crossccyfixfloatmtmresetswaphelper.cpp

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/*
 Copyright (C) 2021 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.
*/
#include <boost/make_shared.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/utilities/null_deleter.hpp>
#include <qle/pricingengines/crossccyswapengine.hpp>
#include <qle/termstructures/crossccyfixfloatmtmresetswaphelper.hpp>
 
namespace QuantExt {
 
CrossCcyFixFloatMtMResetSwapHelper::CrossCcyFixFloatMtMResetSwapHelper(
    const Handle<Quote>& rate, const Handle<Quote>& spotFx, Natural settlementDays, const Calendar& paymentCalendar,
    BusinessDayConvention paymentConvention, const Period& tenor, const Currency& fixedCurrency,
    Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter& fixedDayCount,
    const QuantLib::ext::shared_ptr<IborIndex>& index, const Handle<YieldTermStructure>& floatDiscount,
    const Handle<Quote>& spread, bool endOfMonth, bool resetsOnFloatLeg)
    : RelativeDateRateHelper(rate), spotFx_(spotFx), settlementDays_(settlementDays), paymentCalendar_(paymentCalendar),
    paymentConvention_(paymentConvention), tenor_(tenor), fixedCurrency_(fixedCurrency),
    fixedFrequency_(fixedFrequency), fixedConvention_(fixedConvention), fixedDayCount_(fixedDayCount), index_(index),
    floatDiscount_(floatDiscount), spread_(spread), endOfMonth_(endOfMonth), resetsOnFloatLeg_(resetsOnFloatLeg){
 
    QL_REQUIRE(!spotFx_.empty(), "Spot FX quote cannot be empty.");
    QL_REQUIRE(fixedCurrency_ != index_->currency(), "Fixed currency should not equal float leg currency.");
 
    registerWith(spotFx_);
    registerWith(index_);
    registerWith(floatDiscount_);
    registerWith(spread_);
 
    initializeDates();
}
 
void CrossCcyFixFloatMtMResetSwapHelper::initializeDates() {
 
    // Swap start and end
    Date referenceDate = evaluationDate_ = Settings::instance().evaluationDate();
    referenceDate = paymentCalendar_.adjust(referenceDate);
    Date start = paymentCalendar_.advance(referenceDate, settlementDays_ * Days);
    Date end = start + tenor_;
 
    // Fixed schedule
    Schedule fixedSchedule(start, end, Period(fixedFrequency_), paymentCalendar_, fixedConvention_, fixedConvention_,
        DateGeneration::Backward, endOfMonth_);
 
    // Float schedule
    Schedule floatSchedule(start, end, index_->tenor(), paymentCalendar_, paymentConvention_, paymentConvention_,
        DateGeneration::Backward, endOfMonth_);
 
    Real nominal = 1.0;
 
    // build an FX index for forward rate projection (TODO - review settlement and calendar)
    Natural paymentLag = 0;
    Spread floatSpread = spread_.empty() ? 0.0 : spread_->value();
    QuantLib::ext::shared_ptr<FxIndex> fxIdx;
    if (resetsOnFloatLeg_) {
        fxIdx = QuantLib::ext::make_shared<FxIndex>("dummy", settlementDays_, fixedCurrency_, index_->currency(),  paymentCalendar_,
            spotFx_, termStructureHandle_, floatDiscount_);
    } else {
        fxIdx = QuantLib::ext::make_shared<FxIndex>("dummy", settlementDays_, index_->currency(), fixedCurrency_, paymentCalendar_,
            spotFx_, floatDiscount_, termStructureHandle_);
    }
 
    swap_ = QuantLib::ext::make_shared<CrossCcyFixFloatMtMResetSwap>(nominal, fixedCurrency_, fixedSchedule, 0.0, fixedDayCount_, paymentConvention_,
        paymentLag, paymentCalendar_, index_->currency(), floatSchedule, index_, floatSpread, paymentConvention_,
        paymentLag, paymentCalendar_, fxIdx, resetsOnFloatLeg_);
 
    // Attach engine
    QuantLib::ext::shared_ptr<PricingEngine> engine = QuantLib::ext::make_shared<CrossCcySwapEngine>(
        fixedCurrency_, termStructureHandle_, index_->currency(), floatDiscount_, spotFx_);
    swap_->setPricingEngine(engine);
 
    earliestDate_ = swap_->startDate();
    latestDate_ = swap_->maturityDate();
 
    /* May need to adjust latestDate_ if you are projecting libor based
        on tenor length rather than from accrual date to accrual date. */
    if (!IborCoupon::Settings::instance().usingAtParCoupons()) {
        Size numCashflows = swap_->leg(1).size();
        Date endDate = latestDate_;
        if (numCashflows > 0) {
            for(Size i = numCashflows; i > 0; i--) {
                Size pos = i - 1;
                QuantLib::ext::shared_ptr<FloatingRateCoupon> lastFloating =
                    QuantLib::ext::dynamic_pointer_cast<FloatingRateCoupon>(swap_->leg(1)[pos]);
                if (!lastFloating)
                    continue;
                else {
                    Date fixingValueDate = index_->valueDate(lastFloating->fixingDate());
                    endDate = index_->maturityDate(fixingValueDate);
                    Date endValueDate = index_->maturityDate(fixingValueDate);
                    latestDate_ = std::max(latestDate_, endValueDate);
                    break;
                }
            }
        }
    }
}
 
void CrossCcyFixFloatMtMResetSwapHelper::setTermStructure(YieldTermStructure* t) {
    QuantLib::ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());
    termStructureHandle_.linkTo(temp, false);
    RelativeDateRateHelper::setTermStructure(t);
}
void CrossCcyFixFloatMtMResetSwapHelper::update() {
    // Maybe FX spot quote or spread quote changed
    if (!close(spotFx_->value(), swap_->nominal()) ||
        (!spread_.empty() && !close(spread_->value(), swap_->floatSpread()))) {
        initializeDates();
    }
 
    // Maybe evaluation date changed. RelativeDateRateHelper will take care of this
    // Note: if initializeDates() was called in above if statement, it will not be called
    // again in RelativeDateRateHelper::update() because evaluationDate_ is set in
    // initializeDates(). So, redundant instrument builds are avoided.
    RelativeDateRateHelper::update();
}
 
Real CrossCcyFixFloatMtMResetSwapHelper::impliedQuote() const {
    QL_REQUIRE(termStructure_, "Term structure needs to be set");
    swap_->deepUpdate();
    return swap_->fairFixedRate();
}
 
void CrossCcyFixFloatMtMResetSwapHelper::accept(AcyclicVisitor& v) {
    Visitor<CrossCcyFixFloatMtMResetSwapHelper>* v1 = dynamic_cast<Visitor<CrossCcyFixFloatMtMResetSwapHelper>*>(&v);
    if (v1)
        v1->visit(*this);
    else
        RateHelper::accept(v);
}
} // namespace QuantExt