#include <qle/instruments/subperiodsswap.hpp>

Collaboration diagram for MakeSubPeriodsSwap:

Public Member Functions
	MakeSubPeriodsSwap (const Period &swapTenor, const QuantLib::ext::shared_ptr< IborIndex > &index, Rate fixedRate, const Period &floatPayTenor, const Period &forwardStart=0 *Days)

	operator SubPeriodsSwap () const

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

MakeSubPeriodsSwap &	withEffectiveDate (const Date &)

MakeSubPeriodsSwap &	withNominal (Real n)

MakeSubPeriodsSwap &	withIsPayer (bool p)

MakeSubPeriodsSwap &	withSettlementDays (Natural settlementDays)

MakeSubPeriodsSwap &	withFixedLegTenor (const Period &t)

MakeSubPeriodsSwap &	withFixedLegCalendar (const Calendar &cal)

MakeSubPeriodsSwap &	withFixedLegConvention (BusinessDayConvention bdc)

MakeSubPeriodsSwap &	withFixedLegRule (DateGeneration::Rule r)

MakeSubPeriodsSwap &	withFixedLegDayCount (const DayCounter &dc)

MakeSubPeriodsSwap &	withSubCouponsType (const QuantExt::SubPeriodsCoupon1::Type &st)

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

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

Private Attributes
Period	swapTenor_

QuantLib::ext::shared_ptr< IborIndex >	index_

Rate	fixedRate_

Period	floatPayTenor_

Period	forwardStart_

Date	effectiveDate_

Real	nominal_

bool	isPayer_

Natural	settlementDays_

Period	fixedTenor_

Calendar	fixedCalendar_

BusinessDayConvention	fixedConvention_

DateGeneration::Rule	fixedRule_

DayCounter	fixedDayCount_

DayCounter	floatDayCounter_

QuantExt::SubPeriodsCoupon1::Type	subCouponsType_

QuantLib::ext::shared_ptr< PricingEngine >	engine_

Detailed Description

Definition at line 119 of file subperiodsswap.hpp.

Constructor & Destructor Documentation

◆ MakeSubPeriodsSwap()

MakeSubPeriodsSwap	(	const Period &	swapTenor,
		const QuantLib::ext::shared_ptr< IborIndex > &	index,
		Rate	fixedRate,
		const Period &	floatPayTenor,
		const Period &	forwardStart = `0 * Days`
	)

Definition at line 103 of file subperiodsswap.cpp.

    : swapTenor_(swapTenor), index_(index), fixedRate_(fixedRate), floatPayTenor_(floatPayTenor), forwardStart_(forwardStart), 
    nominal_(1.0), isPayer_(true), settlementDays_(index->fixingDays()), fixedCalendar_(index->fixingCalendar()), 
    fixedConvention_(ModifiedFollowing), fixedRule_(DateGeneration::Backward), floatDayCounter_(index->dayCounter()),
      subCouponsType_(QuantExt::SubPeriodsCoupon1::Compounding)  {}

Member Function Documentation

◆ operator SubPeriodsSwap()

operator SubPeriodsSwap ( ) const

Definition at line 110 of file subperiodsswap.cpp.

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

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

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

Definition at line 115 of file subperiodsswap.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 = index_->fixingCalendar().adjust(refDate);
        Date spotDate = index_->fixingCalendar().advance(refDate, settlementDays_ * Days);
        startDate = spotDate + forwardStart_;
        if (forwardStart_.length() < 0)
            startDate = index_->fixingCalendar().adjust(startDate, Preceding);
        else
            startDate = index_->fixingCalendar().adjust(startDate, Following);
    }
 
    // Copied from MakeVanillaSwap - Is there a better way?
    const Currency& curr = index_->currency();
    Period fixedTenor;
    if (fixedTenor_ != Period())
        fixedTenor = fixedTenor_;
    else {
        if ((curr == EURCurrency()) ||
            (curr == USDCurrency()) ||
            (curr == CHFCurrency()) ||
            (curr == SEKCurrency()) ||
            (curr == GBPCurrency() && swapTenor_ <= 1 * Years))
            fixedTenor = Period(1, Years);
        else if ((curr == GBPCurrency() && swapTenor_ > 1 * Years) ||
            (curr == JPYCurrency()) ||
            (curr == AUDCurrency() && swapTenor_ >= 4 * Years))
            fixedTenor = Period(6, Months);
        else if ((curr == HKDCurrency() ||
            (curr == AUDCurrency() && swapTenor_ < 4 * Years)))
            fixedTenor = Period(3, Months);
        else
            QL_FAIL("unknown fixed leg default tenor for " << curr);
    }
 
    // Copied from MakeVanillaSwap - Is there a better way?
    DayCounter fixedDayCount;
    if (fixedDayCount_ != DayCounter())
        fixedDayCount = fixedDayCount_;
    else {
        if (curr == USDCurrency())
            fixedDayCount = Actual360();
        else if (curr == EURCurrency() || curr == CHFCurrency() ||
            curr == SEKCurrency())
            fixedDayCount = Thirty360(Thirty360::BondBasis);
        else if (curr == GBPCurrency() || curr == JPYCurrency() ||
            curr == AUDCurrency() || curr == HKDCurrency() ||
            curr == THBCurrency())
            fixedDayCount = Actual365Fixed();
        else
            QL_FAIL("unknown fixed leg day counter for " << curr);
    }
 
    QuantLib::ext::shared_ptr<SubPeriodsSwap> swap(new SubPeriodsSwap(startDate, nominal_, swapTenor_, isPayer_, 
        fixedTenor, fixedRate_, fixedCalendar_, fixedDayCount, fixedConvention_, floatPayTenor_, index_, 
        floatDayCounter_, fixedRule_, subCouponsType_));
 
    if (engine_ != 0)
        swap->setPricingEngine(engine_);
 
    return swap;
}

◆ withEffectiveDate()

MakeSubPeriodsSwap & withEffectiveDate ( const Date & effectiveDate )

Definition at line 186 of file subperiodsswap.cpp.

                                                                                   {
    effectiveDate_ = effectiveDate;
    return *this;
}

◆ withNominal()

MakeSubPeriodsSwap & withNominal ( Real n )

Definition at line 191 of file subperiodsswap.cpp.

                                                          {
    nominal_ = n;
    return *this;
}

◆ withIsPayer()

MakeSubPeriodsSwap & withIsPayer ( bool p )

Definition at line 196 of file subperiodsswap.cpp.

                                                          {
    isPayer_ = p;
    return *this;
}

◆ withSettlementDays()

MakeSubPeriodsSwap & withSettlementDays ( Natural settlementDays )

Definition at line 201 of file subperiodsswap.cpp.

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

◆ withFixedLegTenor()

MakeSubPeriodsSwap & withFixedLegTenor ( const Period & t )

Definition at line 207 of file subperiodsswap.cpp.

                                                                         {
    fixedTenor_ = t;
    return *this;
}

◆ withFixedLegCalendar()

MakeSubPeriodsSwap & withFixedLegCalendar ( const Calendar & cal )

Definition at line 212 of file subperiodsswap.cpp.

                                                                                {
    fixedCalendar_ = cal;
    return *this;
}

◆ withFixedLegConvention()

MakeSubPeriodsSwap & withFixedLegConvention ( BusinessDayConvention bdc )

Definition at line 217 of file subperiodsswap.cpp.

                                                                                        {
    fixedConvention_ = bdc;
    return *this;
}

◆ withFixedLegRule()

MakeSubPeriodsSwap & withFixedLegRule ( DateGeneration::Rule r )

Definition at line 222 of file subperiodsswap.cpp.

                                                                             {
    fixedRule_ = r;
    return *this;
}

◆ withFixedLegDayCount()

MakeSubPeriodsSwap & withFixedLegDayCount ( const DayCounter & dc )

Definition at line 227 of file subperiodsswap.cpp.

                                                                                 {
    fixedDayCount_ = dc;
    return *this;
}

◆ withSubCouponsType()

MakeSubPeriodsSwap & withSubCouponsType ( const QuantExt::SubPeriodsCoupon1::Type & st )

Definition at line 232 of file subperiodsswap.cpp.

                                                                                                  {
    subCouponsType_ = st;
    return *this;
}

◆ withDiscountingTermStructure()

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

Definition at line 237 of file subperiodsswap.cpp.

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

◆ withPricingEngine()

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

Definition at line 243 of file subperiodsswap.cpp.

                                                                                                            {
    engine_ = engine;
    return *this;
}

Member Data Documentation

◆ swapTenor_

Period swapTenor_

private

Definition at line 144 of file subperiodsswap.hpp.

◆ index_

QuantLib::ext::shared_ptr<IborIndex> index_

private

Definition at line 145 of file subperiodsswap.hpp.

◆ fixedRate_

Rate fixedRate_

private

Definition at line 146 of file subperiodsswap.hpp.

◆ floatPayTenor_

Period floatPayTenor_

private

Definition at line 147 of file subperiodsswap.hpp.

◆ forwardStart_

Period forwardStart_

private

Definition at line 148 of file subperiodsswap.hpp.

◆ effectiveDate_

Date effectiveDate_

private

Definition at line 150 of file subperiodsswap.hpp.

◆ nominal_

Real nominal_

private

Definition at line 151 of file subperiodsswap.hpp.

◆ isPayer_

bool isPayer_

private

Definition at line 152 of file subperiodsswap.hpp.

◆ settlementDays_

Natural settlementDays_

private

Definition at line 153 of file subperiodsswap.hpp.

◆ fixedTenor_

Period fixedTenor_

private

Definition at line 155 of file subperiodsswap.hpp.

◆ fixedCalendar_

Calendar fixedCalendar_

private

Definition at line 156 of file subperiodsswap.hpp.

◆ fixedConvention_

BusinessDayConvention fixedConvention_

private

Definition at line 157 of file subperiodsswap.hpp.

◆ fixedRule_

DateGeneration::Rule fixedRule_

private

Definition at line 158 of file subperiodsswap.hpp.

◆ fixedDayCount_

DayCounter fixedDayCount_

private

Definition at line 159 of file subperiodsswap.hpp.

◆ floatDayCounter_

DayCounter floatDayCounter_

private

Definition at line 159 of file subperiodsswap.hpp.

◆ subCouponsType_

QuantExt::SubPeriodsCoupon1::Type subCouponsType_

private

Definition at line 161 of file subperiodsswap.hpp.

◆ engine_

QuantLib::ext::shared_ptr<PricingEngine> engine_

private

Definition at line 163 of file subperiodsswap.hpp.

Public Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ MakeSubPeriodsSwap()

Member Function Documentation

◆ operator SubPeriodsSwap()

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

◆ withEffectiveDate()

◆ withNominal()

◆ withIsPayer()

◆ withSettlementDays()

◆ withFixedLegTenor()

◆ withFixedLegCalendar()

◆ withFixedLegConvention()

◆ withFixedLegRule()

◆ withFixedLegDayCount()

◆ withSubCouponsType()

◆ withDiscountingTermStructure()

◆ withPricingEngine()

Member Data Documentation

◆ swapTenor_

◆ index_

◆ fixedRate_

◆ floatPayTenor_

◆ forwardStart_

◆ effectiveDate_

◆ nominal_

◆ isPayer_

◆ settlementDays_

◆ fixedTenor_

◆ fixedCalendar_

◆ fixedConvention_

◆ fixedRule_

◆ fixedDayCount_

◆ floatDayCounter_

◆ subCouponsType_

◆ engine_