1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2018 Roy Zywina
5 Copyright (C) 2019 Eisuke Tani
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21#include <ql/instruments/overnightindexfuture.hpp>
22#include <ql/indexes/indexmanager.hpp>
23#include <ql/event.hpp>
24#include <utility>
25
26namespace QuantLib {
27
28 OvernightIndexFuture::OvernightIndexFuture(ext::shared_ptr<OvernightIndex> overnightIndex,
29 const Date& valueDate,
30 const Date& maturityDate,
31 Handle<Quote> convexityAdjustment,
32 RateAveraging::Type averagingMethod)
33 : overnightIndex_(std::move(overnightIndex)), valueDate_(valueDate),
34 maturityDate_(maturityDate), convexityAdjustment_(std::move(convexityAdjustment)),
35 averagingMethod_(averagingMethod) {
36 QL_REQUIRE(overnightIndex_, "null overnight index");
37 registerWith(h: overnightIndex_);
38 }
39
40 Real OvernightIndexFuture::averagedRate() const {
41 Date today = Settings::instance().evaluationDate();
42 Calendar calendar = overnightIndex_->fixingCalendar();
43 DayCounter dayCounter = overnightIndex_->dayCounter();
44 Handle<YieldTermStructure> forwardCurve = overnightIndex_->forwardingTermStructure();
45 Real avg = 0;
46 Date d1 = valueDate_;
47 const TimeSeries<Real>& history = IndexManager::instance()
48 .getHistory(name: overnightIndex_->name());
49 Real fwd;
50 while (d1 < maturityDate_) {
51 Date d2 = calendar.advance(d1, n: 1, unit: Days);
52 if (d1 < today) {
53 fwd = history[d1];
54 QL_REQUIRE(fwd != Null<Real>(), "missing rate on " <<
55 d1 << " for index " << overnightIndex_->name());
56 } else {
57 fwd = forwardCurve->forwardRate(d1, d2, resultDayCounter: dayCounter, comp: Simple).rate();
58 }
59 avg += fwd * dayCounter.yearFraction(d1, d2);
60 d1 = d2;
61 }
62
63 return avg / dayCounter.yearFraction(d1: valueDate_, d2: maturityDate_);
64 }
65
66 Real OvernightIndexFuture::compoundedRate() const {
67 Date today = Settings::instance().evaluationDate();
68 Calendar calendar = overnightIndex_->fixingCalendar();
69 DayCounter dayCounter = overnightIndex_->dayCounter();
70 Handle<YieldTermStructure> forwardCurve = overnightIndex_->forwardingTermStructure();
71 Real prod = 1;
72 if (today > valueDate_) {
73 // can't value on a weekend inside reference period because we
74 // won't know the reset rate until start of next business day.
75 // user can supply an estimate if they really want to do this
76 today = calendar.adjust(today);
77 // for valuations inside the reference period, index quotes
78 // must have been populated in the history
79 const TimeSeries<Real>& history = IndexManager::instance()
80 .getHistory(name: overnightIndex_->name());
81 Date d1 = valueDate_;
82 while (d1 < today) {
83 Real r = history[d1];
84 QL_REQUIRE(r != Null<Real>(), "missing rate on " <<
85 d1 << " for index " << overnightIndex_->name());
86 Date d2 = calendar.advance(d1, n: 1, unit: Days);
87 prod *= 1 + r * dayCounter.yearFraction(d1, d2);
88 d1 = d2;
89 }
90 }
91 DiscountFactor forwardDiscount = forwardCurve->discount(d: maturityDate_);
92 if (valueDate_ > today) {
93 forwardDiscount /= forwardCurve->discount(d: valueDate_);
94 }
95 prod /= forwardDiscount;
96
97 return (prod - 1) / dayCounter.yearFraction(d1: valueDate_, d2: maturityDate_);
98 }
99
100 Real OvernightIndexFuture::rate() const {
101 switch (averagingMethod_) {
102 case RateAveraging::Simple:
103 return averagedRate();
104 break;
105 case RateAveraging::Compound:
106 return compoundedRate();
107 break;
108 default:
109 QL_FAIL("unknown compounding convention (" << Integer(averagingMethod_) << ")");
110 }
111 }
112
113 bool OvernightIndexFuture::isExpired() const {
114 return detail::simple_event(maturityDate_).hasOccurred();
115 }
116
117 Real OvernightIndexFuture::convexityAdjustment() const {
118 return convexityAdjustment_.empty() ? 0.0 : convexityAdjustment_->value();
119 }
120
121 void OvernightIndexFuture::performCalculations() const {
122 Rate R = convexityAdjustment() + rate();
123 NPV_ = 100.0 * (1.0 - R);
124 }
125
126}
127

source code of quantlib/ql/instruments/overnightindexfuture.cpp

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