MakeAverageOIS Class Reference

helper class More...

#include <qle/instruments/makeaverageois.hpp>

Collaboration diagram for MakeAverageOIS:

Public Member Functions
	MakeAverageOIS (const Period &swapTenor, const QuantLib::ext::shared_ptr< OvernightIndex > &overnightIndex, const Period &onTenor, Rate fixedRate, const Period &fixedTenor, const DayCounter &fixedDayCounter, const Period &spotLagTenor=2 *Days, const Period &forwardStart=0 *Days)
	operator AverageOIS () const
	operator QuantLib::ext::shared_ptr< AverageOIS > () const
MakeAverageOIS &	receiveFixed (bool receiveFixed=true)
MakeAverageOIS &	withType (AverageOIS::Type type)
MakeAverageOIS &	withNominal (Real nominal)
MakeAverageOIS &	withEffectiveDate (const Date &effectiveDate)
MakeAverageOIS &	withTerminationDate (const Date &terminationDate)
MakeAverageOIS &	withRule (DateGeneration::Rule rule)
MakeAverageOIS &	withSpotLagCalendar (const Calendar &spotLagCalendar)
MakeAverageOIS &	withFixedCalendar (const Calendar &fixedCalendar)
MakeAverageOIS &	withFixedConvention (BusinessDayConvention fixedConvention)
MakeAverageOIS &	withFixedTerminationDateConvention (BusinessDayConvention fixedTerminationDateConvention)
MakeAverageOIS &	withFixedRule (DateGeneration::Rule fixedRule)
MakeAverageOIS &	withFixedEndOfMonth (bool fixedEndOfMonth=false)
MakeAverageOIS &	withFixedFirstDate (const Date &fixedFirstDate)
MakeAverageOIS &	withFixedNextToLastDate (const Date &fixedNextToLastDate)
MakeAverageOIS &	withFixedPaymentAdjustment (BusinessDayConvention fixedPaymentAdjustment)
MakeAverageOIS &	withFixedPaymentCalendar (const Calendar &fixedPaymentCalendar)
MakeAverageOIS &	withONCalendar (const Calendar &onCalendar)
MakeAverageOIS &	withONConvention (BusinessDayConvention onConvention)
MakeAverageOIS &	withONTerminationDateConvention (BusinessDayConvention onTerminationDateConvention)
MakeAverageOIS &	withONRule (DateGeneration::Rule onRule)
MakeAverageOIS &	withONEndOfMonth (bool onEndOfMonth=false)
MakeAverageOIS &	withONFirstDate (const Date &onFirstDate)
MakeAverageOIS &	withONNextToLastDate (const Date &onNextToLastDate)
MakeAverageOIS &	withRateCutoff (Natural rateCutoff)
MakeAverageOIS &	withONSpread (Spread onSpread)
MakeAverageOIS &	withONGearing (Real onGearing)
MakeAverageOIS &	withONDayCounter (const DayCounter &onDayCounter)
MakeAverageOIS &	withONPaymentAdjustment (BusinessDayConvention onPaymentAdjustment)
MakeAverageOIS &	withONPaymentCalendar (const Calendar &onPaymentCalendar)
MakeAverageOIS &	withTelescopicValueDates (bool telescopicValueDates)
MakeAverageOIS &	withONCouponPricer (const QuantLib::ext::shared_ptr< AverageONIndexedCouponPricer > &onCouponPricer)
MakeAverageOIS &	withDiscountingTermStructure (const Handle< YieldTermStructure > &discountCurve)
MakeAverageOIS &	withPricingEngine (const QuantLib::ext::shared_ptr< PricingEngine > &engine)

Private Attributes
Period	swapTenor_
QuantLib::ext::shared_ptr< OvernightIndex >	overnightIndex_
Period	onTenor_
Rate	fixedRate_
Period	fixedTenor_
DayCounter	fixedDayCounter_
Period	spotLagTenor_
Period	forwardStart_
AverageOIS::Type	type_
Real	nominal_
Date	effectiveDate_
Date	terminationDate_
Calendar	spotLagCalendar_
Calendar	fixedCalendar_
BusinessDayConvention	fixedConvention_
BusinessDayConvention	fixedTerminationDateConvention_
DateGeneration::Rule	fixedRule_
bool	fixedEndOfMonth_
Date	fixedFirstDate_
Date	fixedNextToLastDate_
BusinessDayConvention	fixedPaymentAdjustment_
Calendar	fixedPaymentCalendar_
Calendar	onCalendar_
BusinessDayConvention	onConvention_
BusinessDayConvention	onTerminationDateConvention_
DateGeneration::Rule	onRule_
bool	onEndOfMonth_
Date	onFirstDate_
Date	onNextToLastDate_
Natural	rateCutoff_
Spread	onSpread_
Real	onGearing_
DayCounter	onDayCounter_
BusinessDayConvention	onPaymentAdjustment_
Calendar	onPaymentCalendar_
bool	telescopicValueDates_
QuantLib::ext::shared_ptr< PricingEngine >	engine_
QuantLib::ext::shared_ptr< AverageONIndexedCouponPricer >	onCouponPricer_

Detailed Description

helper class

This class provides a more comfortable way to instantiate standard average ON indexed swaps.

    \ingroup instruments

Definition at line 39 of file makeaverageois.hpp.

Constructor & Destructor Documentation

MakeAverageOIS()

MakeAverageOIS	(	const Period &	swapTenor,
		const QuantLib::ext::shared_ptr< OvernightIndex > &	overnightIndex,
		const Period &	onTenor,
		Rate	fixedRate,
		const Period &	fixedTenor,
		const DayCounter &	fixedDayCounter,
		const Period &	spotLagTenor = 2 * Days,
		const Period &	forwardStart = 0 * Days
	)

Definition at line 26 of file makeaverageois.cpp.

    : swapTenor_(swapTenor), overnightIndex_(overnightIndex), onTenor_(onTenor), fixedRate_(fixedRate),
      fixedTenor_(fixedTenor), fixedDayCounter_(fixedDayCounter), spotLagTenor_(spotLagTenor),
      forwardStart_(forwardStart), type_(AverageOIS::Receiver), nominal_(1.0), effectiveDate_(Date()),
      spotLagCalendar_(overnightIndex->fixingCalendar()), fixedCalendar_(WeekendsOnly()), fixedConvention_(Unadjusted),
      fixedTerminationDateConvention_(Unadjusted), fixedRule_(DateGeneration::Backward), fixedEndOfMonth_(false),
      fixedFirstDate_(Date()), fixedNextToLastDate_(Date()),
      fixedPaymentAdjustment_(overnightIndex->businessDayConvention()),
      fixedPaymentCalendar_(overnightIndex->fixingCalendar()), onCalendar_(overnightIndex->fixingCalendar()),
      onConvention_(overnightIndex->businessDayConvention()),
      onTerminationDateConvention_(overnightIndex->businessDayConvention()), onRule_(DateGeneration::Backward),
      onEndOfMonth_(false), onFirstDate_(Date()), onNextToLastDate_(Date()), rateCutoff_(0), onSpread_(0.0),
      onGearing_(1.0), onDayCounter_(overnightIndex->dayCounter()),
      onPaymentAdjustment_(overnightIndex->businessDayConvention()),
      onPaymentCalendar_(overnightIndex->fixingCalendar()), telescopicValueDates_(false),
      onCouponPricer_(QuantLib::ext::make_shared<AverageONIndexedCouponPricer>()) {}

Member Function Documentation

operator AverageOIS()

operator AverageOIS

(

)

const

Definition at line 46 of file makeaverageois.cpp.

                                          {
    QuantLib::ext::shared_ptr<AverageOIS> swap = *this;
    return *swap;
}

operator QuantLib::ext::shared_ptr< AverageOIS >()

operator QuantLib::ext::shared_ptr< AverageOIS >

(

)

const

Definition at line 51 of file makeaverageois.cpp.

                                                                 {
 
    // Deduce the effective date if it is not given.
    Date effectiveDate;
    if (effectiveDate_ != Date()) {
        effectiveDate = effectiveDate_;
    } else {
        Date valuationDate = Settings::instance().evaluationDate();
        // if the evaluation date is not a business day
        // then move to the next business day
        valuationDate = spotLagCalendar_.adjust(valuationDate);
        Date spotDate = spotLagCalendar_.advance(valuationDate, spotLagTenor_);
        effectiveDate = spotDate + forwardStart_;
    }
 
    // Deduce the termination date if it is not given.
    Date terminationDate;
    if (terminationDate_ != Date()) {
        terminationDate = terminationDate_;
    } else {
        terminationDate = effectiveDate + swapTenor_;
    }
 
    Schedule fixedSchedule(effectiveDate, terminationDate, fixedTenor_, fixedCalendar_, fixedConvention_,
                           fixedTerminationDateConvention_, fixedRule_, fixedEndOfMonth_, fixedFirstDate_,
                           fixedNextToLastDate_);
 
    Schedule onSchedule(effectiveDate, terminationDate, onTenor_, onCalendar_, onConvention_,
                        onTerminationDateConvention_, onRule_, onEndOfMonth_, onFirstDate_, onNextToLastDate_);
 
    QuantLib::ext::shared_ptr<AverageOIS> swap(
        new AverageOIS(type_, nominal_, fixedSchedule, fixedRate_, fixedDayCounter_, fixedPaymentAdjustment_,
                       fixedPaymentCalendar_, onSchedule, overnightIndex_, onPaymentAdjustment_, onPaymentCalendar_,
                       rateCutoff_, onSpread_, onGearing_, onDayCounter_, onCouponPricer_, telescopicValueDates_));
 
    swap->setPricingEngine(engine_);
    return swap;
}

receiveFixed()

MakeAverageOIS & receiveFixed

(

bool

receiveFixed = true

)

Definition at line 90 of file makeaverageois.cpp.

                                                              {
    type_ = receiveFixed ? AverageOIS::Receiver : AverageOIS::Payer;
    return *this;
}

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withType()

MakeAverageOIS & withType

(

AverageOIS::Type

type

)

Definition at line 95 of file makeaverageois.cpp.

                                                            {
    type_ = type;
    return *this;
}

withNominal()

MakeAverageOIS & withNominal

(

Real

nominal

)

Definition at line 100 of file makeaverageois.cpp.

                                                        {
    nominal_ = nominal;
    return *this;
}

withEffectiveDate()

MakeAverageOIS & withEffectiveDate

(

const Date &

effectiveDate

)

Definition at line 105 of file makeaverageois.cpp.

                                                                           {
    effectiveDate_ = effectiveDate;
    return *this;
}

withTerminationDate()

MakeAverageOIS & withTerminationDate

(

const Date &

terminationDate

)

Definition at line 110 of file makeaverageois.cpp.

                                                                               {
    terminationDate_ = terminationDate;
    swapTenor_ = Period();
    return *this;
}

withRule()

MakeAverageOIS & withRule

(

DateGeneration::Rule

rule

)

Definition at line 116 of file makeaverageois.cpp.

                                                                {
    fixedRule_ = rule;
    onRule_ = rule;
    return *this;
}

withSpotLagCalendar()

MakeAverageOIS & withSpotLagCalendar

(

const Calendar &

spotLagCalendar

)

Definition at line 122 of file makeaverageois.cpp.

                                                                                   {
    spotLagCalendar_ = spotLagCalendar;
    return *this;
}

withFixedCalendar()

MakeAverageOIS & withFixedCalendar

(

const Calendar &

fixedCalendar

)

Definition at line 127 of file makeaverageois.cpp.

                                                                               {
    fixedCalendar_ = fixedCalendar;
    return *this;
}

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withFixedConvention()

MakeAverageOIS & withFixedConvention

(

BusinessDayConvention

fixedConvention

)

Definition at line 132 of file makeaverageois.cpp.

                                                                                         {
    fixedConvention_ = fixedConvention;
    return *this;
}

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withFixedTerminationDateConvention()

MakeAverageOIS & withFixedTerminationDateConvention

(

BusinessDayConvention

fixedTerminationDateConvention

)

Definition at line 138 of file makeaverageois.cpp.

                                                                                                       {
    fixedTerminationDateConvention_ = fixedTerminationDateConvention;
    return *this;
}

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withFixedRule()

MakeAverageOIS & withFixedRule

(

DateGeneration::Rule

fixedRule

)

Definition at line 143 of file makeaverageois.cpp.

                                                                          {
    fixedRule_ = fixedRule;
    return *this;
}

withFixedEndOfMonth()

MakeAverageOIS & withFixedEndOfMonth

(

bool

fixedEndOfMonth = false

)

Definition at line 148 of file makeaverageois.cpp.

                                                                        {
    fixedEndOfMonth_ = fixedEndOfMonth;
    return *this;
}

withFixedFirstDate()

MakeAverageOIS & withFixedFirstDate

(

const Date &

fixedFirstDate

)

Definition at line 153 of file makeaverageois.cpp.

                                                                             {
    fixedFirstDate_ = fixedFirstDate;
    return *this;
}

withFixedNextToLastDate()

MakeAverageOIS & withFixedNextToLastDate

(

const Date &

fixedNextToLastDate

)

Definition at line 158 of file makeaverageois.cpp.

                                                                                       {
    fixedNextToLastDate_ = fixedNextToLastDate;
    return *this;
}

withFixedPaymentAdjustment()

MakeAverageOIS & withFixedPaymentAdjustment

(

BusinessDayConvention

fixedPaymentAdjustment

)

Definition at line 163 of file makeaverageois.cpp.

                                                                                                       {
    fixedPaymentAdjustment_ = fixedPaymentAdjustment;
    return *this;
}

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withFixedPaymentCalendar()

MakeAverageOIS & withFixedPaymentCalendar

(

const Calendar &

fixedPaymentCalendar

)

Definition at line 168 of file makeaverageois.cpp.

                                                                                             {
    fixedPaymentCalendar_ = fixedPaymentCalendar;
    return *this;
}

withONCalendar()

MakeAverageOIS & withONCalendar

(

const Calendar &

onCalendar

)

Definition at line 173 of file makeaverageois.cpp.

                                                                         {
    onCalendar_ = onCalendar;
    return *this;
}

withONConvention()

MakeAverageOIS & withONConvention

(

BusinessDayConvention

onConvention

)

Definition at line 178 of file makeaverageois.cpp.

                                                                                   {
    onConvention_ = onConvention;
    return *this;
}

withONTerminationDateConvention()

MakeAverageOIS & withONTerminationDateConvention

(

BusinessDayConvention

onTerminationDateConvention

)

Definition at line 183 of file makeaverageois.cpp.

                                                                                                                 {
    onTerminationDateConvention_ = onTerminationDateConvention;
    return *this;
}

withONRule()

MakeAverageOIS & withONRule

(

DateGeneration::Rule

onRule

)

Definition at line 188 of file makeaverageois.cpp.

                                                                    {
    onRule_ = onRule;
    return *this;
}

withONEndOfMonth()

MakeAverageOIS & withONEndOfMonth

(

bool

onEndOfMonth = false

)

Definition at line 193 of file makeaverageois.cpp.

                                                                  {
    onEndOfMonth_ = onEndOfMonth;
    return *this;
}

withONFirstDate()

MakeAverageOIS & withONFirstDate

(

const Date &

onFirstDate

)

Definition at line 198 of file makeaverageois.cpp.

                                                                       {
    onFirstDate_ = onFirstDate;
    return *this;
}

withONNextToLastDate()

MakeAverageOIS & withONNextToLastDate

(

const Date &

onNextToLastDate

)

Definition at line 203 of file makeaverageois.cpp.

                                                                                 {
    onNextToLastDate_ = onNextToLastDate;
    return *this;
}

withRateCutoff()

MakeAverageOIS & withRateCutoff

(

Natural

rateCutoff

)

Definition at line 208 of file makeaverageois.cpp.

                                                                 {
    rateCutoff_ = rateCutoff;
    return *this;
}

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withONSpread()

MakeAverageOIS & withONSpread

(

Spread

onSpread

)

Definition at line 213 of file makeaverageois.cpp.

                                                            {
    onSpread_ = onSpread;
    return *this;
}

withONGearing()

MakeAverageOIS & withONGearing

(

Real

onGearing

)

Definition at line 218 of file makeaverageois.cpp.

                                                            {
    onGearing_ = onGearing;
    return *this;
}

withONDayCounter()

MakeAverageOIS & withONDayCounter

(

const DayCounter &

onDayCounter

)

Definition at line 223 of file makeaverageois.cpp.

                                                                               {
    onDayCounter_ = onDayCounter;
    return *this;
}

withONPaymentAdjustment()

MakeAverageOIS & withONPaymentAdjustment

(

BusinessDayConvention

onPaymentAdjustment

)

Definition at line 228 of file makeaverageois.cpp.

                                                                                                 {
    onPaymentAdjustment_ = onPaymentAdjustment;
    return *this;
}

withONPaymentCalendar()

MakeAverageOIS & withONPaymentCalendar

(

const Calendar &

onPaymentCalendar

)

Definition at line 233 of file makeaverageois.cpp.

                                                                                       {
    onPaymentCalendar_ = onPaymentCalendar;
    return *this;
}

withTelescopicValueDates()

MakeAverageOIS & withTelescopicValueDates

(

bool

telescopicValueDates

)

Definition at line 238 of file makeaverageois.cpp.

                                                                                  {
    telescopicValueDates_ = telescopicValueDates;
    return *this;
}

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withONCouponPricer()

MakeAverageOIS & withONCouponPricer

(

const QuantLib::ext::shared_ptr< AverageONIndexedCouponPricer > &

onCouponPricer

)

Definition at line 244 of file makeaverageois.cpp.

                                                                                                            {
    onCouponPricer_ = onCouponPricer;
    return *this;
}

withDiscountingTermStructure()

MakeAverageOIS & withDiscountingTermStructure

(

const Handle< YieldTermStructure > &

discountCurve

)

Definition at line 249 of file makeaverageois.cpp.

                                                                                                            {
    bool includeSettlementDateFlows = false;
    engine_ = QuantLib::ext::shared_ptr<PricingEngine>(new DiscountingSwapEngine(discountCurve, includeSettlementDateFlows));
    return *this;
}

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withPricingEngine()

MakeAverageOIS & withPricingEngine

(

const QuantLib::ext::shared_ptr< PricingEngine > &

engine

)

Definition at line 255 of file makeaverageois.cpp.

                                                                                                    {
    engine_ = engine;
    return *this;
}

Member Data Documentation

swapTenor_

Period swapTenor_

private

Definition at line 90 of file makeaverageois.hpp.

overnightIndex_

QuantLib::ext::shared_ptr<OvernightIndex> overnightIndex_

private

Definition at line 91 of file makeaverageois.hpp.

onTenor_

Period onTenor_

private

Definition at line 92 of file makeaverageois.hpp.

fixedRate_

Rate fixedRate_

private

Definition at line 93 of file makeaverageois.hpp.

fixedTenor_

Period fixedTenor_

private

Definition at line 94 of file makeaverageois.hpp.

fixedDayCounter_

DayCounter fixedDayCounter_

private

Definition at line 95 of file makeaverageois.hpp.

spotLagTenor_

Period spotLagTenor_

private

Definition at line 96 of file makeaverageois.hpp.

forwardStart_

Period forwardStart_

private

Definition at line 97 of file makeaverageois.hpp.

type_

AverageOIS::Type type_

private

Definition at line 99 of file makeaverageois.hpp.

nominal_

Real nominal_

private

Definition at line 100 of file makeaverageois.hpp.

effectiveDate_

Date effectiveDate_

private

Definition at line 101 of file makeaverageois.hpp.

terminationDate_

Date terminationDate_

private

Definition at line 102 of file makeaverageois.hpp.

spotLagCalendar_

Calendar spotLagCalendar_

private

Definition at line 103 of file makeaverageois.hpp.

fixedCalendar_

Calendar fixedCalendar_

private

Definition at line 105 of file makeaverageois.hpp.

fixedConvention_

BusinessDayConvention fixedConvention_

private

Definition at line 106 of file makeaverageois.hpp.

fixedTerminationDateConvention_

BusinessDayConvention fixedTerminationDateConvention_

private

Definition at line 107 of file makeaverageois.hpp.

fixedRule_

DateGeneration::Rule fixedRule_

private

Definition at line 108 of file makeaverageois.hpp.

fixedEndOfMonth_

bool fixedEndOfMonth_

private

Definition at line 109 of file makeaverageois.hpp.

fixedFirstDate_

Date fixedFirstDate_

private

Definition at line 110 of file makeaverageois.hpp.

fixedNextToLastDate_

Date fixedNextToLastDate_

private

Definition at line 111 of file makeaverageois.hpp.

fixedPaymentAdjustment_

BusinessDayConvention fixedPaymentAdjustment_

private

Definition at line 112 of file makeaverageois.hpp.

fixedPaymentCalendar_

Calendar fixedPaymentCalendar_

private

Definition at line 113 of file makeaverageois.hpp.

onCalendar_

Calendar onCalendar_

private

Definition at line 115 of file makeaverageois.hpp.

onConvention_

BusinessDayConvention onConvention_

private

Definition at line 116 of file makeaverageois.hpp.

onTerminationDateConvention_

BusinessDayConvention onTerminationDateConvention_

private

Definition at line 117 of file makeaverageois.hpp.

onRule_

DateGeneration::Rule onRule_

private

Definition at line 118 of file makeaverageois.hpp.

onEndOfMonth_

bool onEndOfMonth_

private

Definition at line 119 of file makeaverageois.hpp.

onFirstDate_

Date onFirstDate_

private

Definition at line 120 of file makeaverageois.hpp.

onNextToLastDate_

Date onNextToLastDate_

private

Definition at line 121 of file makeaverageois.hpp.

rateCutoff_

Natural rateCutoff_

private

Definition at line 122 of file makeaverageois.hpp.

onSpread_

Spread onSpread_

private

Definition at line 123 of file makeaverageois.hpp.

onGearing_

Real onGearing_

private

Definition at line 124 of file makeaverageois.hpp.

onDayCounter_

DayCounter onDayCounter_

private

Definition at line 125 of file makeaverageois.hpp.

onPaymentAdjustment_

BusinessDayConvention onPaymentAdjustment_

private

Definition at line 126 of file makeaverageois.hpp.

onPaymentCalendar_

Calendar onPaymentCalendar_

private

Definition at line 127 of file makeaverageois.hpp.

telescopicValueDates_

bool telescopicValueDates_

private

Definition at line 128 of file makeaverageois.hpp.

engine_

QuantLib::ext::shared_ptr<PricingEngine> engine_

private

Definition at line 130 of file makeaverageois.hpp.

onCouponPricer_

QuantLib::ext::shared_ptr<AverageONIndexedCouponPricer> onCouponPricer_

private

Definition at line 131 of file makeaverageois.hpp.