Merge 46a2222 into 37c98ec

lballabio · Dec 23, 2021 · 4f16383 · 4f16383
2 parents 37c98ec + 46a2222
commit 4f16383
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Showing 4 changed files with 80 additions and 23 deletions.
diff --git a/ql/cashflows/couponpricer.cpp b/ql/cashflows/couponpricer.cpp
@@ -119,18 +119,25 @@ namespace QuantLib {
 
         Handle<YieldTermStructure> rateCurve = index_->forwardingTermStructure();
 
-        Date paymentDate = coupon_->date();
-        if (paymentDate > rateCurve->referenceDate())
-            discount_ = rateCurve->discount(paymentDate);
-        else
-            discount_ = 1.0;
-
-        spreadLegValue_ = spread_ * accrualPeriod_ * discount_;
+        if (rateCurve.empty()) {
+            discount_ = Null<Real>(); // might not be needed, will be checked later
+            QL_DEPRECATED_DISABLE_WARNING
+            spreadLegValue_ = Null<Real>();
+            QL_DEPRECATED_ENABLE_WARNING
+        } else {
+            Date paymentDate = coupon_->date();
+            if (paymentDate > rateCurve->referenceDate())
+                discount_ = rateCurve->discount(paymentDate);
+            else
+                discount_ = 1.0;
+            QL_DEPRECATED_DISABLE_WARNING
+            spreadLegValue_ = spread_ * accrualPeriod_ * discount_;
+            QL_DEPRECATED_ENABLE_WARNING
+        }
 
     }
 
-    Real BlackIborCouponPricer::optionletPrice(Option::Type optionType,
-                                               Real effStrike) const {
+    Real BlackIborCouponPricer::optionletRate(Option::Type optionType, Real effStrike) const {
         if (fixingDate_ <= Settings::instance().evaluationDate()) {
             // the amount is determined
             Real a, b;
@@ -141,7 +148,7 @@ namespace QuantLib {
                 a = effStrike;
                 b = coupon_->indexFixing();
             }
-            return std::max(a - b, 0.0)* accrualPeriod_*discount_;
+            return std::max(a - b, 0.0);
         } else {
             // not yet determined, use Black model
             QL_REQUIRE(!capletVolatility().empty(),
@@ -158,10 +165,16 @@ namespace QuantLib {
                                    stdDev, 1.0, shift)
                     : bachelierBlackFormula(optionType, effStrike,
                                             adjustedFixing(), stdDev, 1.0);
-            return fixing * accrualPeriod_ * discount_;
+            return fixing;
         }
     }
 
+    Real BlackIborCouponPricer::optionletPrice(Option::Type optionType,
+                                               Real effStrike) const {
+        QL_REQUIRE(discount_ != Null<Rate>(), "no forecast curve provided");
+        return optionletRate(optionType, effStrike) * accrualPeriod_ * discount_;
+    }
+
     Rate BlackIborCouponPricer::adjustedFixing(Rate fixing) const {
 
         if (fixing == Null<Rate>())

diff --git a/ql/cashflows/couponpricer.hpp b/ql/cashflows/couponpricer.hpp
@@ -102,6 +102,8 @@ namespace QuantLib {
         bool useIndexedCoupon_;
     };
 
+    QL_DEPRECATED_DISABLE_WARNING
+
     /*! Black-formula pricer for capped/floored Ibor coupons
         References for timing adjustments
         Black76             Hull, Options, Futures and other
@@ -132,19 +134,28 @@ namespace QuantLib {
         Rate floorletRate(Rate effectiveFloor) const override;
 
       protected:
-        Real optionletPrice(Option::Type optionType,
-                            Real effStrike) const;
+        Real optionletPrice(Option::Type optionType, Real effStrike) const;
+        Real optionletRate(Option::Type optionType, Real effStrike) const;
 
         virtual Rate adjustedFixing(Rate fixing = Null<Rate>()) const;
 
         Real discount_;
+
+        /*! \deprecated don't use this data member.  Use spread_ instead
+                        and calculate it on the fly if needed.  But you
+                        probably won't.
+                        Deprecated in version 1.25.
+        */
+        QL_DEPRECATED
         Real spreadLegValue_;
 
       private:
         const TimingAdjustment timingAdjustment_;
         const Handle<Quote> correlation_;
     };
 
+    QL_DEPRECATED_ENABLE_WARNING
+
     //! base pricer for vanilla CMS coupons
     class CmsCouponPricer : public FloatingRateCouponPricer {
       public:
@@ -208,33 +219,32 @@ namespace QuantLib {
 
     inline Real BlackIborCouponPricer::swapletPrice() const {
         // past or future fixing is managed in InterestRateIndex::fixing()
-
-        Real swapletPrice = adjustedFixing() * accrualPeriod_ * discount_;
-        return gearing_ * swapletPrice + spreadLegValue_;
+        QL_REQUIRE(discount_ != Null<Rate>(), "no forecast curve provided");
+        return swapletRate() * accrualPeriod_ * discount_;
     }
 
     inline Rate BlackIborCouponPricer::swapletRate() const {
         return gearing_ * adjustedFixing() + spread_;
     }
 
     inline Real BlackIborCouponPricer::capletPrice(Rate effectiveCap) const {
-        Real capletPrice = optionletPrice(Option::Call, effectiveCap);
-        return gearing_ * capletPrice;
+        QL_REQUIRE(discount_ != Null<Rate>(), "no forecast curve provided");
+        return capletRate(effectiveCap) * accrualPeriod_ * discount_;
     }
 
     inline Rate BlackIborCouponPricer::capletRate(Rate effectiveCap) const {
-        return capletPrice(effectiveCap) / (accrualPeriod_*discount_);
+        return gearing_ * optionletRate(Option::Call, effectiveCap);
     }
 
     inline
     Real BlackIborCouponPricer::floorletPrice(Rate effectiveFloor) const {
-        Real floorletPrice = optionletPrice(Option::Put, effectiveFloor);
-        return gearing_ * floorletPrice;
+        QL_REQUIRE(discount_ != Null<Rate>(), "no forecast curve provided");
+        return floorletRate(effectiveFloor) * accrualPeriod_ * discount_;
     }
 
     inline
     Rate BlackIborCouponPricer::floorletRate(Rate effectiveFloor) const {
-        return floorletPrice(effectiveFloor) / (accrualPeriod_*discount_);
+        return gearing_ * optionletRate(Option::Put, effectiveFloor);
     }
 
 }

diff --git a/test-suite/cashflows.cpp b/test-suite/cashflows.cpp
@@ -505,7 +505,39 @@ void CashFlowsTest::testPartialScheduleLegConstruction() {
     BOOST_CHECK_EQUAL(lastCpnF3->referencePeriodStart(), Date(25, Sep, 2020));
     BOOST_CHECK_EQUAL(lastCpnF3->referencePeriodEnd(), Date(30, Sep, 2020));
 }
-
+
+void CashFlowsTest::testFixedIborCouponWithoutForecastCurve() {
+    BOOST_TEST_MESSAGE("Testing past ibor coupon without forecast curve...");
+
+    IndexHistoryCleaner cleaner;
+
+    Date today = Settings::instance().evaluationDate();
+
+    auto index = ext::make_shared<USDLibor>(6*Months);
+    auto calendar = index->fixingCalendar();
+
+    Date fixingDate = calendar.advance(today, -2, Months);
+    Rate pastFixing = 0.01;
+    index->addFixing(fixingDate, pastFixing);
+
+    Date startDate = index->valueDate(fixingDate);
+    Date endDate = index->maturityDate(fixingDate);
+
+    IborCoupon coupon(endDate, 100.0, startDate, endDate, index->fixingDays(), index);
+    coupon.setPricer(ext::make_shared<BlackIborCouponPricer>());
+
+    BOOST_CHECK_NO_THROW(coupon.amount());
+
+    // the main check is the one above, but let's check for consistency too:
+    Real amount = coupon.amount();
+    Real expected = pastFixing * coupon.nominal() * coupon.accrualPeriod();
+    if (std::fabs(amount - expected) > 1e-8) {
+        BOOST_ERROR("amount mismatch:"
+                    << "\n    calculated: " << amount
+                    << "\n    expected: " << expected);
+    }
+}
+
 test_suite* CashFlowsTest::suite() {
     auto* suite = BOOST_TEST_SUITE("Cash flows tests");
     suite->add(QUANTLIB_TEST_CASE(&CashFlowsTest::testSettings));
@@ -519,6 +551,7 @@ test_suite* CashFlowsTest::suite() {
     suite->add(QUANTLIB_TEST_CASE(&CashFlowsTest::testIrregularFirstCouponReferenceDatesAtEndOfMonth));
     suite->add(QUANTLIB_TEST_CASE(&CashFlowsTest::testIrregularLastCouponReferenceDatesAtEndOfMonth));
     suite->add(QUANTLIB_TEST_CASE(&CashFlowsTest::testPartialScheduleLegConstruction));
+    suite->add(QUANTLIB_TEST_CASE(&CashFlowsTest::testFixedIborCouponWithoutForecastCurve));
 
     return suite;
 }
diff --git a/test-suite/cashflows.hpp b/test-suite/cashflows.hpp
@@ -32,6 +32,7 @@ class CashFlowsTest {
     static void testIrregularFirstCouponReferenceDatesAtEndOfMonth();
     static void testIrregularLastCouponReferenceDatesAtEndOfMonth();
     static void testPartialScheduleLegConstruction();
+    static void testFixedIborCouponWithoutForecastCurve();
     static boost::unit_test_framework::test_suite* suite();
 };