subperiodcoupon.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Toyin Akin
 Copyright (C) 2021 Marcin Rybacki
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file subperiodcoupon.hpp
    \brief averaging coupons
*/
 
#ifndef quantlib_sub_period_coupon_hpp
#define quantlib_sub_period_coupon_hpp
 
#include <ql/cashflows/couponpricer.hpp>
#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/cashflows/rateaveraging.hpp>
#include <ql/time/schedule.hpp>
#include <vector>
 
namespace QuantLib {
 
    class IborIndex;
 
    //! sub-periods coupon
    /*! %Coupon paying the interest, depending on the averaging convention,
        due to possible multiple fixing resets in one accrual period.
    */
    class SubPeriodsCoupon: public FloatingRateCoupon {
      public:
          // The index object passed in has a tenor significantly less than the
          // start/end dates.
          // Thus endDate-startDate may equal 3M
          // The Tenor used within the index object should be 1M for
          // averaging/compounding across three coupons within the
          // coupon period.
        SubPeriodsCoupon(const Date& paymentDate,
                         Real nominal,
                         const Date& startDate,
                         const Date& endDate,
                         Natural fixingDays,
                         const ext::shared_ptr<IborIndex>& index,
                         Real gearing = 1.0,
                         Rate couponSpread = 0.0, // Spread added to the computed
                                                  // averaging/compounding rate.
                         Rate rateSpread = 0.0,   // Spread to be added onto each
                                                  // fixing within the
                                                  // averaging/compounding calculation
                         const Date& refPeriodStart = Date(),
                         const Date& refPeriodEnd = Date(),
                         const DayCounter& dayCounter = DayCounter(),
                         const Date& exCouponDate = Date());
 
        //! \name Inspectors
        //@{
        //! fixing dates for the rates to be compounded
        const std::vector<Date>& fixingDates() const { return fixingDates_; }
        //! accrual (compounding) periods
        const std::vector<Time>& dt() const { return dt_; }
        //! value dates for the rates to be compounded
        const std::vector<Date>& valueDates() const { return valueDates_; }
        //! rate spread
        Spread rateSpread() const { return rateSpread_; }
        //@}
        //! \name FloatingRateCoupon interface
        //@{
        //! the date when the coupon is fully determined
        Date fixingDate() const override { return fixingDates_.back(); }
        //@}
        //! \name Visitability
        //@{
        void accept(AcyclicVisitor&) override;
        //@}
      private:
        Date fixingDate(const Date& valueDate) const;
 
        std::vector<Date> valueDates_, fixingDates_;
        Size n_;
        std::vector<Time> dt_;
        Rate rateSpread_;
    };
 
    class SubPeriodsPricer: public FloatingRateCouponPricer {
      public:
        Rate swapletPrice() const override;
        Real capletPrice(Rate effectiveCap) const override;
        Rate capletRate(Rate effectiveCap) const override;
        Real floorletPrice(Rate effectiveFloor) const override;
        Rate floorletRate(Rate effectiveFloor) const override;
        void initialize(const FloatingRateCoupon& coupon) override;
 
      protected:
        const SubPeriodsCoupon* coupon_;
        std::vector<Real> subPeriodFixings_;
    };
 
    class AveragingRatePricer: public SubPeriodsPricer {
      public:
        Real swapletRate() const override;
    };
 
    class CompoundingRatePricer: public SubPeriodsPricer {
      public:
        Real swapletRate() const override;
    };
 
    //! helper class building a sequence of overnight coupons
    class SubPeriodsLeg {
      public:
        SubPeriodsLeg(Schedule schedule, ext::shared_ptr<IborIndex> index);
        SubPeriodsLeg& withNotionals(Real notional);
        SubPeriodsLeg& withNotionals(const std::vector<Real>& notionals);
        SubPeriodsLeg& withPaymentDayCounter(const DayCounter&);
        SubPeriodsLeg& withPaymentAdjustment(BusinessDayConvention);
        SubPeriodsLeg& withPaymentCalendar(const Calendar&);
        SubPeriodsLeg& withPaymentLag(Integer lag);
        SubPeriodsLeg& withFixingDays(Natural fixingDays);
        SubPeriodsLeg& withFixingDays(const std::vector<Natural>& fixingDays);
        SubPeriodsLeg& withGearings(Real gearing);
        SubPeriodsLeg& withGearings(const std::vector<Real>& gearings);
        SubPeriodsLeg& withCouponSpreads(Spread spread);
        SubPeriodsLeg& withCouponSpreads(const std::vector<Spread>& spreads);
        SubPeriodsLeg& withRateSpreads(Spread spread);
        SubPeriodsLeg& withRateSpreads(const std::vector<Spread>& spreads);
        SubPeriodsLeg& withExCouponPeriod(const Period&,
                                          const Calendar&,
                                          BusinessDayConvention,
                                          bool endOfMonth = false);
        SubPeriodsLeg& withAveragingMethod(RateAveraging::Type averagingMethod);
        operator Leg() const;
 
      private:
        Schedule schedule_;
        ext::shared_ptr<IborIndex> index_;
        std::vector<Real> notionals_;
        DayCounter paymentDayCounter_;
        Calendar paymentCalendar_;
        BusinessDayConvention paymentAdjustment_ = Following;
        Integer paymentLag_ = 0;
        std::vector<Natural> fixingDays_;
        std::vector<Real> gearings_;
        std::vector<Spread> couponSpreads_;
        std::vector<Spread> rateSpreads_;
        RateAveraging::Type averagingMethod_ = RateAveraging::Compound;
        Period exCouponPeriod_;
        Calendar exCouponCalendar_;
        BusinessDayConvention exCouponAdjustment_ = Unadjusted;
        bool exCouponEndOfMonth_ = false;
    };
}
 
#endif