crossccyswap.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 crossccyswap.hpp
    \brief Swap instrument with legs involving two currencies
 
        \ingroup instruments
*/
 
#ifndef quantext_cross_ccy_swap_hpp
#define quantext_cross_ccy_swap_hpp
 
#include <ql/currency.hpp>
#include <ql/instruments/swap.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
//! Cross currency swap
/*! The first leg holds the pay currency cashflows and second leg holds
    the receive currency cashflows.
 
            \ingroup instruments
*/
class CrossCcySwap : public QuantLib::Swap {
public:
    class arguments;
    class results;
    class engine;
    //! \name Constructors
    //@{
    //! First leg is paid and the second is received.
    CrossCcySwap(const Leg& firstLeg, const Currency& firstLegCcy, const Leg& secondLeg, const Currency& secondLegCcy);
    /*! Multi leg constructor. */
    CrossCcySwap(const std::vector<Leg>& legs, const std::vector<bool>& payer, const std::vector<Currency>& currencies);
    //@}
    //! \name Instrument interface
    //@{
    void setupArguments(PricingEngine::arguments* args) const override;
    void fetchResults(const PricingEngine::results*) const override;
    //@}
    //! \name Additional interface
    //@{
    const Currency& legCurrency(Size j) const {
        QL_REQUIRE(j < legs_.size(), "leg# " << j << " doesn't exist!");
        return currencies_[j];
    }
    Real inCcyLegBPS(Size j) const {
        QL_REQUIRE(j < legs_.size(), "leg# " << j << " doesn't exist!");
        calculate();
        return inCcyLegBPS_[j];
    }
    Real inCcyLegNPV(Size j) const {
        QL_REQUIRE(j < legs_.size(), "leg #" << j << " doesn't exist!");
        calculate();
        return inCcyLegNPV_[j];
    }
    DiscountFactor npvDateDiscounts(Size j) const {
        QL_REQUIRE(j < legs_.size(), "leg #" << j << " doesn't exist!");
        calculate();
        return npvDateDiscounts_[j];
    }
    //@}
protected:
    //! \name Constructors
    //@{
    /*! This constructor can be used by derived classes that will
        build their legs themselves.
    */
    CrossCcySwap(Size legs);
    //@}
    //! \name Instrument interface
    //@{
    void setupExpired() const override;
    //@}
 
    std::vector<Currency> currencies_;
 
private:
    mutable std::vector<Real> inCcyLegNPV_;
    mutable std::vector<Real> inCcyLegBPS_;
    mutable std::vector<DiscountFactor> npvDateDiscounts_;
};
 
//! \ingroup instruments
class CrossCcySwap::arguments : public Swap::arguments {
public:
    std::vector<Currency> currencies;
    void validate() const override;
};
 
//! \ingroup instruments
class CrossCcySwap::results : public Swap::results {
public:
    std::vector<Real> inCcyLegNPV;
    std::vector<Real> inCcyLegBPS;
    std::vector<DiscountFactor> npvDateDiscounts;
    void reset() override;
};
 
//! \ingroup instruments
class CrossCcySwap::engine : public GenericEngine<CrossCcySwap::arguments, CrossCcySwap::results> {};
} // namespace QuantExt
 
#endif