discountingswapengine.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007, 2009 StatPro Italia srl
 Copyright (C) 2011 Ferdinando Ametrano
 
 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.
*/
 
#include <ql/cashflows/cashflows.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/optional.hpp>
#include <utility>
 
namespace QuantLib {
 
    DiscountingSwapEngine::DiscountingSwapEngine(
        Handle<YieldTermStructure> discountCurve,
        const ext::optional<bool>& includeSettlementDateFlows,
        Date settlementDate,
        Date npvDate)
    : discountCurve_(std::move(discountCurve)),
      includeSettlementDateFlows_(includeSettlementDateFlows), settlementDate_(settlementDate),
      npvDate_(npvDate) {
        registerWith(discountCurve_);
    }
 
    void DiscountingSwapEngine::calculate() const {
        QL_REQUIRE(!discountCurve_.empty(),
                   "discounting term structure handle is empty");
 
        results_.value = 0.0;
        results_.errorEstimate = Null<Real>();
 
        Date refDate = discountCurve_->referenceDate();
 
        Date settlementDate = settlementDate_;
        if (settlementDate_==Date()) {
            settlementDate = refDate;
        } else {
            QL_REQUIRE(settlementDate>=refDate,
                       "settlement date (" << settlementDate << ") before "
                       "discount curve reference date (" << refDate << ")");
        }
 
        results_.valuationDate = npvDate_;
        if (npvDate_==Date()) {
            results_.valuationDate = refDate;
        } else {
            QL_REQUIRE(npvDate_>=refDate,
                       "npv date (" << npvDate_  << ") before "
                       "discount curve reference date (" << refDate << ")");
        }
        results_.npvDateDiscount = discountCurve_->discount(results_.valuationDate);
 
        Size n = arguments_.legs.size();
        results_.legNPV.resize(n);
        results_.legBPS.resize(n);
        results_.startDiscounts.resize(n);
        results_.endDiscounts.resize(n);
 
        bool includeRefDateFlows = includeSettlementDateFlows_ ? // NOLINT(readability-implicit-bool-conversion)
                                       *includeSettlementDateFlows_ :
                                       Settings::instance().includeReferenceDateEvents();
 
        for (Size i=0; i<n; ++i) {
            try {
                const YieldTermStructure& discount_ref = **discountCurve_;
                std::tie(results_.legNPV[i], results_.legBPS[i]) =
                    CashFlows::npvbps(arguments_.legs[i],
                                      discount_ref,
                                      includeRefDateFlows,
                                      settlementDate,
                                      results_.valuationDate);
                results_.legNPV[i] *= arguments_.payer[i];
                results_.legBPS[i] *= arguments_.payer[i];
 
                if (!arguments_.legs[i].empty()) {
                    Date d1 = CashFlows::startDate(arguments_.legs[i]);
                    if (d1>=refDate)
                        results_.startDiscounts[i] = discountCurve_->discount(d1);
                    else
                        results_.startDiscounts[i] = Null<DiscountFactor>();
 
                    Date d2 = CashFlows::maturityDate(arguments_.legs[i]);
                    if (d2>=refDate)
                        results_.endDiscounts[i] = discountCurve_->discount(d2);
                    else
                        results_.endDiscounts[i] = Null<DiscountFactor>();
                } else {
                    results_.startDiscounts[i] = Null<DiscountFactor>();
                    results_.endDiscounts[i] = Null<DiscountFactor>();
                }
 
            } catch (std::exception &e) {
                QL_FAIL(io::ordinal(i+1) << " leg: " << e.what());
            }
            results_.value += results_.legNPV[i];
        }
    }
 
}