymargincoupon.hpp.

schedule_

Schedule schedule_

private

Definition at line 193 of file equitymargincoupon.hpp.

equityCurve_

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

private

Definition at line 194 of file equitymargincoupon.hpp.

fxIndex_

QuantLib::ext::shared_ptr<FxIndex> fxIndex_

private

Definition at line 195 of file equitymargincoupon.hpp.

notionals_

std::vector<Real> notionals_

private

Definition at line 196 of file equitymargincoupon.hpp.

paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 197 of file equitymargincoupon.hpp.

paymentLag_

Natural paymentLag_

private

Definition at line 198 of file equitymargincoupon.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_

private

Definition at line 199 of file equitymargincoupon.hpp.

paymentCalendar_

Calendar paymentCalendar_

private

Definition at line 200 of file equitymargincoupon.hpp.

isTotalReturn_

bool isTotalReturn_

private

Definition at line 201 of file equitymargincoupon.hpp.

initialPrice_

Real initialPrice_

private

Definition at line 202 of file equitymargincoupon.hpp.

initialPriceIsInTargetCcy_

bool initialPriceIsInTargetCcy_

private

Definition at line 203 of file equitymargincoupon.hpp.

dividendFactor_

Real dividendFactor_

private

Definition at line 204 of file equitymargincoupon.hpp.

fixingDays_

Natural fixingDays_

private

Definition at line 205 of file equitymargincoupon.hpp.

valuationSchedule_

Schedule valuationSchedule_

private

Definition at line 206 of file equitymargincoupon.hpp.

notionalReset_

bool notionalReset_

private

Definition at line 207 of file equitymargincoupon.hpp.

quantity_

Real quantity_

private

Definition at line 208 of file equitymargincoupon.hpp.

multiplier_

Real multiplier_

private

Definition at line 209 of file equitymargincoupon.hpp.