crossccybasisswap.hpp

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/*
 Copyright (C) 2016 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 crossccybasisswap.hpp
    \brief Cross currency basis swap instrument
 
        \ingroup instruments
*/
 
#ifndef quantext_cross_ccy_basis_swap_hpp
#define quantext_cross_ccy_basis_swap_hpp
 
#include <ql/indexes/iborindex.hpp>
#include <ql/time/schedule.hpp>
 
#include <qle/instruments/crossccyswap.hpp>
 
namespace QuantExt {
 
//! Cross currency basis swap
/*! The first leg holds the pay currency cashflows and second leg holds
    the receive currency cashflows.
 
            \ingroup instruments
*/
class CrossCcyBasisSwap : 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.
    */
    CrossCcyBasisSwap(
        Real payNominal, const Currency& payCurrency, const Schedule& paySchedule,
        const QuantLib::ext::shared_ptr<IborIndex>& payIndex, Spread paySpread, Real payGearing, Real recNominal,
        const Currency& recCurrency, const Schedule& recSchedule, const QuantLib::ext::shared_ptr<IborIndex>& recIndex,
        Spread recSpread, Real recGearing, Size payPaymentLag = 0, Size recPaymentLag = 0,
        boost::optional<bool> payIncludeSpread = boost::none, boost::optional<Period> payLookback = boost::none,
        boost::optional<Size> payFixingDays = boost::none, boost::optional<Size> payRateCutoff = boost::none,
        boost::optional<bool> payIsAveraged = boost::none, boost::optional<bool> recIncludeSpread = boost::none,
        boost::optional<Period> recLookback = boost::none, boost::optional<Size> recFixingDays = boost::none,
        boost::optional<Size> recRateCutoff = boost::none, boost::optional<bool> recIsAveraged = boost::none,
        const bool telescopicValueDates = false);
    //@}
    //! \name Instrument interface
    //@{
    void setupArguments(PricingEngine::arguments* args) const override;
    void fetchResults(const PricingEngine::results*) const override;
    //@}
    //! \name Inspectors
    //@{
    Real payNominal() const { return payNominal_; }
    const Currency& payCurrency() const { return payCurrency_; }
    const Schedule& paySchedule() const { return paySchedule_; }
    const QuantLib::ext::shared_ptr<IborIndex>& payIndex() const { return payIndex_; }
    Spread paySpread() const { return paySpread_; }
    Real payGearing() const { return payGearing_; }
 
    Real recNominal() const { return recNominal_; }
    const Currency& recCurrency() const { return recCurrency_; }
    const Schedule& recSchedule() const { return recSchedule_; }
    const QuantLib::ext::shared_ptr<IborIndex>& recIndex() const { return recIndex_; }
    Spread recSpread() const { return recSpread_; }
    Real recGearing() const { return recGearing_; }
    //@}
 
    //! \name Additional interface
    //@{
    Spread fairPaySpread() const {
        calculate();
        QL_REQUIRE(fairPaySpread_ != Null<Real>(), "Fair pay spread is not available");
        return fairPaySpread_;
    }
    Spread fairRecSpread() const {
        calculate();
        QL_REQUIRE(fairRecSpread_ != Null<Real>(), "Fair pay spread is not available");
        return fairRecSpread_;
    }
    //@}
 
protected:
    //! \name Instrument interface
    //@{
    void setupExpired() const override;
    //@}
 
private:
    void initialize();
 
    Real payNominal_;
    Currency payCurrency_;
    Schedule paySchedule_;
    QuantLib::ext::shared_ptr<IborIndex> payIndex_;
    Spread paySpread_;
    Real payGearing_;
 
    Real recNominal_;
    Currency recCurrency_;
    Schedule recSchedule_;
    QuantLib::ext::shared_ptr<IborIndex> recIndex_;
    Spread recSpread_;
    Real recGearing_;
 
    Size payPaymentLag_;
    Size recPaymentLag_;
    // OIS only
    boost::optional<bool> payIncludeSpread_;
    boost::optional<QuantLib::Period> payLookback_;
    boost::optional<QuantLib::Size> payFixingDays_;
    boost::optional<Size> payRateCutoff_;
    boost::optional<bool> payIsAveraged_;
    boost::optional<bool> recIncludeSpread_;
    boost::optional<QuantLib::Period> recLookback_;
    boost::optional<QuantLib::Size> recFixingDays_;
    boost::optional<Size> recRateCutoff_;
    boost::optional<bool> recIsAveraged_;
    bool telescopicValueDates_;
 
    mutable Spread fairPaySpread_;
    mutable Spread fairRecSpread_;
};
 
//! \ingroup instruments
class CrossCcyBasisSwap::arguments : public CrossCcySwap::arguments {
public:
    Spread paySpread;
    Spread recSpread;
    void validate() const override;
};
 
//! \ingroup instruments
class CrossCcyBasisSwap::results : public CrossCcySwap::results {
public:
    Spread fairPaySpread;
    Spread fairRecSpread;
    void reset() override;
};
} // namespace QuantExt
 
#endif