Merge branch 'master' into modernize-loop-convert

lballabio · Feb 12, 2021 · 89405c7 · 89405c7
2 parents 848b6a0 + b6348dc
commit 89405c7
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diff --git a/Examples/BermudanSwaption/BermudanSwaption.vcxproj b/Examples/BermudanSwaption/BermudanSwaption.vcxproj
@@ -541,9 +541,6 @@
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diff --git a/Examples/BermudanSwaption/BermudanSwaption.vcxproj.filters b/Examples/BermudanSwaption/BermudanSwaption.vcxproj.filters
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diff --git a/Examples/Bonds/Bonds.vcxproj b/Examples/Bonds/Bonds.vcxproj
@@ -541,9 +541,6 @@
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diff --git a/Examples/CDS/CDS.vcxproj b/Examples/CDS/CDS.vcxproj
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diff --git a/Examples/CallableBonds/CallableBonds.vcxproj b/Examples/CallableBonds/CallableBonds.vcxproj
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diff --git a/Examples/ConvertibleBonds/ConvertibleBonds.vcxproj b/Examples/ConvertibleBonds/ConvertibleBonds.vcxproj
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diff --git a/Examples/DiscreteHedging/DiscreteHedging.vcxproj b/Examples/DiscreteHedging/DiscreteHedging.vcxproj
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diff --git a/Examples/EquityOption/EquityOption.vcxproj b/Examples/EquityOption/EquityOption.vcxproj
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diff --git a/Examples/FRA/FRA.vcxproj b/Examples/FRA/FRA.vcxproj
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diff --git a/Examples/FittedBondCurve/FittedBondCurve.vcxproj b/Examples/FittedBondCurve/FittedBondCurve.vcxproj
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diff --git a/Examples/Gaussian1dModels/Gaussian1dModels.vcxproj b/Examples/Gaussian1dModels/Gaussian1dModels.vcxproj
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diff --git a/Examples/Gaussian1dModels/Gaussian1dModels.vcxproj.filters b/Examples/Gaussian1dModels/Gaussian1dModels.vcxproj.filters
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diff --git a/Examples/GlobalOptimizer/GlobalOptimizer.vcxproj b/Examples/GlobalOptimizer/GlobalOptimizer.vcxproj
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diff --git a/Examples/MarketModels/MarketModels.vcxproj b/Examples/MarketModels/MarketModels.vcxproj
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diff --git a/Examples/Replication/Replication.vcxproj b/Examples/Replication/Replication.vcxproj
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diff --git a/Examples/Repo/Repo.vcxproj b/Examples/Repo/Repo.vcxproj
@@ -541,9 +541,6 @@
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     <ClCompile Include="Repo.cpp" />
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diff --git a/LICENSE.TXT b/LICENSE.TXT
@@ -10,7 +10,7 @@ QuantLib is
     Copyright (C) 2003 Kawanishi Tomoya
     Copyright (C) 2003 Niels Elken Sønderby
     Copyright (C) 2003, 2004 Roman Gitlin
-    Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012, 2014, 2015, 2016, 2017, 2018, 2019, 2020 StatPro Italia srl
+    Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012, 2014, 2015, 2016, 2017, 2018, 2019, 2020, 2021 StatPro Italia srl
     Copyright (C) 2003, 2004, 2007 Neil Firth
 
     Copyright (C) 2004 FIMAT Group

diff --git a/ql/cashflows/overnightindexedcoupon.cpp b/ql/cashflows/overnightindexedcoupon.cpp
@@ -22,6 +22,7 @@
 */
 
 #include <ql/cashflows/couponpricer.hpp>
+#include <ql/experimental/averageois/averageoiscouponpricer.hpp>
 #include <ql/cashflows/overnightindexedcoupon.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/utilities/vectors.hpp>
@@ -124,7 +125,8 @@ namespace QuantLib {
                     const Date& refPeriodStart,
                     const Date& refPeriodEnd,
                     const DayCounter& dayCounter,
-                    bool telescopicValueDates)
+                    bool telescopicValueDates, 
+                    OvernightAveraging::Type averagingMethod)
     : FloatingRateCoupon(paymentDate, nominal, startDate, endDate,
                          overnightIndex->fixingDays(), overnightIndex,
                          gearing, spread,
@@ -193,8 +195,18 @@ namespace QuantLib {
         for (Size i=0; i<n_; ++i)
             dt_[i] = dc.yearFraction(valueDates_[i], valueDates_[i+1]);
 
-        setPricer(ext::shared_ptr<FloatingRateCouponPricer>(new
-                                            OvernightIndexedCouponPricer));
+        switch (averagingMethod) {
+            case OvernightAveraging::Simple:
+                setPricer(ext::shared_ptr<FloatingRateCouponPricer>(
+                    new ArithmeticAveragedOvernightIndexedCouponPricer(telescopicValueDates)));
+                break;
+            case OvernightAveraging::Compound:
+                setPricer(
+                    ext::shared_ptr<FloatingRateCouponPricer>(new OvernightIndexedCouponPricer));
+                break;
+            default:
+                QL_FAIL("unknown compounding convention (" << Integer(averagingMethod) << ")");
+        }
     }
 
     const vector<Rate>& OvernightIndexedCoupon::indexFixings() const {
@@ -215,7 +227,8 @@ namespace QuantLib {
 
     OvernightLeg::OvernightLeg(const Schedule& schedule, ext::shared_ptr<OvernightIndex> i)
     : schedule_(schedule), overnightIndex_(std::move(i)), paymentCalendar_(schedule.calendar()),
-      paymentAdjustment_(Following), paymentLag_(0), telescopicValueDates_(false) {}
+      paymentAdjustment_(Following), paymentLag_(0), telescopicValueDates_(false),
+      averagingMethod_(OvernightAveraging::Compound) {}
 
     OvernightLeg& OvernightLeg::withNotionals(Real notional) {
         notionals_ = vector<Real>(1, notional);
@@ -273,6 +286,11 @@ namespace QuantLib {
         return *this;
     }
 
+    OvernightLeg& OvernightLeg::withAveragingMethod(OvernightAveraging::Type averagingMethod) {
+        averagingMethod_ = averagingMethod;
+        return *this;
+    }
+
     OvernightLeg::operator Leg() const {
 
         QL_REQUIRE(!notionals_.empty(), "no notional given");
@@ -308,7 +326,8 @@ namespace QuantLib {
                                        detail::get(spreads_, i, 0.0),
                                        refStart, refEnd,
                                        paymentDayCounter_,
-                                       telescopicValueDates_)));
+                                       telescopicValueDates_, 
+                                       averagingMethod_)));
         }
         return cashflows;
     }