crossccyswap.cpp

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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.
*/
 
#include <qle/instruments/crossccyswap.hpp>
 
namespace QuantExt {
 
CrossCcySwap::CrossCcySwap(const Leg& firstLeg, const Currency& firstLegCcy, const Leg& secondLeg,
                           const Currency& secondLegCcy)
    : Swap(firstLeg, secondLeg) {
    currencies_.resize(2);
    currencies_[0] = firstLegCcy;
    currencies_[1] = secondLegCcy;
}
 
CrossCcySwap::CrossCcySwap(const std::vector<Leg>& legs, const std::vector<bool>& payer,
                           const std::vector<Currency>& currencies)
    : Swap(legs, payer), currencies_(currencies) {
    QL_REQUIRE(payer.size() == currencies_.size(), "Size mismatch "
                                                   "between payer ("
                                                       << payer.size() << ") and currencies (" << currencies_.size()
                                                       << ")");
}
 
CrossCcySwap::CrossCcySwap(Size legs)
    : Swap(legs), currencies_(legs), inCcyLegNPV_(legs, 0.0), inCcyLegBPS_(legs, 0.0), npvDateDiscounts_(legs, 0.0) {}
 
void CrossCcySwap::setupArguments(PricingEngine::arguments* args) const {
 
    Swap::setupArguments(args);
 
    CrossCcySwap::arguments* arguments = dynamic_cast<CrossCcySwap::arguments*>(args);
    QL_REQUIRE(arguments, "The arguments are not of type "
                          "cross currency swap");
 
    arguments->currencies = currencies_;
}
 
void CrossCcySwap::fetchResults(const PricingEngine::results* r) const {
 
    Swap::fetchResults(r);
 
    const CrossCcySwap::results* results = dynamic_cast<const CrossCcySwap::results*>(r);
    QL_REQUIRE(results, "The results are not of type "
                        "cross currency swap");
 
    if (!results->inCcyLegNPV.empty()) {
        QL_REQUIRE(results->inCcyLegNPV.size() == inCcyLegNPV_.size(),
                   "Wrong number of in currency leg NPVs returned by engine");
        inCcyLegNPV_ = results->inCcyLegNPV;
    } else {
        std::fill(inCcyLegNPV_.begin(), inCcyLegNPV_.end(), Null<Real>());
    }
 
    if (!results->inCcyLegBPS.empty()) {
        QL_REQUIRE(results->inCcyLegBPS.size() == inCcyLegBPS_.size(),
                   "Wrong number of in currency leg BPSs returned by engine");
        inCcyLegBPS_ = results->inCcyLegBPS;
    } else {
        std::fill(inCcyLegBPS_.begin(), inCcyLegBPS_.end(), Null<Real>());
    }
 
    if (!results->npvDateDiscounts.empty()) {
        QL_REQUIRE(results->npvDateDiscounts.size() == npvDateDiscounts_.size(),
                   "Wrong number of npv date discounts returned by engine");
        npvDateDiscounts_ = results->npvDateDiscounts;
    } else {
        std::fill(npvDateDiscounts_.begin(), npvDateDiscounts_.end(), Null<DiscountFactor>());
    }
}
 
void CrossCcySwap::setupExpired() const {
    Swap::setupExpired();
    std::fill(inCcyLegBPS_.begin(), inCcyLegBPS_.end(), 0.0);
    std::fill(inCcyLegNPV_.begin(), inCcyLegNPV_.end(), 0.0);
    std::fill(npvDateDiscounts_.begin(), npvDateDiscounts_.end(), 0.0);
}
 
void CrossCcySwap::arguments::validate() const {
    Swap::arguments::validate();
    QL_REQUIRE(legs.size() == currencies.size(), "Number of legs is not equal to number of currencies");
}
 
void CrossCcySwap::results::reset() {
    Swap::results::reset();
    inCcyLegNPV.clear();
    inCcyLegBPS.clear();
    npvDateDiscounts.clear();
}
} // namespace QuantExt