FlexiSwap Class Reference

Flexi-Swap with global notional bounds. More...

#include <qle/instruments/flexiswap.hpp>

Inheritance diagram for FlexiSwap:

Collaboration diagram for FlexiSwap:

Classes
class	arguments
	Arguments for Flexi-Swap More...
class	engine
	Base class for Flexi-Swap engines. More...
class	results
	Results for Flexi-Swap More...

Public Member Functions
	FlexiSwap (const VanillaSwap::Type type, const std::vector< Real > &fixedNominal, const std::vector< Real > &floatingNominal, const Schedule &fixedSchedule, const std::vector< Real > &fixedRate, const DayCounter &fixedDayCount, const Schedule &floatingSchedule, const QuantLib::ext::shared_ptr< IborIndex > &iborIndex, const std::vector< Real > &gearing, const std::vector< Real > &spread, const std::vector< Real > &cappedRate, const std::vector< Real > &flooredRate, const DayCounter &floatingDayCount, const std::vector< Real > &lowerNotionalBound, const QuantLib::Position::Type optionPosition, const std::vector< bool > &notionalCanBeDecreased=std::vector< bool >(), boost::optional< BusinessDayConvention > paymentConvention=boost::none)

Inspectors
const VanillaSwap::Type	type_
const std::vector< Real >	fixedNominal_
const std::vector< Real >	floatingNominal_
const Schedule	fixedSchedule_
const std::vector< Real >	fixedRate_
const DayCounter	fixedDayCount_
const Schedule	floatingSchedule_
const QuantLib::ext::shared_ptr< IborIndex >	iborIndex_
const std::vector< Real >	gearing_
const std::vector< Real >	spread_
const std::vector< Real >	cappedRate_
const std::vector< Real >	flooredRate_
const DayCounter	floatingDayCount_
const std::vector< Real >	lowerNotionalBound_
const QuantLib::Position::Type	optionPosition_
const std::vector< bool >	notionalCanBeDecreased_
BusinessDayConvention	paymentConvention_
Real	underlyingValue_
VanillaSwap::Type	type () const
const std::vector< Real > &	fixedNominal () const
const std::vector< Real > &	floatingNominal () const
const Schedule &	fixedSchedule () const
const std::vector< Real > &	fixedRate () const
const DayCounter &	fixedDayCount () const
const Schedule &	floatingSchedule () const
const QuantLib::ext::shared_ptr< IborIndex > &	iborIndex () const
const std::vector< Real > &	gearing () const
const std::vector< Real > &	spread () const
const std::vector< Real > &	cappedRate () const
const std::vector< Real > &	flooredRate () const
const DayCounter &	floatingDayCount () const
const std::vector< Real > &	lowerNotionalBound () const
const QuantLib::Position::Type	optionPosition () const
const std::vector< bool > &	notionalCanBeDecreased () const
BusinessDayConvention	paymentConvention () const
const Leg &	fixedLeg () const
const Leg &	floatingLeg () const
Real	underlyingValue () const
void	setupArguments (QuantLib::PricingEngine::arguments *) const override
void	setupExpired () const override
void	fetchResults (const QuantLib::PricingEngine::results *) const override

Detailed Description

Flexi-Swap with global notional bounds.

The given non-standard swap defines the upper bound for the notionals, which must be non-increasing and consistent across the legs. Furthermore it is assumed that that floating leg's frequency divides the fixed leg's frequency. The notional in the Flexi-Swap can be adjusted on each fixing date corresponding to a whole fixed leg period to any value between the given lower bound and the original amount. The vector of lower bounds must therefore have the same size as the fixed leg vector in the non-standard swap. For periods with a fixing date on or before the evaluation date, is is assumed that the non-standard swap's notional is the relevant one, i.e. the lower bound is ignored for such periods.

notionalCanBeDecreased marks fixed rate periods in which the notional can actually be decreased; defaults to true,true,...,true if not given, i.e. the notional can be decreased in each period.

Definition at line 57 of file flexiswap.hpp.

Constructor & Destructor Documentation

FlexiSwap()

FlexiSwap	(	const VanillaSwap::Type	type,
		const std::vector< Real > &	fixedNominal,
		const std::vector< Real > &	floatingNominal,
		const Schedule &	fixedSchedule,
		const std::vector< Real > &	fixedRate,
		const DayCounter &	fixedDayCount,
		const Schedule &	floatingSchedule,
		const QuantLib::ext::shared_ptr< IborIndex > &	iborIndex,
		const std::vector< Real > &	gearing,
		const std::vector< Real > &	spread,
		const std::vector< Real > &	cappedRate,
		const std::vector< Real > &	flooredRate,
		const DayCounter &	floatingDayCount,
		const std::vector< Real > &	lowerNotionalBound,
		const QuantLib::Position::Type	optionPosition,
		const std::vector< bool > &	notionalCanBeDecreased = std::vector<bool>(),
		boost::optional< BusinessDayConvention >	paymentConvention = boost::none
	)

Definition at line 31 of file flexiswap.cpp.

    : Swap(2), type_(type), fixedNominal_(fixedNominal), floatingNominal_(floatingNominal),
      fixedSchedule_(fixedSchedule), fixedRate_(fixedRate), fixedDayCount_(fixedDayCount),
      floatingSchedule_(floatingSchedule), iborIndex_(iborIndex), gearing_(gearing), spread_(spread),
      cappedRate_(cappedRate), flooredRate_(flooredRate), floatingDayCount_(floatingDayCount),
      lowerNotionalBound_(lowerNotionalBound), optionPosition_(optionPosition),
      notionalCanBeDecreased_(notionalCanBeDecreased) {
 
    if (paymentConvention)
        paymentConvention_ = *paymentConvention;
    else
        paymentConvention_ = floatingSchedule_.businessDayConvention();
 
    QL_REQUIRE(floatingNominal.size() > 0, "FloatingNominal size is zero");
    QL_REQUIRE(fixedNominal.size() > 0, "FixedNominal size is zero");
    QL_REQUIRE(floatingNominal.size() % fixedNominal.size() == 0,
               "Fixed nominal size (" << fixedNominal.size() << ") must divide floating nominal size ("
                                      << floatingNominal.size() << ")");
    QL_REQUIRE(fixedNominal_.size() == fixedRate_.size(), "Fixed nominal size (" << fixedNominal_.size()
                                                                                 << ") does not match fixed rate size ("
                                                                                 << fixedRate_.size() << ")");
    QL_REQUIRE(fixedNominal_.size() == fixedSchedule_.size() - 1,
               "Fixed nominal size (" << fixedNominal_.size() << ") does not match schedule size ("
                                      << fixedSchedule_.size() << ") - 1");
    QL_REQUIRE(fixedNominal_.size() == lowerNotionalBound_.size(),
               "Fixed nominal size (" << fixedNominal_.size() << ") does not match lowerNotionalBound size ("
                                      << lowerNotionalBound_.size() << ")");
 
    QL_REQUIRE(floatingNominal_.size() == floatingSchedule_.size() - 1,
               "Floating nominal size (" << floatingNominal_.size() << ") does not match schedule size ("
                                         << floatingSchedule_.size() << ") - 1");
 
    QL_REQUIRE(floatingNominal_.size() == gearing_.size(),
               "Floating nominal size (" << floatingNominal_.size() << ") does not match gearing size ("
                                         << gearing_.size() << ")");
    QL_REQUIRE(floatingNominal_.size() == spread_.size(), "Floating nominal size (" << floatingNominal_.size()
                                                                                    << ") does not match spread size ("
                                                                                    << spread_.size() << ")");
    QL_REQUIRE(floatingNominal_.size() == cappedRate_.size(),
               "Floating nominal size (" << floatingNominal_.size() << ") does not match spread size ("
                                         << cappedRate_.size() << ")");
    QL_REQUIRE(floatingNominal_.size() == flooredRate_.size(),
               "Floating nominal size (" << floatingNominal_.size() << ") does not match spread size ("
                                         << flooredRate_.size() << ")");
 
    QL_REQUIRE(notionalCanBeDecreased.empty() || notionalCanBeDecreased_.size() == fixedSchedule.size() - 1,
               "notionalCanBeDecreased (" << notionalCanBeDecreased_.size() << ") must match number of fixed periods ("
                                          << fixedSchedule.size() - 1 << ")");
 
    // if the gearing is zero then the ibor leg will be set up with fixed
    // coupons which makes trouble here in this context. We therefore use
    // a dirty trick and enforce the gearing to be non zero.
 
    // TODO do we need this?
 
    std::vector<Real> gearingTmp(gearing_);
    for (Size i = 0; i < gearingTmp.size(); ++i) {
        if (close(gearingTmp[i], 0.0))
            gearingTmp[i] = QL_EPSILON;
    }
 
    legs_[0] = FixedRateLeg(fixedSchedule_)
                   .withNotionals(fixedNominal_)
                   .withCouponRates(fixedRate_, fixedDayCount_)
                   .withPaymentAdjustment(paymentConvention_);
 
    legs_[1] = IborLeg(floatingSchedule_, iborIndex_)
                   .withNotionals(floatingNominal_)
                   .withPaymentDayCounter(floatingDayCount_)
                   .withPaymentAdjustment(paymentConvention_)
                   .withSpreads(spread_)
                   .withGearings(gearingTmp)
                   .withCaps(cappedRate_)
                   .withFloors(flooredRate_);
 
    for (Leg::const_iterator i = legs_[1].begin(); i < legs_[1].end(); ++i)
        registerWith(*i);
 
    auto cpnPricer = QuantLib::ext::make_shared<BlackIborCouponPricer>();
    setCouponPricer(legs_[1], cpnPricer);
 
    switch (type_) {
    case VanillaSwap::Payer:
        payer_[0] = -1.0;
        payer_[1] = +1.0;
        break;
    case VanillaSwap::Receiver:
        payer_[0] = +1.0;
        payer_[1] = -1.0;
        break;
    default:
        QL_FAIL("Unknown vanilla swap type");
    }
}

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Member Function Documentation

type()

VanillaSwap::Type type

(

)

const

Definition at line 74 of file flexiswap.hpp.

{ return type_; }

fixedNominal()

const std::vector< Real > & fixedNominal

(

)

const

Definition at line 75 of file flexiswap.hpp.

{ return fixedNominal_; }

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floatingNominal()

const std::vector< Real > & floatingNominal

(

)

const

Definition at line 76 of file flexiswap.hpp.

{ return floatingNominal_; }

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fixedSchedule()

const Schedule & fixedSchedule

(

)

const

Definition at line 78 of file flexiswap.hpp.

{ return fixedSchedule_; }

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fixedRate()

const std::vector< Real > & fixedRate

(

)

const

Definition at line 79 of file flexiswap.hpp.

{ return fixedRate_; }

fixedDayCount()

const DayCounter & fixedDayCount

(

)

const

Definition at line 80 of file flexiswap.hpp.

{ return fixedDayCount_; }

floatingSchedule()

const Schedule & floatingSchedule

(

)

const

Definition at line 82 of file flexiswap.hpp.

{ return floatingSchedule_; }

iborIndex()

const QuantLib::ext::shared_ptr< IborIndex > & iborIndex

(

)

const

Definition at line 83 of file flexiswap.hpp.

{ return iborIndex_; }

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gearing()

const std::vector< Real > & gearing

(

)

const

Definition at line 84 of file flexiswap.hpp.

{ return gearing_; }

spread()

const std::vector< Real > & spread

(

)

const

Definition at line 85 of file flexiswap.hpp.

{ return spread_; }

cappedRate()

const std::vector< Real > & cappedRate

(

)

const

Definition at line 86 of file flexiswap.hpp.

{ return cappedRate_; }

flooredRate()

const std::vector< Real > & flooredRate

(

)

const

Definition at line 87 of file flexiswap.hpp.

{ return flooredRate_; }

floatingDayCount()

const DayCounter & floatingDayCount

(

)

const

Definition at line 88 of file flexiswap.hpp.

{ return floatingDayCount_; }

lowerNotionalBound()

const std::vector< Real > & lowerNotionalBound

(

)

const

Definition at line 90 of file flexiswap.hpp.

{ return lowerNotionalBound_; }

optionPosition()

const QuantLib::Position::Type optionPosition

(

)

const

Definition at line 91 of file flexiswap.hpp.

{ return optionPosition_; }

notionalCanBeDecreased()

const std::vector< bool > & notionalCanBeDecreased

(

)

const

Definition at line 92 of file flexiswap.hpp.

{ return notionalCanBeDecreased_; }

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paymentConvention()

BusinessDayConvention paymentConvention

(

)

const

Definition at line 94 of file flexiswap.hpp.

{ return paymentConvention_; }

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fixedLeg()

const Leg & fixedLeg

(

)

const

Definition at line 96 of file flexiswap.hpp.

{ return legs_[0]; }

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floatingLeg()

const Leg & floatingLeg

(

)

const

Definition at line 97 of file flexiswap.hpp.

{ return legs_[1]; }

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underlyingValue()

Real underlyingValue

(

)

const

Definition at line 195 of file flexiswap.cpp.

                                      {
    calculate();
    QL_REQUIRE(underlyingValue_ != Null<Real>(), "FlexiSwap: underlying value not provided");
    return underlyingValue_;
}

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setupArguments()

void setupArguments ( QuantLib::PricingEngine::arguments *  ) const

overrideprivate

Definition at line 134 of file flexiswap.cpp.

                                                                 {
    Swap::setupArguments(args);
    auto arguments = dynamic_cast<FlexiSwap::arguments*>(args);
 
    // QL_REQUIRE(arguments != nullptr, "FlexiSwap::setupArguments(): wrong argument type");
 
    // allow for swap engine
    if (arguments == nullptr)
        return;
 
    arguments->type = type_;
    arguments->fixedNominal = fixedNominal_;
    arguments->floatingNominal = floatingNominal_;
    arguments->fixedRate = fixedRate_;
    arguments->iborIndex = iborIndex();
    arguments->cappedRate = cappedRate_;
    arguments->flooredRate = flooredRate_;
    arguments->lowerNotionalBound = lowerNotionalBound_;
    arguments->optionPosition = optionPosition_;
    arguments->notionalCanBeDecreased =
        notionalCanBeDecreased_.empty() ? std::vector<bool>(fixedNominal_.size(), true) : notionalCanBeDecreased_;
 
    const Leg& fixedCoupons = fixedLeg();
 
    arguments->fixedResetDates = arguments->fixedPayDates = std::vector<Date>(fixedCoupons.size());
    arguments->fixedCoupons = std::vector<Real>(fixedCoupons.size());
 
    for (Size i = 0; i < fixedCoupons.size(); ++i) {
        auto coupon = QuantLib::ext::dynamic_pointer_cast<FixedRateCoupon>(fixedCoupons[i]);
        QL_REQUIRE(coupon != nullptr, "FlexiSwap::setupArguments(): expected fixed rate coupon");
        arguments->fixedPayDates[i] = coupon->date();
        arguments->fixedResetDates[i] = coupon->accrualStartDate();
        arguments->fixedCoupons[i] = coupon->amount();
    }
 
    const Leg& floatingCoupons = floatingLeg();
 
    arguments->floatingResetDates = arguments->floatingPayDates = arguments->floatingFixingDates =
        std::vector<Date>(floatingCoupons.size());
    arguments->floatingAccrualTimes = std::vector<Time>(floatingCoupons.size());
    arguments->floatingSpreads = std::vector<Spread>(floatingCoupons.size());
    arguments->floatingGearings = std::vector<Real>(floatingCoupons.size());
    arguments->floatingCoupons = std::vector<Real>(floatingCoupons.size());
 
    for (Size i = 0; i < floatingCoupons.size(); ++i) {
        auto coupon = QuantLib::ext::dynamic_pointer_cast<FloatingRateCoupon>(floatingCoupons[i]);
        QL_REQUIRE(coupon != nullptr, "FlexiSwap::setupArguments(): expected fixed rate coupon");
        arguments->floatingResetDates[i] = coupon->accrualStartDate();
        arguments->floatingPayDates[i] = coupon->date();
        arguments->floatingFixingDates[i] = coupon->fixingDate();
        arguments->floatingAccrualTimes[i] = coupon->accrualPeriod();
        arguments->floatingSpreads[i] = coupon->spread();
        arguments->floatingGearings[i] = coupon->gearing();
        try {
            arguments->floatingCoupons[i] = coupon->amount();
        } catch (const std::exception&) {
            arguments->floatingCoupons[i] = Null<Real>();
        }
    }
}

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setupExpired()

void setupExpired ( ) const

overrideprivate

Definition at line 201 of file flexiswap.cpp.

                                   {
    Swap::setupExpired();
    underlyingValue_ = 0.0;
}

fetchResults()

void fetchResults ( const QuantLib::PricingEngine::results *  ) const

overrideprivate

Definition at line 206 of file flexiswap.cpp.

                                                                {
    Swap::fetchResults(r);
    auto results = dynamic_cast<const FlexiSwap::results*>(r);
 
    // QL_REQUIRE(results != nullptr, "FlexiSwap::fetchResult(): wrong result type");
 
    // allow for swap engine
    if (results == nullptr)
        return;
 
    underlyingValue_ = results->underlyingValue;
}

Member Data Documentation

type_

const VanillaSwap::Type type_

private

Definition at line 103 of file flexiswap.hpp.

fixedNominal_

const std::vector<Real> fixedNominal_

private

Definition at line 104 of file flexiswap.hpp.

floatingNominal_

const std::vector<Real> floatingNominal_

private

Definition at line 104 of file flexiswap.hpp.

fixedSchedule_

const Schedule fixedSchedule_

private

Definition at line 105 of file flexiswap.hpp.

fixedRate_

const std::vector<Real> fixedRate_

private

Definition at line 106 of file flexiswap.hpp.

fixedDayCount_

const DayCounter fixedDayCount_

private

Definition at line 107 of file flexiswap.hpp.

floatingSchedule_

const Schedule floatingSchedule_

private

Definition at line 108 of file flexiswap.hpp.

iborIndex_

const QuantLib::ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 109 of file flexiswap.hpp.

gearing_

const std::vector<Real> gearing_

private

Definition at line 110 of file flexiswap.hpp.

spread_

const std::vector<Real> spread_

private

Definition at line 111 of file flexiswap.hpp.

cappedRate_

const std::vector<Real> cappedRate_

private

Definition at line 112 of file flexiswap.hpp.

flooredRate_

const std::vector<Real> flooredRate_

private

Definition at line 113 of file flexiswap.hpp.

floatingDayCount_

const DayCounter floatingDayCount_

private

Definition at line 114 of file flexiswap.hpp.

lowerNotionalBound_

const std::vector<Real> lowerNotionalBound_

private

Definition at line 115 of file flexiswap.hpp.

optionPosition_

const QuantLib::Position::Type optionPosition_

private

Definition at line 116 of file flexiswap.hpp.

notionalCanBeDecreased_

const std::vector<bool> notionalCanBeDecreased_

private

Definition at line 117 of file flexiswap.hpp.

paymentConvention_

BusinessDayConvention paymentConvention_

private

Definition at line 118 of file flexiswap.hpp.

underlyingValue_

Real underlyingValue_

mutableprivate

Definition at line 124 of file flexiswap.hpp.