crossccybasismtmresetswap.hpp

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/*
 Copyright (C) 2018 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file crossccybasismtmresetswap.hpp
    \brief Cross currency basis swap instrument with MTM reset
    \ingroup instruments
*/
 
#ifndef quantext_cross_ccy_basis_mtmreset_swap_hpp
#define quantext_cross_ccy_basis_mtmreset_swap_hpp
 
#include <ql/indexes/iborindex.hpp>
#include <ql/time/schedule.hpp>
 
#include <qle/indexes/fxindex.hpp>
#include <qle/instruments/crossccyswap.hpp>
 
namespace QuantExt {
 
//! Cross currency basis MtM resettable swap
/*! The foreign leg holds the pay currency cashflows and domestic leg holds
    the receive currency cashflows. The notional resets are applied to the
    domestic leg.
 
            \ingroup instruments
*/
class CrossCcyBasisMtMResetSwap : public CrossCcySwap {
public:
    class arguments;
    class results;
    //! \name Constructors
    //@{
    /*! First leg holds the pay currency cashflows and the second leg
        holds the receive currency cashflows.
    */
    CrossCcyBasisMtMResetSwap(
        Real foreignNominal, const Currency& foreignCurrency, const Schedule& foreignSchedule,
        const QuantLib::ext::shared_ptr<IborIndex>& foreignIndex, Spread foreignSpread, const Currency& domesticCurrency,
        const Schedule& domesticSchedule, const QuantLib::ext::shared_ptr<IborIndex>& domesticIndex, Spread domesticSpread,
        const QuantLib::ext::shared_ptr<FxIndex>& fxIdx, bool receiveDomestic = true, Size foreignPaymentLag = 0,
        Size recPaymentLag = 0, boost::optional<bool> foreignIncludeSpread = boost::none,
        boost::optional<Period> foreignLookback = boost::none, boost::optional<Size> foreignFixingDays = boost::none,
        boost::optional<Size> foreignRateCutoff = boost::none, boost::optional<bool> foreignIsAveraged = boost::none,
        boost::optional<bool> domesticIncludeSpread = boost::none,
        boost::optional<Period> domesticLookback = boost::none, boost::optional<Size> domesticFixingDays = boost::none,
        boost::optional<Size> domesticRateCutoff = boost::none, boost::optional<bool> domesticIsAveraged = boost::none,
        const bool telescopicValueDates = false,
    bool fairSpreadLegIsForeign = true);
    //@}
    //! \name Instrument interface
    //@{
    void setupArguments(PricingEngine::arguments* args) const override;
    void fetchResults(const PricingEngine::results*) const override;
    //@}
    //! \name Inspectors
    //@{
    Real foreignNominal() const { return foreignNominal_; }
    const Currency& foreignCurrency() const { return foreignCurrency_; }
    const Schedule& foreignSchedule() const { return foreignSchedule_; }
    const QuantLib::ext::shared_ptr<IborIndex>& foreignIndex() const { return foreignIndex_; }
    Spread foreignSpread() const { return foreignSpread_; }
 
    const Currency& domesticCurrency() const { return domesticCurrency_; }
    const Schedule& domesticSchedule() const { return domesticSchedule_; }
    const QuantLib::ext::shared_ptr<IborIndex>& domesticIndex() const { return domesticIndex_; }
    Spread domesticSpread() const { return domesticSpread_; }
    //@}
 
    //! \name Additional interface
    //@{
    Spread fairForeignSpread() const {
        calculate();
        QL_REQUIRE(fairForeignSpread_ != Null<Real>(), "Fair foreign spread is not available");
        return fairForeignSpread_;
    }
    Spread fairDomesticSpread() const {
        calculate();
        QL_REQUIRE(fairDomesticSpread_ != Null<Real>(), "Fair domestic spread is not available");
        return fairDomesticSpread_;
    }
    Spread fairSpread() const {
        if (fairSpreadLegIsForeign_)
        return fairForeignSpread();
    else
        return fairDomesticSpread();
    }
    //@}
 
protected:
    //! \name Instrument interface
    //@{
    void setupExpired() const override;
    //@}
 
private:
    void initialize();
 
    Real foreignNominal_;
    Currency foreignCurrency_;
    Schedule foreignSchedule_;
    QuantLib::ext::shared_ptr<IborIndex> foreignIndex_;
    Spread foreignSpread_;
 
    Currency domesticCurrency_;
    Schedule domesticSchedule_;
    QuantLib::ext::shared_ptr<IborIndex> domesticIndex_;
    Spread domesticSpread_;
 
    QuantLib::ext::shared_ptr<FxIndex> fxIndex_;
    bool receiveDomestic_;
 
    Size foreignPaymentLag_;
    Size domesticPaymentLag_;
    // OIS only
    boost::optional<bool> foreignIncludeSpread_;
    boost::optional<QuantLib::Period> foreignLookback_;
    boost::optional<QuantLib::Size> foreignFixingDays_;
    boost::optional<Size> foreignRateCutoff_;
    boost::optional<bool> foreignIsAveraged_;
    boost::optional<bool> domesticIncludeSpread_;
    boost::optional<QuantLib::Period> domesticLookback_;
    boost::optional<QuantLib::Size> domesticFixingDays_;
    boost::optional<Size> domesticRateCutoff_;
    boost::optional<bool> domesticIsAveraged_;
    bool telescopicValueDates_;
    bool fairSpreadLegIsForeign_;
 
    mutable Spread fairForeignSpread_;
    mutable Spread fairDomesticSpread_;
};
 
//! \ingroup instruments
class CrossCcyBasisMtMResetSwap::arguments : public CrossCcySwap::arguments {
public:
    Spread foreignSpread;
    Spread domesticSpread;
    void validate() const override;
};
 
//! \ingroup instruments
class CrossCcyBasisMtMResetSwap::results : public CrossCcySwap::results {
public:
    Spread fairForeignSpread;
    Spread fairDomesticSpread;
    void reset() override;
};
} // namespace QuantExt
 
#endif