OvernightIndexedCrossCcyBasisSwapEngine Class Reference

#include <qle/pricingengines/oiccbasisswapengine.hpp>

Inheritance diagram for OvernightIndexedCrossCcyBasisSwapEngine:

Collaboration diagram for OvernightIndexedCrossCcyBasisSwapEngine:

Public Member Functions
	OvernightIndexedCrossCcyBasisSwapEngine (const Handle< YieldTermStructure > &ts1, const Currency &ccy1, const Handle< YieldTermStructure > &ts2, const Currency &ccy2, const Handle< Quote > &fx)
void	calculate () const override
Handle< YieldTermStructure >	ts1 ()
Handle< YieldTermStructure >	ts2 ()
Currency	ccy1 ()
Currency	ccy2 ()
Handle< Quote >	fx ()

Private Attributes
Handle< YieldTermStructure >	ts1_
Currency	ccy1_
Handle< YieldTermStructure >	ts2_
Currency	ccy2_
Handle< Quote >	fx_

Detailed Description

Overnight Indexed Cross Currency Basis Swap Engine

Definition at line 35 of file oiccbasisswapengine.hpp.

Constructor & Destructor Documentation

OvernightIndexedCrossCcyBasisSwapEngine()

OvernightIndexedCrossCcyBasisSwapEngine	(	const Handle< YieldTermStructure > &	ts1,
		const Currency &	ccy1,
		const Handle< YieldTermStructure > &	ts2,
		const Currency &	ccy2,
		const Handle< Quote > &	fx
	)

Definition at line 32 of file oiccbasisswapengine.cpp.

    : ts1_(ts1), ccy1_(ccy1), ts2_(ts2), ccy2_(ccy2), fx_(fx) {
    registerWith(ts1_);
    registerWith(ts2_);
    registerWith(fx_);
}

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 43 of file oiccbasisswapengine.cpp.

                                                              {
    results_.value = 0.0;
    results_.errorEstimate = Null<Real>();
 
    QL_REQUIRE(!fx_.empty(), "fx handle not set");
    QL_REQUIRE(!ts1_.empty(), "ts1 handle not set");
    QL_REQUIRE(!ts2_.empty(), "ts2 handle not set");
 
    QL_REQUIRE(ts1_->referenceDate() == ts2_->referenceDate(), "reference dates do not match");
 
    Date npvDate = Settings::instance().evaluationDate();
 
    results_.valuationDate = npvDate;
 
    results_.legNPV.resize(arguments_.legs.size());
    results_.legBPS.resize(arguments_.legs.size());
 
    bool includeRefDateFlows = Settings::instance().includeReferenceDateEvents();
 
    for (Size i = 0; i < arguments_.legs.size(); ++i) {
        try {
            Handle<YieldTermStructure> yts;
            Real fx;
            if (arguments_.currency[i] == ccy1_) {
                yts = ts1_;
                fx = 1.0;
            } else {
                yts = ts2_;
                fx = fx_->value();
            }
            results_.legNPV[i] = fx * arguments_.payer[i] *
                                 CashFlows::npv(arguments_.legs[i], **yts, includeRefDateFlows, npvDate, npvDate);
            results_.legBPS[i] = fx * arguments_.payer[i] *
                                 CashFlows::bps(arguments_.legs[i], **yts, includeRefDateFlows, npvDate, npvDate);
        } catch (std::exception& e) {
            QL_FAIL(io::ordinal(i + 1) << " leg: " << e.what());
        }
        results_.value += results_.legNPV[i];
    }
 
    static Spread basisPoint = 1.0e-4;
    results_.fairPayLegSpread = arguments_.paySpread - results_.value / (results_.legBPS[0] / basisPoint);
    results_.fairRecLegSpread = arguments_.recSpread - results_.value / (results_.legBPS[1] / basisPoint);
}

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ts1()

Handle< YieldTermStructure > ts1

(

)

Definition at line 43 of file oiccbasisswapengine.hpp.

{ return ts1_; }

ts2()

Handle< YieldTermStructure > ts2

(

)

Definition at line 44 of file oiccbasisswapengine.hpp.

{ return ts2_; }

ccy1()

Currency ccy1

(

)

Definition at line 45 of file oiccbasisswapengine.hpp.

{ return ccy1_; }

ccy2()

Currency ccy2

(

)

Definition at line 46 of file oiccbasisswapengine.hpp.

{ return ccy2_; }

fx()

Handle< Quote > fx

(

)

Definition at line 47 of file oiccbasisswapengine.hpp.

{ return fx_; }

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Member Data Documentation

ts1_

Handle<YieldTermStructure> ts1_

private

Definition at line 50 of file oiccbasisswapengine.hpp.

ccy1_

Currency ccy1_

private

Definition at line 51 of file oiccbasisswapengine.hpp.

ts2_

Handle<YieldTermStructure> ts2_

private

Definition at line 52 of file oiccbasisswapengine.hpp.

ccy2_

Currency ccy2_

private

Definition at line 53 of file oiccbasisswapengine.hpp.

fx_

Handle<Quote> fx_

private

Definition at line 54 of file oiccbasisswapengine.hpp.