#include <qle/instruments/fixedbmaswap.hpp>

Collaboration diagram for MakeFixedBMASwap:

Public Member Functions
	MakeFixedBMASwap (const Period &swapTenor, const QuantLib::ext::shared_ptr< BMAIndex > &bmaIndex, Rate fixedRate=Null< Rate >(), const Period &forwardStart=0 *Days)

	operator FixedBMASwap () const

	operator QuantLib::ext::shared_ptr< FixedBMASwap > () const

MakeFixedBMASwap &	receiveFixed (bool flag=true)

MakeFixedBMASwap &	withType (FixedBMASwap::Type type)

MakeFixedBMASwap &	withNominal (Real n)

MakeFixedBMASwap &	withBMALegTenor (const Period &tenor)

MakeFixedBMASwap &	withSettlementDays (Natural settlementDays)

MakeFixedBMASwap &	withEffectiveDate (const Date &)

MakeFixedBMASwap &	withTerminationDate (const Date &)

MakeFixedBMASwap &	withFixedLegTenor (const Period &t)

MakeFixedBMASwap &	withFixedLegCalendar (const Calendar &cal)

MakeFixedBMASwap &	withFixedLegConvention (BusinessDayConvention bdc)

MakeFixedBMASwap &	withFixedLegTerminationDateConvention (BusinessDayConvention bdc)

MakeFixedBMASwap &	withFixedLegRule (DateGeneration::Rule r)

MakeFixedBMASwap &	withFixedLegEndOfMonth (bool flag=true)

MakeFixedBMASwap &	withFixedLegFirstDate (const Date &d)

MakeFixedBMASwap &	withFixedLegNextToLastDate (const Date &d)

MakeFixedBMASwap &	withFixedLegDayCount (const DayCounter &dc)

MakeFixedBMASwap &	withDiscountingTermStructure (const Handle< YieldTermStructure > &discountCurve)

MakeFixedBMASwap &	withPricingEngine (const QuantLib::ext::shared_ptr< PricingEngine > &engine)

Private Attributes
Period	swapTenor_

QuantLib::ext::shared_ptr< BMAIndex >	bmaIndex_

Rate	fixedRate_

Period	fixedTenor_

Period	forwardStart_

Natural	settlementDays_

Date	effectiveDate_

Date	terminationDate_

Calendar	fixedCalendar_

Calendar	bmaCalendar_

FixedBMASwap::Type	type_

Real	nominal_

Period	bmaLegTenor_

BusinessDayConvention	fixedConvention_

BusinessDayConvention	fixedTerminationDateConvention_

BusinessDayConvention	bmaConvention_

BusinessDayConvention	bmaTerminationDateConvention_

DateGeneration::Rule	fixedRule_

DateGeneration::Rule	bmaRule_

bool	fixedEndOfMonth_

bool	bmaEndOfMonth_

Date	fixedFirstDate_

Date	fixedNextToLastDate_

Date	bmaFirstDate_

Date	bmaNextToLastDate_

DayCounter	fixedDayCount_

DayCounter	bmaDayCount_

QuantLib::ext::shared_ptr< PricingEngine >	engine_

Detailed Description

Definition at line 86 of file fixedbmaswap.hpp.

Constructor & Destructor Documentation

◆ MakeFixedBMASwap()

MakeFixedBMASwap	(	const Period &	swapTenor,
		const QuantLib::ext::shared_ptr< BMAIndex > &	bmaIndex,
		Rate	fixedRate = `Null<Rate>()`,
		const Period &	forwardStart = `0 * Days`
	)

Definition at line 135 of file fixedbmaswap.cpp.

    : swapTenor_(swapTenor), bmaIndex_(index), fixedRate_(fixedRate), forwardStart_(forwardStart),
      settlementDays_(bmaIndex_->fixingDays()), fixedCalendar_(index->fixingCalendar()),
      bmaCalendar_(index->fixingCalendar()), type_(FixedBMASwap::Payer), nominal_(1.0), bmaLegTenor_(3 * Months),
      fixedConvention_(ModifiedFollowing), fixedTerminationDateConvention_(ModifiedFollowing),
      bmaConvention_(ModifiedFollowing), bmaTerminationDateConvention_(ModifiedFollowing),
      fixedRule_(DateGeneration::Backward), bmaRule_(DateGeneration::Backward), fixedEndOfMonth_(false),
      bmaEndOfMonth_(false), fixedFirstDate_(Date()), fixedNextToLastDate_(Date()), bmaFirstDate_(Date()),
      bmaNextToLastDate_(Date()), bmaDayCount_(index->dayCounter()) {}

Member Function Documentation

◆ operator FixedBMASwap()

operator FixedBMASwap ( ) const

Definition at line 146 of file fixedbmaswap.cpp.

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

◆ operator QuantLib::ext::shared_ptr< FixedBMASwap >()

operator QuantLib::ext::shared_ptr< FixedBMASwap > ( ) const

Definition at line 151 of file fixedbmaswap.cpp.

                                                                     {
    Date startDate;
 
    // start dates and end dates
    if (effectiveDate_ != Date())
        startDate = effectiveDate_;
    else {
        Date refDate = Settings::instance().evaluationDate();
        // if the evaluation date is not a business day
        // then move to the next business day
        refDate = bmaCalendar_.adjust(refDate);
        Date spotDate = bmaCalendar_.advance(refDate, settlementDays_ * Days);
        startDate = spotDate + forwardStart_;
        if (forwardStart_.length() < 0)
            startDate = bmaCalendar_.adjust(startDate, Preceding);
        else
            startDate = bmaCalendar_.adjust(startDate, Following);
    }
 
    Date endDate = terminationDate_;
    if (endDate == Date()) {
        if (bmaEndOfMonth_)
            endDate = bmaCalendar_.advance(startDate, swapTenor_, ModifiedFollowing, bmaEndOfMonth_);
        else
            endDate = startDate + swapTenor_;
    }
 
    const Currency& curr = bmaIndex_->currency();
    QL_REQUIRE(curr == USDCurrency(), "Only USD is supported for fixed vs BMA swaps.");
 
    // schedules
 
    Period fixedTenor;
    if (fixedTenor_ != Period())
        fixedTenor = fixedTenor_;
    else
        // Default according to Bloomberg & OpenGamma
        fixedTenor = 6 * Months;
 
    Schedule fixedSchedule(startDate, endDate, fixedTenor, fixedCalendar_, fixedConvention_,
                           fixedTerminationDateConvention_, fixedRule_, fixedEndOfMonth_, fixedFirstDate_,
                           fixedNextToLastDate_);
 
    Schedule bmaSchedule(startDate, endDate, bmaLegTenor_, bmaCalendar_, bmaConvention_, bmaTerminationDateConvention_,
                         bmaRule_, bmaEndOfMonth_, bmaFirstDate_, bmaNextToLastDate_);
 
    DayCounter fixedDayCount;
    if (fixedDayCount_ != DayCounter())
        fixedDayCount = fixedDayCount_;
    else {
        // Default according to Bloomberg & OpenGamma
        fixedDayCount = Thirty360(Thirty360::USA);
    }
 
    Rate usedFixedRate = fixedRate_;
    if (fixedRate_ == Null<Rate>()) {
        FixedBMASwap temp(type_, nominal_, fixedSchedule,
                          0.0, // fixed rate
                          fixedDayCount, bmaSchedule, bmaIndex_, bmaDayCount_);
        if (engine_ != 0)
            temp.setPricingEngine(engine_);
        else
            QL_FAIL("Null fixed rate and no discounting curve provided to fixed vs BMA swap.");
        usedFixedRate = temp.fairRate();
    }
 
    QuantLib::ext::shared_ptr<FixedBMASwap> swap(new FixedBMASwap(type_, nominal_, fixedSchedule, usedFixedRate, fixedDayCount,
                                                          bmaSchedule, bmaIndex_, bmaDayCount_));
 
    if (engine_ != 0)
        swap->setPricingEngine(engine_);
 
    return swap;
}

Here is the call graph for this function:

◆ receiveFixed()

MakeFixedBMASwap & receiveFixed ( bool flag = true )

Definition at line 226 of file fixedbmaswap.cpp.

                                                          {
    type_ = flag ? FixedBMASwap::Receiver : FixedBMASwap::Payer;
    return *this;
}

◆ withType()

MakeFixedBMASwap & withType ( FixedBMASwap::Type type )

Definition at line 231 of file fixedbmaswap.cpp.

                                                                  {
    type_ = type;
    return *this;
}

◆ withNominal()

MakeFixedBMASwap & withNominal ( Real n )

Definition at line 236 of file fixedbmaswap.cpp.

                                                      {
    nominal_ = n;
    return *this;
}

◆ withBMALegTenor()

MakeFixedBMASwap & withBMALegTenor ( const Period & tenor )

Definition at line 241 of file fixedbmaswap.cpp.

                                                                       {
    QL_REQUIRE(tenor.units() == Months, "Average BMA Leg coupons should pay as a multiple of months.");
    bmaLegTenor_ = tenor;
    return *this;
}

◆ withSettlementDays()

MakeFixedBMASwap & withSettlementDays ( Natural settlementDays )

Definition at line 247 of file fixedbmaswap.cpp.

                                                                             {
    settlementDays_ = settlementDays;
    effectiveDate_ = Date();
    return *this;
}

◆ withEffectiveDate()

MakeFixedBMASwap & withEffectiveDate ( const Date & effectiveDate )

Definition at line 253 of file fixedbmaswap.cpp.

                                                                               {
    effectiveDate_ = effectiveDate;
    return *this;
}

◆ withTerminationDate()

MakeFixedBMASwap & withTerminationDate ( const Date & terminationDate )

Definition at line 258 of file fixedbmaswap.cpp.

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

◆ withFixedLegTenor()

MakeFixedBMASwap & withFixedLegTenor ( const Period & t )

Definition at line 275 of file fixedbmaswap.cpp.

                                                                     {
    fixedTenor_ = t;
    return *this;
}

◆ withFixedLegCalendar()

MakeFixedBMASwap & withFixedLegCalendar ( const Calendar & cal )

Definition at line 280 of file fixedbmaswap.cpp.

                                                                            {
    fixedCalendar_ = cal;
    return *this;
}

◆ withFixedLegConvention()

MakeFixedBMASwap & withFixedLegConvention ( BusinessDayConvention bdc )

Definition at line 285 of file fixedbmaswap.cpp.

                                                                                    {
    fixedConvention_ = bdc;
    return *this;
}

◆ withFixedLegTerminationDateConvention()

MakeFixedBMASwap & withFixedLegTerminationDateConvention ( BusinessDayConvention bdc )

Definition at line 290 of file fixedbmaswap.cpp.

                                                                                                   {
    fixedTerminationDateConvention_ = bdc;
    return *this;
}

◆ withFixedLegRule()

MakeFixedBMASwap & withFixedLegRule ( DateGeneration::Rule r )

Definition at line 295 of file fixedbmaswap.cpp.

                                                                         {
    fixedRule_ = r;
    return *this;
}

◆ withFixedLegEndOfMonth()

MakeFixedBMASwap & withFixedLegEndOfMonth ( bool flag = true )

Definition at line 300 of file fixedbmaswap.cpp.

                                                                    {
    fixedEndOfMonth_ = flag;
    return *this;
}

◆ withFixedLegFirstDate()

MakeFixedBMASwap & withFixedLegFirstDate ( const Date & d )

Definition at line 305 of file fixedbmaswap.cpp.

                                                                       {
    fixedFirstDate_ = d;
    return *this;
}

◆ withFixedLegNextToLastDate()

MakeFixedBMASwap & withFixedLegNextToLastDate ( const Date & d )

Definition at line 310 of file fixedbmaswap.cpp.

                                                                            {
    fixedNextToLastDate_ = d;
    return *this;
}

◆ withFixedLegDayCount()

MakeFixedBMASwap & withFixedLegDayCount ( const DayCounter & dc )

Definition at line 315 of file fixedbmaswap.cpp.

                                                                             {
    fixedDayCount_ = dc;
    return *this;
}

◆ withDiscountingTermStructure()

MakeFixedBMASwap & withDiscountingTermStructure ( const Handle< YieldTermStructure > & discountCurve )

Definition at line 264 of file fixedbmaswap.cpp.

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

◆ withPricingEngine()

MakeFixedBMASwap & withPricingEngine ( const QuantLib::ext::shared_ptr< PricingEngine > & engine )

Definition at line 270 of file fixedbmaswap.cpp.

                                                                                                        {
    engine_ = engine;
    return *this;
}

Member Data Documentation

◆ swapTenor_

Period swapTenor_

private

Definition at line 120 of file fixedbmaswap.hpp.

◆ bmaIndex_

QuantLib::ext::shared_ptr<BMAIndex> bmaIndex_

private

Definition at line 121 of file fixedbmaswap.hpp.

◆ fixedRate_

Rate fixedRate_

private

Definition at line 122 of file fixedbmaswap.hpp.

◆ fixedTenor_

Period fixedTenor_

private

Definition at line 123 of file fixedbmaswap.hpp.

◆ forwardStart_

Period forwardStart_

private

Definition at line 124 of file fixedbmaswap.hpp.

◆ settlementDays_

Natural settlementDays_

private

Definition at line 126 of file fixedbmaswap.hpp.

◆ effectiveDate_

Date effectiveDate_

private

Definition at line 127 of file fixedbmaswap.hpp.

◆ terminationDate_

Date terminationDate_

private

Definition at line 127 of file fixedbmaswap.hpp.

◆ fixedCalendar_

Calendar fixedCalendar_

private

Definition at line 128 of file fixedbmaswap.hpp.

◆ bmaCalendar_

Calendar bmaCalendar_

private

Definition at line 128 of file fixedbmaswap.hpp.

◆ type_

FixedBMASwap::Type type_

private

Definition at line 130 of file fixedbmaswap.hpp.

◆ nominal_

Real nominal_

private

Definition at line 131 of file fixedbmaswap.hpp.

◆ bmaLegTenor_

Period bmaLegTenor_

private

Definition at line 132 of file fixedbmaswap.hpp.

◆ fixedConvention_

BusinessDayConvention fixedConvention_

private

Definition at line 133 of file fixedbmaswap.hpp.

◆ fixedTerminationDateConvention_

BusinessDayConvention fixedTerminationDateConvention_

private

Definition at line 133 of file fixedbmaswap.hpp.

◆ bmaConvention_

BusinessDayConvention bmaConvention_

private

Definition at line 134 of file fixedbmaswap.hpp.

◆ bmaTerminationDateConvention_

BusinessDayConvention bmaTerminationDateConvention_

private

Definition at line 134 of file fixedbmaswap.hpp.

◆ fixedRule_

DateGeneration::Rule fixedRule_

private

Definition at line 135 of file fixedbmaswap.hpp.

◆ bmaRule_

DateGeneration::Rule bmaRule_

private

Definition at line 135 of file fixedbmaswap.hpp.

◆ fixedEndOfMonth_

bool fixedEndOfMonth_

private

Definition at line 136 of file fixedbmaswap.hpp.

◆ bmaEndOfMonth_

bool bmaEndOfMonth_

private

Definition at line 136 of file fixedbmaswap.hpp.

◆ fixedFirstDate_

Date fixedFirstDate_

private

Definition at line 137 of file fixedbmaswap.hpp.

◆ fixedNextToLastDate_

Date fixedNextToLastDate_

private

Definition at line 137 of file fixedbmaswap.hpp.

◆ bmaFirstDate_

Date bmaFirstDate_

private

Definition at line 138 of file fixedbmaswap.hpp.

◆ bmaNextToLastDate_

Date bmaNextToLastDate_

private

Definition at line 138 of file fixedbmaswap.hpp.

◆ fixedDayCount_

DayCounter fixedDayCount_

private

Definition at line 139 of file fixedbmaswap.hpp.

◆ bmaDayCount_

DayCounter bmaDayCount_

private

Definition at line 139 of file fixedbmaswap.hpp.

◆ engine_

QuantLib::ext::shared_ptr<PricingEngine> engine_

private

Definition at line 141 of file fixedbmaswap.hpp.

Public Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ MakeFixedBMASwap()

Member Function Documentation

◆ operator FixedBMASwap()

◆ operator QuantLib::ext::shared_ptr< FixedBMASwap >()

◆ receiveFixed()

◆ withType()

◆ withNominal()

◆ withBMALegTenor()

◆ withSettlementDays()

◆ withEffectiveDate()

◆ withTerminationDate()

◆ withFixedLegTenor()

◆ withFixedLegCalendar()

◆ withFixedLegConvention()

◆ withFixedLegTerminationDateConvention()

◆ withFixedLegRule()

◆ withFixedLegEndOfMonth()

◆ withFixedLegFirstDate()

◆ withFixedLegNextToLastDate()

◆ withFixedLegDayCount()

◆ withDiscountingTermStructure()

◆ withPricingEngine()

Member Data Documentation

◆ swapTenor_

◆ bmaIndex_

◆ fixedRate_

◆ fixedTenor_

◆ forwardStart_

◆ settlementDays_

◆ effectiveDate_

◆ terminationDate_

◆ fixedCalendar_

◆ bmaCalendar_

◆ type_

◆ nominal_

◆ bmaLegTenor_

◆ fixedConvention_

◆ fixedTerminationDateConvention_

◆ bmaConvention_

◆ bmaTerminationDateConvention_

◆ fixedRule_

◆ bmaRule_

◆ fixedEndOfMonth_

◆ bmaEndOfMonth_

◆ fixedFirstDate_

◆ fixedNextToLastDate_

◆ bmaFirstDate_

◆ bmaNextToLastDate_

◆ fixedDayCount_

◆ bmaDayCount_

◆ engine_