Register floating cash flows with OIS; add tests (#1946)

lballabio · Apr 11, 2024 · 0d57fb4 · 0d57fb4
2 parents daec722 + f3a2e92
commit 0d57fb4
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Showing 4 changed files with 90 additions and 2 deletions.
diff --git a/ql/instruments/overnightindexedswap.cpp b/ql/instruments/overnightindexedswap.cpp
@@ -136,6 +136,8 @@ namespace QuantLib {
                                      floatingSchedule().calendar() :
                                      paymentCalendar)
                 .withAveragingMethod(averagingMethod_);
+        for (const auto& c : legs_[1])
+            registerWith(c);
     }
 
     void OvernightIndexedSwap::setupFloatingArguments(arguments* args) const {

diff --git a/ql/instruments/vanillaswap.cpp b/ql/instruments/vanillaswap.cpp
@@ -48,8 +48,8 @@ namespace QuantLib {
             .withPaymentAdjustment(this->paymentConvention())
             .withSpreads(this->spread())
             .withIndexedCoupons(useIndexedCoupons);
-        for (Leg::const_iterator i = legs_[1].begin(); i < legs_[1].end(); ++i)
-            registerWith(*i);
+        for (const auto& c : legs_[1])
+            registerWith(c);
     }
 
     void VanillaSwap::setupFloatingArguments(arguments* args) const {

diff --git a/test-suite/overnightindexedswap.cpp b/test-suite/overnightindexedswap.cpp
@@ -34,6 +34,7 @@
 #include <ql/time/daycounters/simpledaycounter.hpp>
 #include <ql/time/schedule.hpp>
 #include <ql/indexes/ibor/eonia.hpp>
+#include <ql/indexes/ibor/estr.hpp>
 #include <ql/indexes/ibor/euribor.hpp>
 #include <ql/indexes/ibor/fedfunds.hpp>
 #include <ql/cashflows/iborcoupon.hpp>
@@ -631,6 +632,47 @@ BOOST_AUTO_TEST_CASE(testConstructorsAndNominals) {
     BOOST_CHECK_EQUAL(ois_4.overnightNominals()[3], nominal/2);
 }
 
+BOOST_AUTO_TEST_CASE(testNotifications) {
+    BOOST_TEST_MESSAGE("Testing cash-flow notifications for OIS...");
+
+    CommonVars vars;
+
+    Date spot = vars.calendar.advance(vars.today, 2*Days);
+    Real nominal = 100000.0;
+
+    Schedule schedule = MakeSchedule()
+        .from(spot)
+        .to(vars.calendar.advance(spot, 2*Years))
+        .withCalendar(vars.calendar)
+        .withFrequency(Annual);
+
+    RelinkableHandle<YieldTermStructure> forecast_handle;
+    forecast_handle.linkTo(flatRate(0.02, Actual360()));
+
+    RelinkableHandle<YieldTermStructure> discount_handle;
+    discount_handle.linkTo(flatRate(0.02, Actual360()));
+
+    auto index = ext::make_shared<Estr>(forecast_handle);
+
+    auto ois = ext::make_shared<OvernightIndexedSwap>(Swap::Payer,
+                                                      nominal,
+                                                      schedule,
+                                                      0.03,
+                                                      Actual360(),
+                                                      index);
+    ois->setPricingEngine(ext::make_shared<DiscountingSwapEngine>(discount_handle));
+    ois->NPV();
+
+    Flag flag;
+    flag.registerWith(ois);
+    flag.lower();
+
+    forecast_handle.linkTo(flatRate(0.03, Actual360()));
+
+    if (!flag.isUp())
+        BOOST_FAIL("OIS was not notified of curve change");
+}
+
 BOOST_AUTO_TEST_SUITE_END()
 
 BOOST_AUTO_TEST_SUITE_END()
diff --git a/test-suite/swap.cpp b/test-suite/swap.cpp
@@ -326,6 +326,50 @@ BOOST_AUTO_TEST_CASE(testThirdWednesdayAdjustment) {
     }
 }
 
+BOOST_AUTO_TEST_CASE(testNotifications) {
+    BOOST_TEST_MESSAGE("Testing cash-flow notifications for vanilla swap...");
+
+    CommonVars vars;
+
+    Date spot = vars.calendar.advance(vars.today, 2*Days);
+    Real nominal = 100000.0;
+
+    Schedule schedule = MakeSchedule()
+        .from(spot)
+        .to(vars.calendar.advance(spot, 2*Years))
+        .withCalendar(vars.calendar)
+        .withFrequency(Semiannual);
+
+    RelinkableHandle<YieldTermStructure> forecast_handle;
+    forecast_handle.linkTo(flatRate(0.02, Actual365Fixed()));
+
+    RelinkableHandle<YieldTermStructure> discount_handle;
+    discount_handle.linkTo(flatRate(0.02, Actual365Fixed()));
+
+    auto index = ext::make_shared<Euribor6M>(forecast_handle);
+
+    auto swap = ext::make_shared<VanillaSwap>(Swap::Payer,
+                                              nominal,
+                                              schedule,
+                                              0.03,
+                                              Actual365Fixed(),
+                                              schedule,
+                                              index,
+                                              0.0,
+                                              Actual365Fixed());
+    swap->setPricingEngine(ext::make_shared<DiscountingSwapEngine>(discount_handle));
+    swap->NPV();
+
+    Flag flag;
+    flag.registerWith(swap);
+    flag.lower();
+
+    forecast_handle.linkTo(flatRate(0.03, Actual365Fixed()));
+
+    if (!flag.isUp())
+        BOOST_FAIL("swap was not notified of curve change");
+}
+
 BOOST_AUTO_TEST_SUITE_END()
 
 BOOST_AUTO_TEST_SUITE_END()