IndexedCouponLeg Class Reference

indexed coupon leg More...

#include <qle/cashflows/indexedcoupon.hpp>

Collaboration diagram for IndexedCouponLeg:

Public Member Functions
	IndexedCouponLeg (const Leg &underlyingLeg, const Real qty, const QuantLib::ext::shared_ptr< Index > &index)
IndexedCouponLeg &	withInitialFixing (const Real initialFixing)
IndexedCouponLeg &	withInitialNotionalFixing (const Real initialNotionalFixing)
IndexedCouponLeg &	withValuationSchedule (const Schedule &valuationSchedule)
IndexedCouponLeg &	withFixingDays (const Size fixingDays)
IndexedCouponLeg &	withFixingCalendar (const Calendar &fixingCalendar)
IndexedCouponLeg &	withFixingConvention (const BusinessDayConvention &fixingConvention)
IndexedCouponLeg &	inArrearsFixing (const bool inArrearsFixing=true)
	operator Leg () const

Private Attributes
const Leg	underlyingLeg_
const Real	qty_
const QuantLib::ext::shared_ptr< Index >	index_
Real	initialFixing_
Real	initialNotionalFixing_
Schedule	valuationSchedule_
Size	fixingDays_
Calendar	fixingCalendar_
BusinessDayConvention	fixingConvention_
bool	inArrearsFixing_

Detailed Description

indexed coupon leg

Definition at line 150 of file indexedcoupon.hpp.

Constructor & Destructor Documentation

IndexedCouponLeg()

IndexedCouponLeg	(	const Leg &	underlyingLeg,
		const Real	qty,
		const QuantLib::ext::shared_ptr< Index > &	index
	)

Definition at line 120 of file indexedcoupon.cpp.

    : underlyingLeg_(underlyingLeg), qty_(qty), index_(index), initialFixing_(Null<Real>()),
      initialNotionalFixing_(Null<Real>()), fixingDays_(0), fixingCalendar_(NullCalendar()),
      fixingConvention_(Preceding), inArrearsFixing_(true) {
    QL_REQUIRE(index, "IndexedCouponLeg: index required");
}

Member Function Documentation

withInitialFixing()

IndexedCouponLeg & withInitialFixing

(

const Real

initialFixing

)

Definition at line 127 of file indexedcoupon.cpp.

                                                                              {
    initialFixing_ = initialFixing;
    return *this;
}

withInitialNotionalFixing()

IndexedCouponLeg & withInitialNotionalFixing

(

const Real

initialNotionalFixing

)

Definition at line 132 of file indexedcoupon.cpp.

                                                                                              {
    initialNotionalFixing_ = initialNotionalFixing;
    return *this;
}

withValuationSchedule()

IndexedCouponLeg & withValuationSchedule

(

const Schedule &

valuationSchedule

)

Definition at line 137 of file indexedcoupon.cpp.

                                                                                           {
    valuationSchedule_ = valuationSchedule;
    return *this;
}

withFixingDays()

IndexedCouponLeg & withFixingDays

(

const Size

fixingDays

)

Definition at line 142 of file indexedcoupon.cpp.

                                                                        {
    fixingDays_ = fixingDays;
    return *this;
}

withFixingCalendar()

IndexedCouponLeg & withFixingCalendar

(

const Calendar &

fixingCalendar

)

Definition at line 147 of file indexedcoupon.cpp.

                                                                                     {
    fixingCalendar_ = fixingCalendar;
    return *this;
}

withFixingConvention()

IndexedCouponLeg & withFixingConvention

(

const BusinessDayConvention &

fixingConvention

)

Definition at line 152 of file indexedcoupon.cpp.

                                                                                                      {
    fixingConvention_ = fixingConvention;
    return *this;
}

inArrearsFixing()

IndexedCouponLeg & inArrearsFixing

(

const bool

inArrearsFixing = true

)

Definition at line 157 of file indexedcoupon.cpp.

                                                                              {
    inArrearsFixing_ = inArrearsFixing;
    return *this;
}

Here is the call graph for this function:

Here is the caller graph for this function:

operator Leg()

operator Leg

(

)

const

Definition at line 162 of file indexedcoupon.cpp.

                                     {
    Leg resultLeg;
    resultLeg.reserve(underlyingLeg_.size());
 
    for (Size i = 0; i < underlyingLeg_.size(); ++i) {
        bool firstValuationDate = (i == 0);
        Date fixingDate;
 
        if (auto cpn = QuantLib::ext::dynamic_pointer_cast<Coupon>(underlyingLeg_[i])) {
            if (valuationSchedule_.empty()) {
                fixingDate = inArrearsFixing_ ? cpn->accrualEndDate() : cpn->accrualStartDate();
            } else {
                if (valuationSchedule_.size() == underlyingLeg_.size() + 1) {
                    // valuation schedule corresponds one to one to underlying schedule
                    fixingDate = inArrearsFixing_ ? valuationSchedule_.date(i + 1) : valuationSchedule_.date(i);
                } else {
                    // look for the latest valuation date less or equal to the underlying accrual start date (if
                    // the indexing is using in advance fixing) resp. accrual end date (for in arrears fixing)
                    auto valDates = valuationSchedule_.dates();
                    Date refDate = inArrearsFixing_ ? cpn->accrualEndDate() : cpn->accrualStartDate();
                    Size index =
                        std::distance(valDates.begin(), std::upper_bound(valDates.begin(), valDates.end(), refDate));
                    QL_REQUIRE(index > 0, "IndexedCouponLeg: First valuation date ("
                                              << valDates.front() << ") must be leq accrual "
                                              << (inArrearsFixing_ ? "end" : "start") << " date ("
                                              << cpn->accrualStartDate() << ") of the " << (i + 1)
                                              << "th coupon in the underlying leg");
                    fixingDate = valuationSchedule_.date(index - 1);
                    firstValuationDate = (index == 1);
                }
            }
 
            fixingDate = fixingCalendar_.advance(fixingDate, -static_cast<int>(fixingDays_), Days, fixingConvention_);
            if (index_ != nullptr)
                fixingDate = index_->fixingCalendar().adjust(fixingDate, Preceding);
 
            if (firstValuationDate && initialFixing_ != Null<Real>()) {
                resultLeg.push_back(QuantLib::ext::make_shared<IndexedCoupon>(cpn, qty_, initialFixing_));
            } else {
                resultLeg.push_back(QuantLib::ext::make_shared<IndexedCoupon>(cpn, qty_, index_, fixingDate));
            }
        } else if (auto csf = QuantLib::ext::dynamic_pointer_cast<CashFlow>(underlyingLeg_[i])) {
            fixingDate = fixingCalendar_.advance(csf->date(), -static_cast<int>(fixingDays_), Days, fixingConvention_);
            if (firstValuationDate && initialNotionalFixing_ != Null<Real>()) {
                // use firstNotionalFixing if the first flow is a cashflow (not a coupon)
                resultLeg.push_back(QuantLib::ext::make_shared<IndexWrappedCashFlow>(csf, qty_, initialNotionalFixing_));
            } else if (!valuationSchedule_.empty() && valuationSchedule_.dates().size() > 0 &&
                       valuationSchedule_.date(0) == csf->date() && initialFixing_ != Null<Real>()) {
                // use the initial fixing if the cashflow date equals the first date in the val schedule
                resultLeg.push_back(QuantLib::ext::make_shared<IndexWrappedCashFlow>(csf, qty_, initialFixing_));
            } else {
                // use a flow with free fixing otherwise
                resultLeg.push_back(QuantLib::ext::make_shared<IndexWrappedCashFlow>(csf, qty_, index_, fixingDate));
            }
        } else {
            QL_FAIL("IndexedCouponLeg: coupon or cashflow required");
        }
    }
 
    return resultLeg;
}

Member Data Documentation

underlyingLeg_

const Leg underlyingLeg_

private

Definition at line 164 of file indexedcoupon.hpp.

qty_

const Real qty_

private

Definition at line 165 of file indexedcoupon.hpp.

index_

const QuantLib::ext::shared_ptr<Index> index_

private

Definition at line 166 of file indexedcoupon.hpp.

initialFixing_

Real initialFixing_

private

Definition at line 167 of file indexedcoupon.hpp.

initialNotionalFixing_

Real initialNotionalFixing_

private

Definition at line 168 of file indexedcoupon.hpp.

valuationSchedule_

Schedule valuationSchedule_

private

Definition at line 169 of file indexedcoupon.hpp.

fixingDays_

Size fixingDays_

private

Definition at line 170 of file indexedcoupon.hpp.

fixingCalendar_

Calendar fixingCalendar_

private

Definition at line 171 of file indexedcoupon.hpp.

fixingConvention_

BusinessDayConvention fixingConvention_

private

Definition at line 172 of file indexedcoupon.hpp.

inArrearsFixing_

bool inArrearsFixing_

private

Definition at line 173 of file indexedcoupon.hpp.