oisratehelper.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2009, 2012 Roland Lichters
 Copyright (C) 2009, 2012 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/instruments/makeois.hpp>
#include <ql/instruments/simplifynotificationgraph.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/termstructures/yield/oisratehelper.hpp>
#include <ql/utilities/null_deleter.hpp>
#include <utility>
 
namespace QuantLib {
 
    OISRateHelper::OISRateHelper(Natural settlementDays,
        const Period& tenor, // swap maturity
        const Handle<Quote>& fixedRate,
        const ext::shared_ptr<OvernightIndex>& overnightIndex,
        Handle<YieldTermStructure> discount,
        bool telescopicValueDates,
        Integer paymentLag,
        BusinessDayConvention paymentConvention,
        Frequency paymentFrequency,
        Calendar paymentCalendar,
        const Period& forwardStart,
        const std::variant<Spread, Handle<Quote>>& overnightSpread,
        Pillar::Choice pillar,
        Date customPillarDate,
        RateAveraging::Type averagingMethod,
        ext::optional<bool> endOfMonth,
        ext::optional<Frequency> fixedPaymentFrequency,
        Calendar fixedCalendar,
        Natural lookbackDays,
        Natural lockoutDays,
        bool applyObservationShift,
        ext::shared_ptr<FloatingRateCouponPricer> pricer,
        DateGeneration::Rule rule,
        Calendar overnightCalendar)
    : RelativeDateRateHelper(fixedRate), settlementDays_(settlementDays), tenor_(tenor),
    discountHandle_(std::move(discount)), telescopicValueDates_(telescopicValueDates),
    paymentLag_(paymentLag), paymentConvention_(paymentConvention),
    paymentFrequency_(paymentFrequency), paymentCalendar_(std::move(paymentCalendar)),
    forwardStart_(forwardStart), overnightSpread_(handleFromVariant(overnightSpread)), pillarChoice_(pillar),
    averagingMethod_(averagingMethod), endOfMonth_(endOfMonth),
    fixedPaymentFrequency_(fixedPaymentFrequency), fixedCalendar_(std::move(fixedCalendar)),
    overnightCalendar_(std::move(overnightCalendar)), lookbackDays_(lookbackDays), lockoutDays_(lockoutDays),
    applyObservationShift_(applyObservationShift), pricer_(std::move(pricer)), rule_(rule) {
    initialize(overnightIndex, customPillarDate);
    }
 
    OISRateHelper::OISRateHelper(const Date& startDate,
        const Date& endDate,
        const Handle<Quote>& fixedRate,
        const ext::shared_ptr<OvernightIndex>& overnightIndex,
        Handle<YieldTermStructure> discount,
        bool telescopicValueDates,
        Integer paymentLag,
        BusinessDayConvention paymentConvention,
        Frequency paymentFrequency,
        Calendar paymentCalendar,
        const std::variant<Spread, Handle<Quote>>& overnightSpread,
        Pillar::Choice pillar,
        Date customPillarDate,
        RateAveraging::Type averagingMethod,
        ext::optional<bool> endOfMonth,
        ext::optional<Frequency> fixedPaymentFrequency,
        Calendar fixedCalendar,
        Natural lookbackDays,
        Natural lockoutDays,
        bool applyObservationShift,
        ext::shared_ptr<FloatingRateCouponPricer> pricer,
        DateGeneration::Rule rule,
        Calendar overnightCalendar)
    : RelativeDateRateHelper(fixedRate, false), startDate_(startDate), endDate_(endDate),
    discountHandle_(std::move(discount)), telescopicValueDates_(telescopicValueDates),
    paymentLag_(paymentLag), paymentConvention_(paymentConvention),
    paymentFrequency_(paymentFrequency), paymentCalendar_(std::move(paymentCalendar)),
    overnightSpread_(handleFromVariant(overnightSpread)), pillarChoice_(pillar),
    averagingMethod_(averagingMethod), endOfMonth_(endOfMonth),
    fixedPaymentFrequency_(fixedPaymentFrequency), fixedCalendar_(std::move(fixedCalendar)),
    overnightCalendar_(std::move(overnightCalendar)), lookbackDays_(lookbackDays), lockoutDays_(lockoutDays),
    applyObservationShift_(applyObservationShift), pricer_(std::move(pricer)), rule_(rule) {
    initialize(overnightIndex, customPillarDate);
    }
 
    void OISRateHelper::initialize(const ext::shared_ptr<OvernightIndex>& overnightIndex,
                                   Date customPillarDate) {
        overnightIndex_ =
            ext::dynamic_pointer_cast<OvernightIndex>(overnightIndex->clone(termStructureHandle_));
        // We want to be notified of changes of fixings, but we don't
        // want notifications from termStructureHandle_ (they would
        // interfere with bootstrapping.)
        overnightIndex_->unregisterWith(termStructureHandle_);
 
        registerWith(overnightIndex_);
        registerWith(discountHandle_);
        registerWith(overnightSpread_);
 
        pillarDate_ = customPillarDate;
        OISRateHelper::initializeDates();
    }
 
    void OISRateHelper::initializeDates() {
 
        // 1. do not pass the spread here, as it might be a Quote
        //    i.e. it can dynamically change
        // 2. input discount curve Handle might be empty now but it could
        //    be assigned a curve later; use a RelinkableHandle here
        auto tmp = MakeOIS(tenor_, overnightIndex_, 0.0, forwardStart_)
            .withDiscountingTermStructure(discountRelinkableHandle_)
            .withSettlementDays(settlementDays_)  // resets effectiveDate
            .withEffectiveDate(startDate_)
            .withTerminationDate(endDate_)
            .withTelescopicValueDates(telescopicValueDates_)
            .withPaymentLag(paymentLag_)
            .withPaymentAdjustment(paymentConvention_)
            .withPaymentFrequency(paymentFrequency_)
            .withPaymentCalendar(paymentCalendar_)
            .withAveragingMethod(averagingMethod_)
            .withLookbackDays(lookbackDays_)
            .withLockoutDays(lockoutDays_)
            .withRule(rule_)
            .withObservationShift(applyObservationShift_);
        if (endOfMonth_) {
            tmp.withEndOfMonth(*endOfMonth_);
        }
        if (fixedPaymentFrequency_) {
            tmp.withFixedLegPaymentFrequency(*fixedPaymentFrequency_);
        }
        if (!fixedCalendar_.empty()) {
            tmp.withFixedLegCalendar(fixedCalendar_);
        }
        if (!overnightCalendar_.empty()) {
            tmp.withOvernightLegCalendar(overnightCalendar_);
        }
        swap_ = tmp;
 
        if (pricer_)
            setCouponPricer(swap_->overnightLeg(), pricer_);
 
        simplifyNotificationGraph(*swap_, true);
 
        earliestDate_ = swap_->startDate();
        maturityDate_ = swap_->maturityDate();
 
        Date lastPaymentDate = std::max(swap_->overnightLeg().back()->date(),
                                        swap_->fixedLeg().back()->date());
        latestRelevantDate_ = latestDate_ = std::max(maturityDate_, lastPaymentDate);
 
        switch (pillarChoice_) {
          case Pillar::MaturityDate:
            pillarDate_ = maturityDate_;
            break;
          case Pillar::LastRelevantDate:
            pillarDate_ = latestRelevantDate_;
            break;
          case Pillar::CustomDate:
            // pillarDate_ already assigned at construction time
            QL_REQUIRE(pillarDate_ >= earliestDate_,
                       "pillar date (" << pillarDate_ << ") must be later "
                       "than or equal to the instrument's earliest date (" <<
                       earliestDate_ << ")");
            QL_REQUIRE(pillarDate_ <= latestRelevantDate_,
                       "pillar date (" << pillarDate_ << ") must be before "
                       "or equal to the instrument's latest relevant date (" <<
                       latestRelevantDate_ << ")");
            break;
          default:
            QL_FAIL("unknown Pillar::Choice(" << Integer(pillarChoice_) << ")");
        }
    }
 
    void OISRateHelper::setTermStructure(YieldTermStructure* t) {
        // do not set the relinkable handle as an observer -
        // force recalculation when needed
        bool observer = false;
 
        ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());
        termStructureHandle_.linkTo(temp, observer);
 
        if (discountHandle_.empty())
            discountRelinkableHandle_.linkTo(temp, observer);
        else
            discountRelinkableHandle_.linkTo(*discountHandle_, observer);
 
        RelativeDateRateHelper::setTermStructure(t);
    }
 
    Real OISRateHelper::impliedQuote() const {
        QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
        // we didn't register as observers - force calculation
        swap_->deepUpdate();
        // weak implementation... to be improved
        static const Spread basisPoint = 1.0e-4;
        Real floatingLegNPV = swap_->overnightLegNPV();
        Spread spread = overnightSpread_.empty() ? 0.0 : overnightSpread_->value();
        Real spreadNPV = swap_->overnightLegBPS()/basisPoint*spread;
        Real totNPV = - (floatingLegNPV+spreadNPV);
        Real result = totNPV/(swap_->fixedLegBPS()/basisPoint);
        return result;
    }
 
    void OISRateHelper::accept(AcyclicVisitor& v) {
        auto* v1 = dynamic_cast<Visitor<OISRateHelper>*>(&v);
        if (v1 != nullptr)
            v1->visit(*this);
        else
            RateHelper::accept(v);
    }
 
    DatedOISRateHelper::DatedOISRateHelper(const Date& startDate,
                                           const Date& endDate,
                                           const Handle<Quote>& fixedRate,
                                           const ext::shared_ptr<OvernightIndex>& overnightIndex,
                                           Handle<YieldTermStructure> discount,
                                           bool telescopicValueDates,
                                           RateAveraging::Type averagingMethod,
                                           Integer paymentLag,
                                           BusinessDayConvention paymentConvention,
                                           Frequency paymentFrequency,
                                           const Calendar& paymentCalendar,
                                           Spread overnightSpread,
                                           ext::optional<bool> endOfMonth,
                                           ext::optional<Frequency> fixedPaymentFrequency,
                                           const Calendar& fixedCalendar,
                                           Natural lookbackDays,
                                           Natural lockoutDays,
                                           bool applyObservationShift,
                                           const ext::shared_ptr<FloatingRateCouponPricer>& pricer)
    : OISRateHelper(startDate, endDate, fixedRate, overnightIndex, std::move(discount), telescopicValueDates,
                    paymentLag, paymentConvention, paymentFrequency, paymentCalendar, 
                    std::variant<Spread, Handle<Quote>>(overnightSpread),
                    Pillar::LastRelevantDate, Date(), averagingMethod, endOfMonth, fixedPaymentFrequency,
                    fixedCalendar, lookbackDays, lockoutDays, applyObservationShift, pricer) {}
 
    DatedOISRateHelper::DatedOISRateHelper(const Date& startDate,
                                           const Date& endDate,
                                           const Handle<Quote>& fixedRate,
                                           const ext::shared_ptr<OvernightIndex>& overnightIndex,
                                           Handle<YieldTermStructure> discount,
                                           bool telescopicValueDates,
                                           RateAveraging::Type averagingMethod,
                                           Integer paymentLag,
                                           BusinessDayConvention paymentConvention,
                                           Frequency paymentFrequency,
                                           const Calendar& paymentCalendar,
                                           const Period&,
                                           Spread overnightSpread,
                                           ext::optional<bool> endOfMonth,
                                           ext::optional<Frequency> fixedPaymentFrequency,
                                           const Calendar& fixedCalendar)
    : DatedOISRateHelper(startDate, endDate, fixedRate, overnightIndex, std::move(discount), telescopicValueDates,
                         averagingMethod, paymentLag, paymentConvention, paymentFrequency, paymentCalendar,
                         overnightSpread, endOfMonth, fixedPaymentFrequency, fixedCalendar) {}
 
}