Arguments for Flexi-Swap More...

#include <qle/instruments/flexiswap.hpp>

Inheritance diagram for FlexiSwap::arguments:

Collaboration diagram for FlexiSwap::arguments:

Public Member Functions
	arguments ()

void	validate () const override

Public Attributes
VanillaSwap::Type	type

std::vector< Real >	fixedNominal

std::vector< Real >	floatingNominal

std::vector< Date >	fixedResetDates

std::vector< Date >	fixedPayDates

std::vector< Time >	floatingAccrualTimes

std::vector< Date >	floatingResetDates

std::vector< Date >	floatingFixingDates

std::vector< Date >	floatingPayDates

std::vector< Real >	fixedCoupons

std::vector< Real >	fixedRate

std::vector< Real >	floatingGearings

std::vector< Real >	floatingSpreads

std::vector< Real >	cappedRate

std::vector< Real >	flooredRate

std::vector< Real >	floatingCoupons

QuantLib::ext::shared_ptr< IborIndex >	iborIndex

std::vector< Real >	lowerNotionalBound

QuantLib::Position::Type	optionPosition

std::vector< bool >	notionalCanBeDecreased

Detailed Description

Arguments for Flexi-Swap

Definition at line 128 of file flexiswap.hpp.

Constructor & Destructor Documentation

◆ arguments()

arguments ( )

Definition at line 130 of file flexiswap.hpp.

130: type(VanillaSwap::Receiver) {}

QuantExt::FlexiSwap::arguments::type

VanillaSwap::Type type

Definition: flexiswap.hpp:131

Member Function Documentation

◆ validate()

void validate ( ) const

override

Definition at line 219 of file flexiswap.cpp.

                                        {
    Swap::arguments::validate();
    Size ratio = floatingNominal.size() / fixedNominal.size(); // we know there is no remainder
    bool hasOptionality = false;
    Date today = Settings::instance().evaluationDate();
    for (Size i = 0; i < fixedNominal.size(); ++i) {
        for (Size j = 0; j < ratio; ++j) {
            QL_REQUIRE(QuantLib::close_enough(fixedNominal[i], floatingNominal[i * ratio + j]),
                       "FlexiSwap::arguments::validate(): fixedNominal["
                           << i << "] = " << fixedNominal[i] << " does not match floatingNominal[" << i * ratio + j
                           << "] = " << floatingNominal[i * ratio + j] << ", ratio is " << ratio);
        }
        QL_REQUIRE(lowerNotionalBound[i] < fixedNominal[i] ||
                       QuantLib::close_enough(lowerNotionalBound[i], fixedNominal[i]),
                   "FlexiSwap::arguments::validate(): lowerNotionalBound[" << i << "] = " << lowerNotionalBound[i]
                                                                           << " must be leq fixedNominal[" << i
                                                                           << "] = " << fixedNominal[i]);
        if (floatingResetDates[ratio * i] > today && notionalCanBeDecreased[i])
            hasOptionality = hasOptionality || !QuantLib::close_enough(lowerNotionalBound[i], fixedNominal[i]);
        if (i > 0 && hasOptionality) {
            QL_REQUIRE(lowerNotionalBound[i] < lowerNotionalBound[i - 1] ||
                           QuantLib::close_enough(lowerNotionalBound[i], lowerNotionalBound[i - 1]),
                       "FlexiSwap::arguments::validate(): lowerNotionalBound["
                           << i - 1 << "] = " << lowerNotionalBound[i - 1] << " < lowerNotionalBound[" << i << "] = "
                           << lowerNotionalBound[i] << ", not allowed, since optionality has kicked in already");
            QL_REQUIRE(fixedNominal[i] < fixedNominal[i - 1] ||
                           QuantLib::close_enough(fixedNominal[i], fixedNominal[i - 1]),
                       "FlexiSwap::arguments::validate(): fixedNominal["
                           << i - 1 << "] = " << fixedNominal[i - 1] << " < fixedNominal[" << i
                           << "] = " << fixedNominal[i] << ", not allowed, since optionality has kicked in already");
        }
    }
}

Member Data Documentation

◆ type

VanillaSwap::Type type

Definition at line 131 of file flexiswap.hpp.

◆ fixedNominal

std::vector<Real> fixedNominal

Definition at line 132 of file flexiswap.hpp.

◆ floatingNominal

std::vector<Real> floatingNominal

Definition at line 132 of file flexiswap.hpp.

◆ fixedResetDates

std::vector<Date> fixedResetDates

Definition at line 134 of file flexiswap.hpp.

◆ fixedPayDates

std::vector<Date> fixedPayDates

Definition at line 135 of file flexiswap.hpp.

◆ floatingAccrualTimes

std::vector<Time> floatingAccrualTimes

Definition at line 136 of file flexiswap.hpp.

◆ floatingResetDates

std::vector<Date> floatingResetDates

Definition at line 137 of file flexiswap.hpp.

◆ floatingFixingDates

std::vector<Date> floatingFixingDates

Definition at line 138 of file flexiswap.hpp.

◆ floatingPayDates

std::vector<Date> floatingPayDates

Definition at line 139 of file flexiswap.hpp.

◆ fixedCoupons

std::vector<Real> fixedCoupons

Definition at line 141 of file flexiswap.hpp.

◆ fixedRate

std::vector<Real> fixedRate

Definition at line 142 of file flexiswap.hpp.

◆ floatingGearings

std::vector<Real> floatingGearings

Definition at line 143 of file flexiswap.hpp.

◆ floatingSpreads

std::vector<Real> floatingSpreads

Definition at line 144 of file flexiswap.hpp.

◆ cappedRate

std::vector<Real> cappedRate

Definition at line 145 of file flexiswap.hpp.

◆ flooredRate

std::vector<Real> flooredRate

Definition at line 146 of file flexiswap.hpp.

◆ floatingCoupons

std::vector<Real> floatingCoupons

Definition at line 147 of file flexiswap.hpp.

◆ iborIndex

QuantLib::ext::shared_ptr<IborIndex> iborIndex

Definition at line 149 of file flexiswap.hpp.

◆ lowerNotionalBound

std::vector<Real> lowerNotionalBound

Definition at line 151 of file flexiswap.hpp.

◆ optionPosition

QuantLib::Position::Type optionPosition

Definition at line 152 of file flexiswap.hpp.

◆ notionalCanBeDecreased

std::vector<bool> notionalCanBeDecreased

Definition at line 153 of file flexiswap.hpp.

Public Member Functions

Public Attributes