TenorBasisSwap Class Reference

Single currency tenor basis swap. More...

#include <qle/instruments/tenorbasisswap.hpp>

Inheritance diagram for TenorBasisSwap:

Collaboration diagram for TenorBasisSwap:

Classes
class	engine
class	results

Public Member Functions
Constructors
	TenorBasisSwap (const Date &effectiveDate, Real nominal, const Period &swapTenor, const QuantLib::ext::shared_ptr< IborIndex > &payIndex, Spread paySpread, const Period &payFrequency, const QuantLib::ext::shared_ptr< IborIndex > &recIndex, Spread recSpread, const Period &recFrequency, DateGeneration::Rule rule=DateGeneration::Backward, bool includeSpread=false, bool spreadOnRec=true, QuantExt::SubPeriodsCoupon1::Type type=QuantExt::SubPeriodsCoupon1::Compounding, const bool telescopicValueDates=false)
	Constructor with conventions deduced from the indices. More...
	TenorBasisSwap (Real nominal, const Schedule &paySchedule, const QuantLib::ext::shared_ptr< IborIndex > &payIndex, Spread paySpread, const Schedule &recSchedule, const QuantLib::ext::shared_ptr< IborIndex > &recIndex, Spread recSpread, bool includeSpread=false, bool spreadOnRec=true, QuantExt::SubPeriodsCoupon1::Type type=QuantExt::SubPeriodsCoupon1::Compounding, const bool telescopicValueDates=false)
	Constructor using Schedules with a full interface. More...
	TenorBasisSwap (const std::vector< Real > &nominals, const Schedule &paySchedule, const QuantLib::ext::shared_ptr< IborIndex > &payIndex, Spread paySpread, const Schedule &recSchedule, const QuantLib::ext::shared_ptr< IborIndex > &recIndex, Spread recSpread, bool includeSpread=false, bool spreadOnRec=true, QuantExt::SubPeriodsCoupon1::Type type=QuantExt::SubPeriodsCoupon1::Compounding, const bool telescopicValueDates=false)
Inspectors
Real	nominal () const
const std::vector< Real > &	nominals () const
const Schedule &	paySchedule () const
const QuantLib::ext::shared_ptr< IborIndex > &	payIndex () const
Spread	paySpread () const
const Leg &	payLeg () const
const Schedule &	recSchedule () const
const QuantLib::ext::shared_ptr< IborIndex > &	recIndex () const
Spread	recSpread () const
const Leg &	recLeg () const
const Period &	recFrequency () const
const Period &	payFrequency () const
bool	includeSpread () const
bool	spreadOnRec () const
QuantExt::SubPeriodsCoupon1::Type	type () const

Results
std::vector< Real >	nominals_
Schedule	paySchedule_
QuantLib::ext::shared_ptr< IborIndex >	payIndex_
Spread	paySpread_
Period	payFrequency_
Schedule	recSchedule_
QuantLib::ext::shared_ptr< IborIndex >	recIndex_
Spread	recSpread_
Period	recFrequency_
bool	includeSpread_
bool	spreadOnRec_
QuantExt::SubPeriodsCoupon1::Type	type_
bool	telescopicValueDates_
bool	noSubPeriod_
std::vector< Spread >	fairSpread_
Calendar	recIndexCalendar_
Calendar	payIndexCalendar_
Size	idxRec_
Size	idxPay_
Real	payLegBPS () const
Real	payLegNPV () const
Rate	fairPayLegSpread () const
Real	recLegBPS () const
Real	recLegNPV () const
Spread	fairRecLegSpread () const
void	fetchResults (const PricingEngine::results *) const override
void	initializeLegs ()
void	setupExpired () const override

Detailed Description

Single currency tenor basis swap.

Definition at line 38 of file tenorbasisswap.hpp.

Constructor & Destructor Documentation

TenorBasisSwap() [1/3]

TenorBasisSwap	(	const Date &	effectiveDate,
		Real	nominal,
		const Period &	swapTenor,
		const QuantLib::ext::shared_ptr< IborIndex > &	payIndex,
		Spread	paySpread,
		const Period &	payFrequency,
		const QuantLib::ext::shared_ptr< IborIndex > &	recIndex,
		Spread	recSpread,
		const Period &	recFrequency,
		DateGeneration::Rule	rule = DateGeneration::Backward,
		bool	includeSpread = false,
		bool	spreadOnRec = true,
		QuantExt::SubPeriodsCoupon1::Type	type = QuantExt::SubPeriodsCoupon1::Compounding,
		const bool	telescopicValueDates = false
	)

Constructor with conventions deduced from the indices.

Definition at line 64 of file tenorbasisswap.cpp.

    : Swap(2), nominals_(std::vector<Real>(1, nominal)), payIndex_(payIndex), paySpread_(paySpread),
      payFrequency_(payFrequency), recIndex_(recIndex), recSpread_(recSpread), recFrequency_(recFrequency),
      includeSpread_(includeSpread), spreadOnRec_(spreadOnRec), type_(type),
      telescopicValueDates_(telescopicValueDates) {
 
    // Create the default pay and rec schedules
    Date terminationDate = effectiveDate + swapTenor;
 
    QuantLib::ext::shared_ptr<Libor> payIndexAsLibor = QuantLib::ext::dynamic_pointer_cast<Libor>(payIndex_);
    payIndexCalendar_ = payIndexAsLibor != NULL ? payIndexAsLibor->jointCalendar() : payIndex_->fixingCalendar();
    QuantLib::ext::shared_ptr<Libor> recIndexAsLibor = QuantLib::ext::dynamic_pointer_cast<Libor>(recIndex_);
    recIndexCalendar_ =
        recIndexAsLibor != NULL ? recIndexAsLibor->jointCalendar() : recIndex_->fixingCalendar();
 
    paySchedule_ = MakeSchedule()
                        .from(effectiveDate)
                        .to(terminationDate)
                        .withTenor(payFrequency_)
                        .withCalendar(payIndexCalendar_)
                        .withConvention(payIndex_->businessDayConvention())
                        .withTerminationDateConvention(payIndex_->businessDayConvention())
                        .withRule(rule)
                        .endOfMonth(payIndex_->endOfMonth());
 
    recSchedule_ = MakeSchedule()
                        .from(effectiveDate)
                        .to(terminationDate)
                        .withTenor(recFrequency_)
                        .withCalendar(recIndexCalendar_)
                        .withConvention(recIndex_->businessDayConvention())
                        .withTerminationDateConvention(recIndex_->businessDayConvention())
                        .withRule(rule)
                        .endOfMonth(recIndex_->endOfMonth());
 
    // Create legs
    initializeLegs();
}

Here is the call graph for this function:

TenorBasisSwap() [2/3]

TenorBasisSwap	(	Real	nominal,
		const Schedule &	paySchedule,
		const QuantLib::ext::shared_ptr< IborIndex > &	payIndex,
		Spread	paySpread,
		const Schedule &	recSchedule,
		const QuantLib::ext::shared_ptr< IborIndex > &	recIndex,
		Spread	recSpread,
		bool	includeSpread = false,
		bool	spreadOnRec = true,
		QuantExt::SubPeriodsCoupon1::Type	type = QuantExt::SubPeriodsCoupon1::Compounding,
		const bool	telescopicValueDates = false
	)

Constructor using Schedules with a full interface.

Definition at line 108 of file tenorbasisswap.cpp.

    : Swap(2), nominals_(std::vector<Real>(1, nominal)), paySchedule_(paySchedule), payIndex_(payIndex),
      paySpread_(paySpread), recSchedule_(recSchedule), recIndex_(recIndex), recSpread_(recSpread),
      includeSpread_(includeSpread), spreadOnRec_(spreadOnRec), type_(type), telescopicValueDates_(telescopicValueDates) {
 
    // Create legs
    initializeLegs();
}

Here is the call graph for this function:

TenorBasisSwap() [3/3]

TenorBasisSwap	(	const std::vector< Real > &	nominals,
		const Schedule &	paySchedule,
		const QuantLib::ext::shared_ptr< IborIndex > &	payIndex,
		Spread	paySpread,
		const Schedule &	recSchedule,
		const QuantLib::ext::shared_ptr< IborIndex > &	recIndex,
		Spread	recSpread,
		bool	includeSpread = false,
		bool	spreadOnRec = true,
		QuantExt::SubPeriodsCoupon1::Type	type = QuantExt::SubPeriodsCoupon1::Compounding,
		const bool	telescopicValueDates = false
	)

Definition at line 121 of file tenorbasisswap.cpp.

    : Swap(2), nominals_(nominals), paySchedule_(paySchedule), payIndex_(payIndex),
      paySpread_(paySpread), recSchedule_(recSchedule), recIndex_(recIndex), recSpread_(recSpread),
      includeSpread_(includeSpread), spreadOnRec_(spreadOnRec), type_(type), telescopicValueDates_(telescopicValueDates) {
 
    // Create legs
    initializeLegs();
}

Here is the call graph for this function:

Member Function Documentation

nominal()

Real nominal

(

)

const

Definition at line 139 of file tenorbasisswap.hpp.

                                          {
    QL_REQUIRE(nominals_.size() == 1, "varying nominals");
    return nominals_[0];
}

nominals()

const std::vector< Real > & nominals

(

)

const

Definition at line 68 of file tenorbasisswap.hpp.

{ return nominals_; }

paySchedule()

const Schedule & paySchedule

(

)

const

Definition at line 143 of file tenorbasisswap.hpp.

{ return paySchedule_; }

payIndex()

const QuantLib::ext::shared_ptr< IborIndex > & payIndex

(

)

const

Definition at line 145 of file tenorbasisswap.hpp.

{ return payIndex_; }

paySpread()

Spread paySpread

(

)

const

Definition at line 147 of file tenorbasisswap.hpp.

{ return paySpread_; }

payLeg()

const Leg & payLeg

(

)

const

Definition at line 149 of file tenorbasisswap.hpp.

{ return legs_[idxPay_]; }

Here is the caller graph for this function:

recSchedule()

const Schedule & recSchedule

(

)

const

Definition at line 151 of file tenorbasisswap.hpp.

{ return recSchedule_; }

recIndex()

const QuantLib::ext::shared_ptr< IborIndex > & recIndex

(

)

const

Definition at line 153 of file tenorbasisswap.hpp.

{ return recIndex_; }

recSpread()

Spread recSpread

(

)

const

Definition at line 155 of file tenorbasisswap.hpp.

{ return recSpread_; }

recLeg()

const Leg & recLeg

(

)

const

Definition at line 165 of file tenorbasisswap.hpp.

{ return legs_[idxRec_]; }

Here is the caller graph for this function:

recFrequency()

const Period & recFrequency

(

)

const

Definition at line 157 of file tenorbasisswap.hpp.

{ return recFrequency_; }

payFrequency()

const Period & payFrequency

(

)

const

Definition at line 159 of file tenorbasisswap.hpp.

{ return payFrequency_; }

includeSpread()

bool includeSpread

(

)

const

Definition at line 161 of file tenorbasisswap.hpp.

{ return includeSpread_; }

spreadOnRec()

bool spreadOnRec

(

)

const

Definition at line 83 of file tenorbasisswap.hpp.

{ return spreadOnRec_; }

type()

QuantExt::SubPeriodsCoupon1::Type type

(

)

const

Definition at line 163 of file tenorbasisswap.hpp.

{ return type_; }

payLegBPS()

Real payLegBPS

(

)

const

Definition at line 237 of file tenorbasisswap.cpp.

                                     {
    calculate();
    QL_REQUIRE(legBPS_[idxPay_] != Null<Real>(), "Pay leg BPS not available");
    return legBPS_[idxPay_];
}

payLegNPV()

Real payLegNPV

(

)

const

Definition at line 243 of file tenorbasisswap.cpp.

                                     {
    calculate();
    QL_REQUIRE(legNPV_[idxPay_] != Null<Real>(), "Pay leg NPV not available");
    return legNPV_[idxPay_];
}

fairPayLegSpread()

Rate fairPayLegSpread

(

)

const

Definition at line 249 of file tenorbasisswap.cpp.

                                            {
    calculate();
    QL_REQUIRE(fairSpread_[idxPay_] != Null<Spread>(), "Pay leg fair spread not available");
    return fairSpread_[idxPay_];
}

recLegBPS()

Real recLegBPS

(

)

const

Definition at line 255 of file tenorbasisswap.cpp.

                                     {
    calculate();
    QL_REQUIRE(legBPS_[idxRec_] != Null<Real>(), "Receive leg BPS not available");
    return legBPS_[idxRec_];
}

recLegNPV()

Real recLegNPV

(

)

const

Definition at line 261 of file tenorbasisswap.cpp.

                                     {
    calculate();
    QL_REQUIRE(legNPV_[idxRec_] != Null<Real>(), "Receive leg NPV not available");
    return legNPV_[idxRec_];
}

fairRecLegSpread()

Spread fairRecLegSpread

(

)

const

Definition at line 267 of file tenorbasisswap.cpp.

                                              {
    calculate();
    QL_REQUIRE(fairSpread_[idxRec_] != Null<Spread>(), "Receive leg fair spread not available");
    return fairSpread_[idxRec_];
}

fetchResults()

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

override

Definition at line 278 of file tenorbasisswap.cpp.

                                                                     {
 
    static const Spread basisPoint = 1.0e-4;
    Swap::fetchResults(r);
 
    const TenorBasisSwap::results* results = dynamic_cast<const TenorBasisSwap::results*>(r);
 
    if (results) {
        fairSpread_ = results->fairSpread;
    } else {
        fairSpread_ = { Null<Spread>(),Null<Spread>() };
    }
 
    //non spread leg (idx 1) should be fine - no averaging or compounding
    if (fairSpread_[1] == Null<Spread>()) {
        if (legBPS_[1] != Null<Real>()) {
            double s = spreadOnRec_ ? recSpread_ : paySpread_;
            fairSpread_[1] = s - NPV_ / (legBPS_[1] / basisPoint);
        }
    }
 
    /* spread leg (idx 0) fair spread calculation ok if no averaging/compounding OR
       if there is averaging/compounding and the spread is added after */
    if (fairSpread_[0] == Null<Spread>()) {
        if (noSubPeriod_ || !includeSpread_) {
            if (legBPS_[0] != Null<Real>()) {
                double s = spreadOnRec_ ? paySpread_ : recSpread_;
                fairSpread_[0] = s - NPV_ / (legBPS_[0] / basisPoint);
            }
        } else {
            // Need the discount curve
            Handle<YieldTermStructure> discountCurve;
            QuantLib::ext::shared_ptr<DiscountingSwapEngine> engine =
                QuantLib::ext::dynamic_pointer_cast<DiscountingSwapEngine>(engine_);
            if (engine) {
                discountCurve = engine->discountCurve();
                // Calculate a guess
                Spread guess = 0.0;
                if (legBPS_[0] != Null<Real>()) {
                    double s = spreadOnRec_ ? paySpread_ : recSpread_;
                    guess = s - NPV_ / (legBPS_[0] / basisPoint);
                }
                // Attempt to solve for fair spread
                Spread step = 1e-4;
                Real accuracy = 1e-8;
                FairSpreadHelper f(*this, discountCurve, legNPV_[1]);
                Brent solver;
                fairSpread_[0] = solver.solve(f, accuracy, guess, step);
            }
        }
    }
}

initializeLegs()

void initializeLegs ( )

private

Definition at line 134 of file tenorbasisswap.cpp.

                                    {
 
    // Checks
    QL_REQUIRE(paySchedule_.tenor() >= payIndex_->tenor(), "Expected paySchedule tenor to exceed/equal payIndex tenor");
    QL_REQUIRE(recSchedule_.tenor() >= recIndex_->tenor(), "Expected recSchedule tenor to exceed/equal recIndex tenor");
 
    noSubPeriod_ = true;
 
    // pay leg
    QuantLib::ext::shared_ptr<OvernightIndex> payIndexON = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(payIndex_);
    Leg payLeg;
 
    if (payIndexON) {
        payLeg = OvernightLeg(paySchedule_, payIndexON)
                     .withNotionals(nominals_)
                     .withSpreads(paySpread_)
                     .withTelescopicValueDates(telescopicValueDates_);
    } else {
        if (paySchedule_.tenor() == payIndex_->tenor()) {
            payLeg = IborLeg(paySchedule_, payIndex_)
                         .withNotionals(nominals_)
                         .withSpreads(paySpread_)
                         .withPaymentAdjustment(payIndex_->businessDayConvention())
                         .withPaymentDayCounter(payIndex_->dayCounter())
                         .withPaymentCalendar(payIndexCalendar_);
        } else {
            if (!spreadOnRec_) {
                //if spread leg and no overnight, the leg may be a subperiod leg
                payLeg = QuantExt::SubPeriodsLeg1(paySchedule_, payIndex_)
                             .withNotionals(nominals_)
                             .withSpread(paySpread_)
                             .withPaymentAdjustment(payIndex_->businessDayConvention())
                             .withPaymentDayCounter(payIndex_->dayCounter())
                             .withPaymentCalendar(payIndexCalendar_)
                             .includeSpread(includeSpread_)
                             .withType(type_);
                noSubPeriod_ = false;
            } else {
                QL_FAIL(
                    "Pay Leg could not be created. Neither overnight nor schedule index tenor match nor spread leg.");
            } // spreadOnRec
        }     // paySchedule_.tenor() == payIndex_->tenor()
    }         // payIndexON
 
    // receive leg
    QuantLib::ext::shared_ptr<OvernightIndex> recIndexON = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(recIndex_);
    Leg recLeg;
 
    if (recIndexON) {
        recLeg = OvernightLeg(recSchedule_, recIndexON)
                     .withNotionals(nominals_)
                     .withSpreads(recSpread_)
                     .withTelescopicValueDates(telescopicValueDates_);
    } else {
        if (recSchedule_.tenor() == recIndex_->tenor()) {
            recLeg = IborLeg(recSchedule_, recIndex_)
                         .withNotionals(nominals_)
                         .withSpreads(recSpread_)
                         .withPaymentAdjustment(recIndex_->businessDayConvention())
                         .withPaymentDayCounter(recIndex_->dayCounter())
                         .withPaymentCalendar(recIndexCalendar_);
        } else {
            if (spreadOnRec_) {
                //if spread leg and no overnight, the leg may be a subperiod leg
                recLeg = QuantExt::SubPeriodsLeg1(recSchedule_, recIndex_)
                             .withNotionals(nominals_)
                             .withSpread(recSpread_)
                             .withPaymentAdjustment(recIndex_->businessDayConvention())
                             .withPaymentDayCounter(recIndex_->dayCounter())
                             .withPaymentCalendar(recIndexCalendar_)
                             .includeSpread(includeSpread_)
                             .withType(type_);
                noSubPeriod_ = false;
            } else {
                QL_FAIL(
                    "Rec Leg could not be created. Neither overnight nor schedule index tenor match nor spread leg.");
            } //!spreadOnRec
        } //recSchedule_.tenor() == recIndex_->tenor()
    } //recIndexON
 
    //Allocate leg idx : spread leg = 0
    idxPay_ = 0;
    idxRec_ = 1;
    if(spreadOnRec_){
        idxPay_ = 1;
        idxRec_ = 0;
    }
 
    payer_[idxPay_] = -1.0;
    payer_[idxRec_] = +1.0;
    legs_[idxPay_] = payLeg;
    legs_[idxRec_] = recLeg;
 
    // Register this instrument with its coupons
    Leg::const_iterator it;
    for (it = legs_[0].begin(); it != legs_[0].end(); ++it)
        registerWith(*it);
    for (it = legs_[1].begin(); it != legs_[1].end(); ++it)
        registerWith(*it);
 
 
}

Here is the call graph for this function:

Here is the caller graph for this function:

setupExpired()

void setupExpired ( ) const

overrideprivate

Definition at line 273 of file tenorbasisswap.cpp.

                                        {
    Swap::setupExpired();
    fairSpread_ = { Null<Spread>(),Null<Spread>() };
}

Member Data Documentation

nominals_

std::vector<Real> nominals_

private

Definition at line 102 of file tenorbasisswap.hpp.

paySchedule_

Schedule paySchedule_

private

Definition at line 104 of file tenorbasisswap.hpp.

payIndex_

QuantLib::ext::shared_ptr<IborIndex> payIndex_

private

Definition at line 105 of file tenorbasisswap.hpp.

paySpread_

Spread paySpread_

private

Definition at line 106 of file tenorbasisswap.hpp.

payFrequency_

Period payFrequency_

private

Definition at line 107 of file tenorbasisswap.hpp.

recSchedule_

Schedule recSchedule_

private

Definition at line 109 of file tenorbasisswap.hpp.

recIndex_

QuantLib::ext::shared_ptr<IborIndex> recIndex_

private

Definition at line 110 of file tenorbasisswap.hpp.

recSpread_

Spread recSpread_

private

Definition at line 111 of file tenorbasisswap.hpp.

recFrequency_

Period recFrequency_

private

Definition at line 112 of file tenorbasisswap.hpp.

includeSpread_

bool includeSpread_

private

Definition at line 114 of file tenorbasisswap.hpp.

spreadOnRec_

bool spreadOnRec_

private

Definition at line 115 of file tenorbasisswap.hpp.

type_

QuantExt::SubPeriodsCoupon1::Type type_

private

Definition at line 116 of file tenorbasisswap.hpp.

telescopicValueDates_

bool telescopicValueDates_

private

Definition at line 117 of file tenorbasisswap.hpp.

noSubPeriod_

bool noSubPeriod_

private

Definition at line 119 of file tenorbasisswap.hpp.

fairSpread_

std::vector<Spread> fairSpread_

mutableprivate

Definition at line 121 of file tenorbasisswap.hpp.

recIndexCalendar_

Calendar recIndexCalendar_

private

Definition at line 123 of file tenorbasisswap.hpp.

payIndexCalendar_

Calendar payIndexCalendar_

private

Definition at line 123 of file tenorbasisswap.hpp.

idxRec_

Size idxRec_

private

Definition at line 124 of file tenorbasisswap.hpp.

idxPay_

Size idxPay_

private

Definition at line 124 of file tenorbasisswap.hpp.