#include <qle/instruments/makeoiscapfloor.hpp>

Collaboration diagram for MakeOISCapFloor:

Public Member Functions
	MakeOISCapFloor (CapFloor::Type type, const Period &tenor, const ext::shared_ptr< OvernightIndex > &index, const Period &rateComputationPeriod, Rate strike, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve=Handle< YieldTermStructure >())

	operator Leg () const

MakeOISCapFloor &	withNominal (Real n)

MakeOISCapFloor &	withEffectiveDate (const Date &effectiveDate)

MakeOISCapFloor &	withSettlementDays (Natural settlementDays)

MakeOISCapFloor &	withCalendar (const Calendar &cal)

MakeOISCapFloor &	withConvention (BusinessDayConvention bdc)

MakeOISCapFloor &	withRule (DateGeneration::Rule r)

MakeOISCapFloor &	withDayCount (const DayCounter &dc)

MakeOISCapFloor &	withTelescopicValueDates (bool telescopicValueDates)

MakeOISCapFloor &	withCouponPricer (const ext::shared_ptr< CappedFlooredOvernightIndexedCouponPricer > &pricer)

MakeOISCapFloor &	withDiscountCurve ()

Private Attributes
CapFloor::Type	type_

Period	tenor_

QuantLib::ext::shared_ptr< OvernightIndex >	index_

Period	rateComputationPeriod_

Rate	strike_

Real	nominal_

Date	effectiveDate_

Natural	settlementDays_

Calendar	calendar_

BusinessDayConvention	convention_

DateGeneration::Rule	rule_

DayCounter	dayCounter_

bool	telescopicValueDates_

ext::shared_ptr< CappedFlooredOvernightIndexedCouponPricer >	pricer_

QuantLib::Handle< QuantLib::YieldTermStructure >	discountCurve_

Detailed Description

Definition at line 31 of file makeoiscapfloor.hpp.

Constructor & Destructor Documentation

◆ MakeOISCapFloor()

MakeOISCapFloor	(	CapFloor::Type	type,
		const Period &	tenor,
		const ext::shared_ptr< OvernightIndex > &	index,
		const Period &	rateComputationPeriod,
		Rate	strike,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve = `Handle<YieldTermStructure>()`
	)

Definition at line 25 of file makeoiscapfloor.cpp.

    : type_(type), tenor_(tenor), index_(index), rateComputationPeriod_(rateComputationPeriod), strike_(strike),
      nominal_(1.0), settlementDays_(2), calendar_(index->fixingCalendar()), convention_(ModifiedFollowing),
      rule_(DateGeneration::Backward), dayCounter_(index->dayCounter()), telescopicValueDates_(false),
      discountCurve_(discountCurve) {}

Member Function Documentation

◆ operator Leg()

operator Leg ( ) const

Definition at line 33 of file makeoiscapfloor.cpp.

                                    {
    Calendar calendar = index_->fixingCalendar();
 
    Date startDate;
    if (effectiveDate_ != Date()) {
        startDate = effectiveDate_;
    } else {
        Date refDate = Settings::instance().evaluationDate();
        startDate = calendar.advance(calendar.adjust(refDate), settlementDays_ * Days);
    }
 
    Date endDate = calendar.adjust(startDate + tenor_, ModifiedFollowing);
 
    Schedule schedule(startDate, endDate, rateComputationPeriod_, calendar, ModifiedFollowing, ModifiedFollowing,
                      DateGeneration::Backward, false);
 
    // determine atm strike if required
    Real effectiveStrike = strike_;
    if (effectiveStrike == Null<Real>()) {
        Leg leg = OvernightLeg(schedule, index_)
                      .withNotionals(nominal_)
                      .withPaymentDayCounter(dayCounter_)
                      .withPaymentAdjustment(convention_)
                      .withTelescopicValueDates(telescopicValueDates_);
        effectiveStrike =
            CashFlows::atmRate(leg, discountCurve_.empty() ? **index_->forwardingTermStructure() : **discountCurve_,
                               false, index_->forwardingTermStructure()->referenceDate());
    }
 
    Real cap = Null<Real>(), floor = Null<Real>();
    if (type_ == CapFloor::Cap)
        cap = effectiveStrike;
    else if (type_ == CapFloor::Floor)
        floor = effectiveStrike;
    else {
        QL_FAIL("MakeOISCapFloor: expected type Cap or Floor");
    }
 
    Leg leg = OvernightLeg(schedule, index_)
                  .withNotionals(nominal_)
                  .withPaymentDayCounter(dayCounter_)
                  .withPaymentAdjustment(convention_)
                  .withCaps(cap)
                  .withFloors(floor)
                  .withNakedOption(true)
                  .withTelescopicValueDates(telescopicValueDates_);
 
    if (pricer_) {
        for (auto &c : leg) {
            auto f = QuantLib::ext::dynamic_pointer_cast<FloatingRateCoupon>(c);
            if (f) {
                f->setPricer(pricer_);
            }
        }
    }
 
    return leg;
}

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◆ withNominal()

MakeOISCapFloor & withNominal ( Real n )

Definition at line 92 of file makeoiscapfloor.cpp.

                                                    {
    nominal_ = n;
    return *this;
}

◆ withEffectiveDate()

MakeOISCapFloor & withEffectiveDate ( const Date & effectiveDate )

Definition at line 97 of file makeoiscapfloor.cpp.

                                                                             {
    effectiveDate_ = effectiveDate;
    return *this;
}

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◆ withSettlementDays()

MakeOISCapFloor & withSettlementDays ( Natural settlementDays )

Definition at line 102 of file makeoiscapfloor.cpp.

                                                                           {
    settlementDays_ = settlementDays;
    return *this;
}

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◆ withCalendar()

MakeOISCapFloor & withCalendar ( const Calendar & cal )

Definition at line 107 of file makeoiscapfloor.cpp.

                                                                  {
    calendar_ = cal;
    return *this;
}

◆ withConvention()

MakeOISCapFloor & withConvention ( BusinessDayConvention bdc )

Definition at line 112 of file makeoiscapfloor.cpp.

                                                                          {
    convention_ = bdc;
    return *this;
}

◆ withRule()

MakeOISCapFloor & withRule ( DateGeneration::Rule r )

Definition at line 117 of file makeoiscapfloor.cpp.

                                                               {
    rule_ = r;
    return *this;
}

◆ withDayCount()

MakeOISCapFloor & withDayCount ( const DayCounter & dc )

Definition at line 122 of file makeoiscapfloor.cpp.

                                                                   {
    dayCounter_ = dc;
    return *this;
}

◆ withTelescopicValueDates()

MakeOISCapFloor & withTelescopicValueDates ( bool telescopicValueDates )

Definition at line 127 of file makeoiscapfloor.cpp.

                                                                 {
    telescopicValueDates_ = t;
    return *this;
}

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◆ withCouponPricer()

MakeOISCapFloor & withCouponPricer ( const ext::shared_ptr< CappedFlooredOvernightIndexedCouponPricer > & pricer )

Definition at line 133 of file makeoiscapfloor.cpp.

                                                                                                        {
    pricer_ = pricer;
    return *this;
}

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◆ withDiscountCurve()

MakeOISCapFloor & withDiscountCurve ( )

Member Data Documentation

◆ type_

CapFloor::Type type_

private

Definition at line 53 of file makeoiscapfloor.hpp.

◆ tenor_

Period tenor_

private

Definition at line 54 of file makeoiscapfloor.hpp.

◆ index_

QuantLib::ext::shared_ptr<OvernightIndex> index_

private

Definition at line 55 of file makeoiscapfloor.hpp.

◆ rateComputationPeriod_

Period rateComputationPeriod_

private

Definition at line 56 of file makeoiscapfloor.hpp.

◆ strike_

Rate strike_

private

Definition at line 57 of file makeoiscapfloor.hpp.

◆ nominal_

Real nominal_

private

Definition at line 59 of file makeoiscapfloor.hpp.

◆ effectiveDate_

Date effectiveDate_

private

Definition at line 60 of file makeoiscapfloor.hpp.

◆ settlementDays_

Natural settlementDays_

private

Definition at line 61 of file makeoiscapfloor.hpp.

◆ calendar_

Calendar calendar_

private

Definition at line 62 of file makeoiscapfloor.hpp.

◆ convention_

BusinessDayConvention convention_

private

Definition at line 63 of file makeoiscapfloor.hpp.

◆ rule_

DateGeneration::Rule rule_

private

Definition at line 64 of file makeoiscapfloor.hpp.

◆ dayCounter_

DayCounter dayCounter_

private

Definition at line 65 of file makeoiscapfloor.hpp.

◆ telescopicValueDates_

bool telescopicValueDates_

private

Definition at line 66 of file makeoiscapfloor.hpp.

◆ pricer_

ext::shared_ptr<CappedFlooredOvernightIndexedCouponPricer> pricer_

private

Definition at line 68 of file makeoiscapfloor.hpp.

◆ discountCurve_

QuantLib::Handle<QuantLib::YieldTermStructure> discountCurve_

private

Definition at line 69 of file makeoiscapfloor.hpp.

Public Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ MakeOISCapFloor()

Member Function Documentation

◆ operator Leg()

◆ withNominal()

◆ withEffectiveDate()

◆ withSettlementDays()

◆ withCalendar()

◆ withConvention()

◆ withRule()

◆ withDayCount()

◆ withTelescopicValueDates()

◆ withCouponPricer()

◆ withDiscountCurve()

Member Data Documentation

◆ type_

◆ tenor_

◆ index_

◆ rateComputationPeriod_

◆ strike_

◆ nominal_

◆ effectiveDate_

◆ settlementDays_

◆ calendar_

◆ convention_

◆ rule_

◆ dayCounter_

◆ telescopicValueDates_

◆ pricer_

◆ discountCurve_