RiskParticipationAgreementTLock Class Reference

#include <qle/instruments/riskparticipationagreement_tlock.hpp>

Inheritance diagram for RiskParticipationAgreementTLock:

Collaboration diagram for RiskParticipationAgreementTLock:

Classes
class	arguments
class	engine
class	results

Public Member Functions
	RiskParticipationAgreementTLock (const QuantLib::ext::shared_ptr< QuantLib::Bond > &bond, Real bondNotional, bool payer, Real referenceRate, const DayCounter &dayCounter, const Date &terminationDate, const Date &paymentDate, const std::vector< Leg > &protectionFee, const bool protectionFeePayer, const std::vector< std::string > &protectionFeeCcys, const Real participationRate, const Date &protectionStart, const Date &protectionEnd, const bool settlesAccrual, const Real fixedRecoveryRate=Null< Real >())
bool	isExpired () const override
	Instrument interface. More...
const QuantLib::ext::shared_ptr< QuantLib::Bond > &	bond () const
	Inspectors. More...
bool	payer ()
Real	referenceRate () const
const DayCounter &	dayCounter () const
const Date &	terminationDate () const
const Date &	paymentDate () const
const std::vector< Leg > &	protectionFee () const
bool	protectionFeePayer () const
const std::vector< std::string > &	protectionFeeCcys () const
Real	participationRate () const
const Date &	protectionStart () const
const Date &	protectionEnd () const
bool	settlesAccrual () const
Real	fixedRecoveryRate () const
const Date &	maturity () const

Private Member Functions
void	setupArguments (QuantLib::PricingEngine::arguments *) const override
void	setupExpired () const override
void	fetchResults (const QuantLib::PricingEngine::results *) const override

Private Attributes
QuantLib::ext::shared_ptr< QuantLib::Bond >	bond_
Real	bondNotional_
bool	payer_
Real	referenceRate_
DayCounter	dayCounter_
Date	terminationDate_
Date	paymentDate_
std::vector< Leg >	protectionFee_
bool	protectionFeePayer_
std::vector< std::string >	protectionFeeCcys_
Real	participationRate_
Date	protectionStart_
Date	protectionEnd_
bool	settlesAccrual_
Real	fixedRecoveryRate_
Date	maturity_

Detailed Description

Definition at line 36 of file riskparticipationagreement_tlock.hpp.

Constructor & Destructor Documentation

RiskParticipationAgreementTLock()

RiskParticipationAgreementTLock	(	const QuantLib::ext::shared_ptr< QuantLib::Bond > &	bond,
		Real	bondNotional,
		bool	payer,
		Real	referenceRate,
		const DayCounter &	dayCounter,
		const Date &	terminationDate,
		const Date &	paymentDate,
		const std::vector< Leg > &	protectionFee,
		const bool	protectionFeePayer,
		const std::vector< std::string > &	protectionFeeCcys,
		const Real	participationRate,
		const Date &	protectionStart,
		const Date &	protectionEnd,
		const bool	settlesAccrual,
		const Real	fixedRecoveryRate = Null<Real>()
	)

The bond must be a fixed rate bond, i.e. it may only contain FixedCoupons. The udnerlying payout is (referenceRate - bond yield) * DV01 if payer = false, otherwise multiplied by -1. As in the swap RPA, protectionFeepayer = true means protection is received, protection fee is paid.

Definition at line 27 of file riskparticipationagreement_tlock.cpp.

    : bond_(bond), bondNotional_(bondNotional), payer_(payer), referenceRate_(referenceRate), dayCounter_(dayCounter),
      terminationDate_(terminationDate), paymentDate_(paymentDate), protectionFee_(protectionFee),
      protectionFeePayer_(protectionFeePayer), protectionFeeCcys_(protectionFeeCcys),
      participationRate_(participationRate), protectionStart_(protectionStart), protectionEnd_(protectionEnd),
      settlesAccrual_(settlesAccrual), fixedRecoveryRate_(fixedRecoveryRate) {
 
    // checks
 
    QL_REQUIRE(bond != nullptr, "RiskParticipationAgreementTLock: underlying bond is null");
    QL_REQUIRE(!dayCounter.empty(), "RiskParticipationAgreementTLock: day counter is empty");
 
    QL_REQUIRE(paymentDate_ >= terminationDate, "RiskParticipationAgreementTLock: payment date ("
                                                    << paymentDate_ << ") must be >= termination date ("
                                                    << terminationDate_ << ")");
    QL_REQUIRE(protectionFee_.size() == protectionFeeCcys_.size(),
               "protection fee size (" << protectionFee_.size() << ") must match protecttion fee ccys size ("
                                       << protectionFeeCcys_.size() << ")");
    QL_REQUIRE(participationRate_ > 0.0 || close_enough(participationRate_, 0.0),
               "participation rate must be non-negative (" << participationRate_ << ")");
    QL_REQUIRE(protectionEnd_ > protectionStart_,
               "protection end (" << protectionEnd_ << ") must be greater than protection start " << protectionStart_);
 
    for (auto const& c : bond->cashflows()) {
        if (auto tmp = QuantLib::ext::dynamic_pointer_cast<Coupon>(c)) {
            QL_REQUIRE(QuantLib::ext::dynamic_pointer_cast<FixedRateCoupon>(c),
                       "RiskParticipationAgreementTLock: only fixed rate coupons allowed in bond underlying");
        }
    }
 
    // the maturity is the maximum of the protection end date and fee payment dates
 
    maturity_ = protectionEnd_;
    for (auto const& p : protectionFee)
        maturity_ = std::max(maturity_, CashFlows::maturityDate(p));
 
    // register with observables
 
    for (auto const& l : protectionFee)
        for (auto const& c : l)
            registerWith(c);
}

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Member Function Documentation

isExpired()

bool isExpired ( ) const

override

Instrument interface.

Definition at line 75 of file riskparticipationagreement_tlock.cpp.

{ return detail::simple_event(maturity_).hasOccurred(); }

bond()

const QuantLib::ext::shared_ptr< QuantLib::Bond > & bond

(

)

const

Inspectors.

Definition at line 56 of file riskparticipationagreement_tlock.hpp.

{ return bond_; }

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payer()

bool payer

(

)

Definition at line 57 of file riskparticipationagreement_tlock.hpp.

{ return payer_; }

referenceRate()

Real referenceRate

(

)

const

Definition at line 58 of file riskparticipationagreement_tlock.hpp.

{ return referenceRate_; }

dayCounter()

const DayCounter & dayCounter

(

)

const

Definition at line 59 of file riskparticipationagreement_tlock.hpp.

{ return dayCounter_; }

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terminationDate()

const Date & terminationDate

(

)

const

Definition at line 60 of file riskparticipationagreement_tlock.hpp.

{ return terminationDate_; }

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paymentDate()

const Date & paymentDate

(

)

const

Definition at line 61 of file riskparticipationagreement_tlock.hpp.

{ return paymentDate_; }

protectionFee()

const std::vector< Leg > & protectionFee

(

)

const

Definition at line 63 of file riskparticipationagreement_tlock.hpp.

{ return protectionFee_; }

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protectionFeePayer()

bool protectionFeePayer

(

)

const

Definition at line 64 of file riskparticipationagreement_tlock.hpp.

{ return protectionFeePayer_; }

protectionFeeCcys()

const std::vector< std::string > & protectionFeeCcys

(

)

const

Definition at line 65 of file riskparticipationagreement_tlock.hpp.

{ return protectionFeeCcys_; }

participationRate()

Real participationRate

(

)

const

Definition at line 66 of file riskparticipationagreement_tlock.hpp.

{ return participationRate_; }

protectionStart()

const Date & protectionStart

(

)

const

Definition at line 67 of file riskparticipationagreement_tlock.hpp.

{ return protectionStart_; }

protectionEnd()

const Date & protectionEnd

(

)

const

Definition at line 68 of file riskparticipationagreement_tlock.hpp.

{ return protectionEnd_; }

settlesAccrual()

bool settlesAccrual

(

)

const

Definition at line 69 of file riskparticipationagreement_tlock.hpp.

{ return settlesAccrual_; }

fixedRecoveryRate()

Real fixedRecoveryRate

(

)

const

Definition at line 70 of file riskparticipationagreement_tlock.hpp.

{ return fixedRecoveryRate_; }

maturity()

const Date & maturity

(

)

const

Definition at line 73 of file riskparticipationagreement_tlock.hpp.

{ return maturity_; }

setupArguments()

void setupArguments ( QuantLib::PricingEngine::arguments *  args ) const

overrideprivate

Definition at line 79 of file riskparticipationagreement_tlock.cpp.

                                                                                               {
    RiskParticipationAgreementTLock::arguments* arguments =
        dynamic_cast<RiskParticipationAgreementTLock::arguments*>(args);
    QL_REQUIRE(arguments, "RiskParticipationAgreement::setupArguments(): wrong argument type");
    arguments->bond = bond_;
    arguments->bondNotional = bondNotional_;
    arguments->payer = payer_;
    arguments->referenceRate = referenceRate_;
    arguments->dayCounter = dayCounter_;
    arguments->terminationDate = terminationDate_;
    arguments->paymentDate = paymentDate_;
 
    arguments->protectionFee = protectionFee_;
    arguments->protectionFeePayer = protectionFeePayer_;
    arguments->protectionFeeCcys = protectionFeeCcys_;
    arguments->participationRate = participationRate_;
    arguments->protectionStart = protectionStart_;
    arguments->protectionEnd = protectionEnd_;
    arguments->settlesAccrual = settlesAccrual_;
    arguments->fixedRecoveryRate = fixedRecoveryRate_;
}

setupExpired()

void setupExpired ( ) const

overrideprivate

Definition at line 77 of file riskparticipationagreement_tlock.cpp.

{ Instrument::setupExpired(); }

fetchResults()

void fetchResults ( const QuantLib::PricingEngine::results *  ) const

overrideprivate

Definition at line 101 of file riskparticipationagreement_tlock.cpp.

                                                                                      {
    Instrument::fetchResults(r);
}

Member Data Documentation

bond_

QuantLib::ext::shared_ptr<QuantLib::Bond> bond_

private

Definition at line 81 of file riskparticipationagreement_tlock.hpp.

bondNotional_

Real bondNotional_

private

Definition at line 82 of file riskparticipationagreement_tlock.hpp.

payer_

bool payer_

private

Definition at line 83 of file riskparticipationagreement_tlock.hpp.

referenceRate_

Real referenceRate_

private

Definition at line 84 of file riskparticipationagreement_tlock.hpp.

dayCounter_

DayCounter dayCounter_

private

Definition at line 85 of file riskparticipationagreement_tlock.hpp.

terminationDate_

Date terminationDate_

private

Definition at line 86 of file riskparticipationagreement_tlock.hpp.

paymentDate_

Date paymentDate_

private

Definition at line 87 of file riskparticipationagreement_tlock.hpp.

protectionFee_

std::vector<Leg> protectionFee_

private

Definition at line 90 of file riskparticipationagreement_tlock.hpp.

protectionFeePayer_

bool protectionFeePayer_

private

Definition at line 91 of file riskparticipationagreement_tlock.hpp.

protectionFeeCcys_

std::vector<std::string> protectionFeeCcys_

private

Definition at line 92 of file riskparticipationagreement_tlock.hpp.

participationRate_

Real participationRate_

private

Definition at line 93 of file riskparticipationagreement_tlock.hpp.

protectionStart_

Date protectionStart_

private

Definition at line 94 of file riskparticipationagreement_tlock.hpp.

protectionEnd_

Date protectionEnd_

private

Definition at line 94 of file riskparticipationagreement_tlock.hpp.

settlesAccrual_

bool settlesAccrual_

private

Definition at line 95 of file riskparticipationagreement_tlock.hpp.

fixedRecoveryRate_

Real fixedRecoveryRate_

private

Definition at line 96 of file riskparticipationagreement_tlock.hpp.

maturity_

Date maturity_

private

Definition at line 98 of file riskparticipationagreement_tlock.hpp.