| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2007 Roland Lichters |
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| 5 | Copyright (C) 2007 StatPro Italia srl |
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| 6 | |
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| 7 | This file is part of QuantLib, a free-software/open-source library |
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| 8 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 9 | |
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| 10 | QuantLib is free software: you can redistribute it and/or modify it |
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| 11 | under the terms of the QuantLib license. You should have received a |
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| 12 | copy of the license along with this program; if not, please email |
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| 13 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 14 | <http://quantlib.org/license.shtml>. |
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| 15 | |
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| 16 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 17 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 18 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 19 | */ |
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| 20 | |
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| 21 | #include <ql/instruments/bmaswap.hpp> |
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| 22 | #include <ql/cashflows/iborcoupon.hpp> |
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| 23 | #include <ql/cashflows/averagebmacoupon.hpp> |
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| 24 | |
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| 25 | namespace QuantLib { |
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| 26 | |
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| 27 | BMASwap::BMASwap(Type type, |
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| 28 | Real nominal, |
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| 29 | // Libor leg |
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| 30 | const Schedule& liborSchedule, |
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| 31 | Real liborFraction, |
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| 32 | Spread liborSpread, |
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| 33 | const ext::shared_ptr<IborIndex>& liborIndex, |
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| 34 | const DayCounter& liborDayCount, |
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| 35 | // BMA leg |
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| 36 | const Schedule& bmaSchedule, |
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| 37 | const ext::shared_ptr<BMAIndex>& bmaIndex, |
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| 38 | const DayCounter& bmaDayCount) |
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| 39 | : Swap(2), type_(type), nominal_(nominal), |
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| 40 | liborFraction_(liborFraction), liborSpread_(liborSpread) { |
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| 41 | |
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| 42 | BusinessDayConvention convention = |
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| 43 | liborSchedule.businessDayConvention(); |
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| 44 | |
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| 45 | legs_[0] = IborLeg(liborSchedule, liborIndex) |
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| 46 | .withNotionals(notional: nominal) |
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| 47 | .withPaymentDayCounter(liborDayCount) |
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| 48 | .withPaymentAdjustment(convention) |
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| 49 | .withFixingDays(fixingDays: liborIndex->fixingDays()) |
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| 50 | .withGearings(gearing: liborFraction) |
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| 51 | .withSpreads(spread: liborSpread); |
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| 52 | |
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| 53 | legs_[1] = AverageBMALeg(bmaSchedule, bmaIndex) |
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| 54 | .withNotionals(notional: nominal) |
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| 55 | .withPaymentDayCounter(bmaDayCount) |
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| 56 | .withPaymentAdjustment(bmaSchedule.businessDayConvention()); |
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| 57 | |
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| 58 | for (Size j=0; j<2; ++j) { |
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| 59 | for (auto& i : legs_[j]) |
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| 60 | registerWith(h: i); |
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| 61 | } |
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| 62 | |
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| 63 | switch (type_) { |
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| 64 | case Payer: |
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| 65 | payer_[0] = +1.0; |
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| 66 | payer_[1] = -1.0; |
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| 67 | break; |
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| 68 | case Receiver: |
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| 69 | payer_[0] = -1.0; |
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| 70 | payer_[1] = +1.0; |
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| 71 | break; |
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| 72 | default: |
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| 73 | QL_FAIL("Unknown BMA-swap type" ); |
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| 74 | } |
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| 75 | } |
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| 76 | |
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| 77 | Real BMASwap::liborFraction() const { |
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| 78 | return liborFraction_; |
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| 79 | } |
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| 80 | |
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| 81 | Spread BMASwap::liborSpread() const { |
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| 82 | return liborSpread_; |
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| 83 | } |
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| 84 | |
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| 85 | Real BMASwap::nominal() const { |
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| 86 | return nominal_; |
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| 87 | } |
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| 88 | |
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| 89 | Swap::Type BMASwap::type() const { |
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| 90 | return type_; |
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| 91 | } |
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| 92 | |
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| 93 | const Leg& BMASwap::liborLeg() const { |
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| 94 | return legs_[0]; |
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| 95 | } |
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| 96 | |
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| 97 | const Leg& BMASwap::bmaLeg() const { |
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| 98 | return legs_[1]; |
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| 99 | } |
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| 100 | |
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| 101 | |
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| 102 | Real BMASwap::liborLegBPS() const { |
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| 103 | calculate(); |
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| 104 | QL_REQUIRE(legBPS_[0] != Null<Real>(), "result not available" ); |
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| 105 | return legBPS_[0]; |
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| 106 | } |
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| 107 | |
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| 108 | Real BMASwap::liborLegNPV() const { |
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| 109 | calculate(); |
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| 110 | QL_REQUIRE(legNPV_[0] != Null<Real>(), "result not available" ); |
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| 111 | return legNPV_[0]; |
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| 112 | } |
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| 113 | |
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| 114 | Real BMASwap::fairLiborFraction() const { |
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| 115 | static Spread basisPoint = 1.0e-4; |
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| 116 | |
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| 117 | Real spreadNPV = (liborSpread_/basisPoint)*liborLegBPS(); |
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| 118 | Real pureLiborNPV = liborLegNPV() - spreadNPV; |
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| 119 | QL_REQUIRE(pureLiborNPV != 0.0, |
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| 120 | "result not available (null libor NPV)" ); |
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| 121 | return -liborFraction_ * (bmaLegNPV() + spreadNPV) / pureLiborNPV; |
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| 122 | } |
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| 123 | |
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| 124 | Spread BMASwap::fairLiborSpread() const { |
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| 125 | static Spread basisPoint = 1.0e-4; |
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| 126 | |
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| 127 | return liborSpread_ - NPV()/(liborLegBPS()/basisPoint); |
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| 128 | } |
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| 129 | |
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| 130 | Real BMASwap::bmaLegBPS() const { |
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| 131 | calculate(); |
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| 132 | QL_REQUIRE(legBPS_[1] != Null<Real>(), "result not available" ); |
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| 133 | return legBPS_[1]; |
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| 134 | } |
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| 135 | |
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| 136 | Real BMASwap::bmaLegNPV() const { |
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| 137 | calculate(); |
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| 138 | QL_REQUIRE(legNPV_[1] != Null<Real>(), "result not available" ); |
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| 139 | return legNPV_[1]; |
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| 140 | } |
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| 141 | |
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| 142 | } |
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| 143 | |
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