equitytotalreturnswap.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2023 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.
 */
 
#ifndef quantlib_equitytotalreturnswap_hpp
#define quantlib_equitytotalreturnswap_hpp
 
#include <ql/instruments/swap.hpp>
#include <ql/time/schedule.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>
 
namespace QuantLib {
    class InterestRateIndex;
    class IborIndex;
    class OvernightIndex;
    class EquityIndex;
 
 
    class EquityTotalReturnSwap : public Swap {
      public:
        EquityTotalReturnSwap(Type type,
                              Real nominal,
                              Schedule schedule,
                              ext::shared_ptr<EquityIndex> equityIndex,
                              const ext::shared_ptr<IborIndex>& interestRateIndex,
                              DayCounter dayCounter,
                              Rate margin,
                              Real gearing = 1.0,
                              Calendar paymentCalendar = Calendar(),
                              BusinessDayConvention paymentConvention = Unadjusted,
                              Natural paymentDelay = 0);
 
        EquityTotalReturnSwap(Type type,
                              Real nominal,
                              Schedule schedule,
                              ext::shared_ptr<EquityIndex> equityIndex,
                              const ext::shared_ptr<OvernightIndex>& interestRateIndex,
                              DayCounter dayCounter,
                              Rate margin,
                              Real gearing = 1.0,
                              Calendar paymentCalendar = Calendar(),
                              BusinessDayConvention paymentConvention = Unadjusted,
                              Natural paymentDelay = 0);
 
 
        Type type() const { return type_; }
        Real nominal() const { return nominal_; }
        const ext::shared_ptr<EquityIndex>& equityIndex() const { return equityIndex_; } 
        const ext::shared_ptr<InterestRateIndex>& interestRateIndex() const { return interestRateIndex_; }
        const Schedule& schedule() const { return schedule_; }
        const DayCounter& dayCounter() const { return dayCounter_; }
        Rate margin() const { return margin_; }
        Real gearing() const { return gearing_; }
        const Calendar& paymentCalendar() const { return paymentCalendar_; }
        BusinessDayConvention paymentConvention() const { return paymentConvention_; }
        Natural paymentDelay() const { return paymentDelay_; }
 
        const Leg& equityLeg() const;
        const Leg& interestRateLeg() const;
 
 
        Real equityLegNPV() const;
        Real interestRateLegNPV() const;
        Real fairMargin() const;
 
      private:
        EquityTotalReturnSwap(ext::shared_ptr<EquityIndex> equityIndex,
                              ext::shared_ptr<InterestRateIndex> interestRateIndex,
                              Type type,
                              Real nominal,
                              Schedule schedule,
                              DayCounter dayCounter,
                              Rate margin,
                              Real gearing = 1.0,
                              Calendar paymentCalendar = Calendar(),
                              BusinessDayConvention paymentConvention = Unadjusted,
                              Natural paymentDelay = 0);
 
        ext::shared_ptr<EquityIndex> equityIndex_;
        ext::shared_ptr<InterestRateIndex> interestRateIndex_;
        Type type_;
        Real nominal_;
        Schedule schedule_;
        DayCounter dayCounter_;
        Rate margin_;
        Real gearing_;
        Calendar paymentCalendar_;
        BusinessDayConvention paymentConvention_;
        Natural paymentDelay_;
    };
}
 
#endif