fixedratecoupon.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2007 StatPro Italia srl
 Copyright (C) 2007 Piter Dias
 Copyright (C) 2010 Ferdinando Ametrano
 Copyright (C) 2017 Joseph Jeisman
 Copyright (C) 2017 Fabrice Lecuyer
 
 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/fixedratecoupon.hpp>
#include <utility>
 
using std::vector;
 
namespace QuantLib {
 
    FixedRateCoupon::FixedRateCoupon(const Date& paymentDate,
                                     Real nominal,
                                     Rate rate,
                                     const DayCounter& dayCounter,
                                     const Date& accrualStartDate,
                                     const Date& accrualEndDate,
                                     const Date& refPeriodStart,
                                     const Date& refPeriodEnd,
                                     const Date& exCouponDate)
    : Coupon(paymentDate, nominal, accrualStartDate, accrualEndDate,
             refPeriodStart, refPeriodEnd, exCouponDate),
      rate_(InterestRate(rate, dayCounter, Simple, Annual)) {}
 
    FixedRateCoupon::FixedRateCoupon(const Date& paymentDate,
                                     Real nominal,
                                     InterestRate interestRate,
                                     const Date& accrualStartDate,
                                     const Date& accrualEndDate,
                                     const Date& refPeriodStart,
                                     const Date& refPeriodEnd,
                                     const Date& exCouponDate)
    : Coupon(paymentDate,
             nominal,
             accrualStartDate,
             accrualEndDate,
             refPeriodStart,
             refPeriodEnd,
             exCouponDate),
      rate_(std::move(interestRate)) {}
 
    Real FixedRateCoupon::amount() const {
        calculate();
        return amount_;
    }
 
    void FixedRateCoupon::performCalculations() const {
        amount_ = nominal() * (rate_.compoundFactor(accrualStartDate_, accrualEndDate_,
                                                    refPeriodStart_, refPeriodEnd_) -
                               1.0);
    }
 
    Real FixedRateCoupon::accruedAmount(const Date& d) const {
        if (d <= accrualStartDate_ || d > paymentDate_) {
            // out of coupon range
            return 0.0;
        } else if (tradingExCoupon(d)) {
            return -nominal()*(rate_.compoundFactor(d,
                                                    std::max(d, accrualEndDate_),
                                                    refPeriodStart_,
                                                    refPeriodEnd_) - 1.0);
        } else {
            // usual case
            return nominal()*(rate_.compoundFactor(accrualStartDate_,
                                                   std::min(d,accrualEndDate_),
                                                   refPeriodStart_,
                                                   refPeriodEnd_) - 1.0);
        }
    }
 
 
    FixedRateLeg::FixedRateLeg(const Schedule& schedule)
    : schedule_(schedule), paymentCalendar_(schedule.calendar()) {}
 
    FixedRateLeg& FixedRateLeg::withNotionals(Real notional) {
        notionals_ = vector<Real>(1,notional);
        return *this;
    }
 
    FixedRateLeg& FixedRateLeg::withNotionals(const vector<Real>& notionals) {
        notionals_ = notionals;
        return *this;
    }
 
    FixedRateLeg& FixedRateLeg::withCouponRates(Rate rate,
                                                const DayCounter& dc,
                                                Compounding comp,
                                                Frequency freq) {
        couponRates_.resize(1);
        couponRates_[0] = InterestRate(rate, dc, comp, freq);
        return *this;
    }
 
    FixedRateLeg& FixedRateLeg::withCouponRates(const InterestRate& i) {
        couponRates_.resize(1);
        couponRates_[0] = i;
        return *this;
    }
 
    FixedRateLeg& FixedRateLeg::withCouponRates(const vector<Rate>& rates,
                                                const DayCounter& dc,
                                                Compounding comp,
                                                Frequency freq) {
        couponRates_.resize(rates.size());
        for (Size i=0; i<rates.size(); ++i)
            couponRates_[i] = InterestRate(rates[i], dc, comp, freq);
        return *this;
    }
 
    FixedRateLeg& FixedRateLeg::withCouponRates(
                                const vector<InterestRate>& interestRates) {
        couponRates_ = interestRates;
        return *this;
    }
 
    FixedRateLeg& FixedRateLeg::withPaymentAdjustment(
                                           BusinessDayConvention convention) {
        paymentAdjustment_ = convention;
        return *this;
    }
 
    FixedRateLeg& FixedRateLeg::withFirstPeriodDayCounter(
                                            const DayCounter& dayCounter) {
        firstPeriodDC_ = dayCounter;
        return *this;
    }
 
    FixedRateLeg& FixedRateLeg::withLastPeriodDayCounter(
                                               const DayCounter& dayCounter) {
        lastPeriodDC_ = dayCounter;
        return *this;
    }
 
    FixedRateLeg& FixedRateLeg::withPaymentCalendar(const Calendar& cal) {
        paymentCalendar_ = cal;
        return *this;
    }
 
    FixedRateLeg& FixedRateLeg::withPaymentLag(Natural lag) {
        paymentLag_ = lag;
        return *this;
    }
 
    FixedRateLeg& FixedRateLeg::withExCouponPeriod(
                                const Period& period,
                                const Calendar& cal,
                                BusinessDayConvention convention,
                                bool endOfMonth) {
        exCouponPeriod_ = period;
        exCouponCalendar_ = cal;
        exCouponAdjustment_ = convention;
        exCouponEndOfMonth_ = endOfMonth;
        return *this;
    }
 
    FixedRateLeg::operator Leg() const {
 
        QL_REQUIRE(!couponRates_.empty(), "no coupon rates given");
        QL_REQUIRE(!notionals_.empty(), "no notional given");
 
        Leg leg;
        leg.reserve(schedule_.size()-1);
 
        // first period might be short or long
        Date start = schedule_.date(0), end = schedule_.date(1);
        Date paymentDate = paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_);
        Date exCouponDate;
        InterestRate rate = couponRates_[0];
        Real nominal = notionals_[0];
 
        if (exCouponPeriod_ != Period())
        {
            exCouponDate = exCouponCalendar_.advance(paymentDate,
                                                     -exCouponPeriod_,
                                                     exCouponAdjustment_,
                                                     exCouponEndOfMonth_);
        }
        Date ref = schedule_.hasTenor() &&
            schedule_.hasIsRegular() && !schedule_.isRegular(1) ?
            schedule_.calendar().advance(end,
                                         -schedule_.tenor(),
                                         schedule_.businessDayConvention(),
                                         schedule_.endOfMonth())
            : start;
        InterestRate r(rate.rate(),
                       firstPeriodDC_.empty() ? rate.dayCounter()
                       : firstPeriodDC_,
                       rate.compounding(), rate.frequency());
        leg.push_back(ext::shared_ptr<CashFlow>(new
            FixedRateCoupon(paymentDate, nominal, r,
                            start, end, ref, end, exCouponDate)));
        // regular periods
        for (Size i=2; i<schedule_.size()-1; ++i) {
            start = end; end = schedule_.date(i);
            Date paymentDate = paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_);
            if (exCouponPeriod_ != Period())
            {
                exCouponDate = exCouponCalendar_.advance(paymentDate,
                                                         -exCouponPeriod_,
                                                         exCouponAdjustment_,
                                                         exCouponEndOfMonth_);
            }
            if ((i-1) < couponRates_.size())
                rate = couponRates_[i-1];
            else
                rate = couponRates_.back();
            if ((i-1) < notionals_.size())
                nominal = notionals_[i-1];
            else
                nominal = notionals_.back();
            leg.push_back(ext::shared_ptr<CashFlow>(new
                FixedRateCoupon(paymentDate, nominal, rate,
                                start, end, start, end, exCouponDate)));
        }
        if (schedule_.size() > 2) {
            // last period might be short or long
            Size N = schedule_.size();
            start = end; end = schedule_.date(N-1);
            Date paymentDate = paymentCalendar_.advance(end, paymentLag_, Days, paymentAdjustment_);
            if (exCouponPeriod_ != Period())
            {
                exCouponDate = exCouponCalendar_.advance(paymentDate,
                                                         -exCouponPeriod_,
                                                         exCouponAdjustment_,
                                                         exCouponEndOfMonth_);
            }
            if ((N-2) < couponRates_.size())
                rate = couponRates_[N-2];
            else
                rate = couponRates_.back();
            if ((N-2) < notionals_.size())
                nominal = notionals_[N-2];
            else
                nominal = notionals_.back();
            InterestRate r( rate.rate(), lastPeriodDC_.empty() ?
                rate.dayCounter() :
                lastPeriodDC_ , rate.compounding(), rate.frequency() );
            if ((schedule_.hasIsRegular() && schedule_.isRegular(N - 1)) ||
                !schedule_.hasTenor()) {
                leg.push_back(ext::shared_ptr<CashFlow>(new
                    FixedRateCoupon(paymentDate, nominal, r,
                                    start, end, start, end, exCouponDate)));
            } else {
                Date ref = schedule_.calendar().advance(
                                            start,
                                            schedule_.tenor(),
                                            schedule_.businessDayConvention(),
                                            schedule_.endOfMonth());
                leg.push_back(ext::shared_ptr<CashFlow>(new
                    FixedRateCoupon(paymentDate, nominal, r,
                                    start, end, start, ref, exCouponDate)));
            }
        }
        return leg;
    }
 
}