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Add DatedSwapRateHelper
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Also, move common functionality into SwapRateHelperBase to avoid
duplication. Reuse it between vanilla and overnight swaps.
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@eltoder
eltoder committed Feb 20, 2024
1 parent 72012a7 commit c2662ad
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Showing 9 changed files with 313 additions and 283 deletions.
1 change: 1 addition & 0 deletions ql/instruments/fixedvsfloatingswap.hpp
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Expand Up @@ -90,6 +90,7 @@ namespace QuantLib {

const Leg& fixedLeg() const;
const Leg& floatingLeg() const;
virtual Date latestRelevantDate() const = 0;
//@}

//! \name Results
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6 changes: 6 additions & 0 deletions ql/instruments/overnightindexedswap.hpp
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Expand Up @@ -103,6 +103,12 @@ namespace QuantLib {
floatingSchedule().tenor().frequency());
}

Date latestRelevantDate() const override {
Date lastPaymentDate = std::max(overnightLeg().back()->date(),
fixedLeg().back()->date());
return std::max(maturityDate(), lastPaymentDate);
}

const std::vector<Real>& overnightNominals() const { return floatingNominals(); }
const Schedule& overnightSchedule() const { return floatingSchedule(); }
const ext::shared_ptr<OvernightIndex>& overnightIndex() const { return overnightIndex_; }
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4 changes: 4 additions & 0 deletions ql/instruments/vanillaswap.cpp
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Expand Up @@ -79,4 +79,8 @@ namespace QuantLib {
}
}

Date VanillaSwap::latestRelevantDate() const {
auto lastCoupon = ext::dynamic_pointer_cast<IborCoupon>(floatingLeg().back());
return std::max(maturityDate(), lastCoupon->fixingEndDate());
}
}
1 change: 1 addition & 0 deletions ql/instruments/vanillaswap.hpp
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Expand Up @@ -76,6 +76,7 @@ namespace QuantLib {
ext::optional<BusinessDayConvention> paymentConvention = ext::nullopt,
ext::optional<bool> useIndexedCoupons = ext::nullopt);

Date latestRelevantDate() const override;
private:
void setupFloatingArguments(arguments* args) const override;
};
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25 changes: 9 additions & 16 deletions ql/termstructures/bootstraphelper.hpp
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Expand Up @@ -125,19 +125,19 @@ namespace QuantLib {
/*! Derived classes must takes care of rebuilding the date schedule when
the global evaluation date changes
*/
template <class TS>
class RelativeDateBootstrapHelper : public BootstrapHelper<TS> {
template <class TS, class Base = BootstrapHelper<TS>>
class RelativeDateBootstrapHelper : public Base {
public:
explicit RelativeDateBootstrapHelper(const Handle<Quote>& quote);
explicit RelativeDateBootstrapHelper(Real quote);
template <class... Args>
explicit RelativeDateBootstrapHelper(Args&&... args);
//! \name Observer interface
//@{
void update() override {
if (evaluationDate_ != Settings::instance().evaluationDate()) {
evaluationDate_ = Settings::instance().evaluationDate();
initializeDates();
}
BootstrapHelper<TS>::update();
Base::update();
}
//@}
protected:
Expand Down Expand Up @@ -210,17 +210,10 @@ namespace QuantLib {
QL_FAIL("not a bootstrap-helper visitor");
}

template <class TS>
RelativeDateBootstrapHelper<TS>::RelativeDateBootstrapHelper(
const Handle<Quote>& quote)
: BootstrapHelper<TS>(quote) {
this->registerWith(Settings::instance().evaluationDate());
evaluationDate_ = Settings::instance().evaluationDate();
}

template <class TS>
RelativeDateBootstrapHelper<TS>::RelativeDateBootstrapHelper(Real quote)
: BootstrapHelper<TS>(quote) {
template <class TS, class Base>
template <class... Args>
RelativeDateBootstrapHelper<TS, Base>::RelativeDateBootstrapHelper(Args&&... args)
: Base(std::forward<Args>(args)...) {
this->registerWith(Settings::instance().evaluationDate());
evaluationDate_ = Settings::instance().evaluationDate();
}
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153 changes: 31 additions & 122 deletions ql/termstructures/yield/oisratehelper.cpp
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Expand Up @@ -26,6 +26,22 @@
#include <utility>

namespace QuantLib {
namespace detail {
OISRateHelperBase::OISRateHelperBase(const Handle<Quote>& fixedRate,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
Handle<YieldTermStructure> discountingCurve,
Pillar::Choice pillar,
Date customPillarDate)
: SwapRateHelperBase(fixedRate, overnightIndex, std::move(discountingCurve), pillar,
customPillarDate) {}

Real OISRateHelperBase::impliedQuote() const {
QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
// we didn't register as observers - force calculation
swap_->deepUpdate();
return swap_->fairRate();
}
}

OISRateHelper::OISRateHelper(Natural settlementDays,
const Period& tenor, // swap maturity
Expand All @@ -45,33 +61,20 @@ namespace QuantLib {
ext::optional<bool> endOfMonth,
ext::optional<Frequency> fixedPaymentFrequency,
Calendar fixedCalendar)
: RelativeDateRateHelper(fixedRate), pillarChoice_(pillar), settlementDays_(settlementDays), tenor_(tenor),
discountHandle_(std::move(discount)), telescopicValueDates_(telescopicValueDates),
: base_type(fixedRate, overnightIndex, std::move(discount), pillar, customPillarDate),
settlementDays_(settlementDays), tenor_(tenor), telescopicValueDates_(telescopicValueDates),
paymentLag_(paymentLag), paymentConvention_(paymentConvention),
paymentFrequency_(paymentFrequency), paymentCalendar_(std::move(paymentCalendar)),
forwardStart_(forwardStart), overnightSpread_(overnightSpread),
averagingMethod_(averagingMethod), endOfMonth_(endOfMonth),
fixedPaymentFrequency_(fixedPaymentFrequency), fixedCalendar_(std::move(fixedCalendar)) {

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_);

pillarDate_ = customPillarDate;
OISRateHelper::initializeDates();
}

void OISRateHelper::initializeDates() {

// input discount curve Handle might be empty now but it could
// be assigned a curve later; use a RelinkableHandle here
MakeOIS tmp = MakeOIS(tenor_, overnightIndex_, 0.0, forwardStart_)
auto tmp = MakeOIS(tenor_, overnightIndex(), 0.0, forwardStart_)
.withDiscountingTermStructure(discountRelinkableHandle_)
.withSettlementDays(settlementDays_)
.withTelescopicValueDates(telescopicValueDates_)
Expand All @@ -90,77 +93,21 @@ namespace QuantLib {
if (!fixedCalendar_.empty()) {
tmp.withFixedLegCalendar(fixedCalendar_);
}
swap_ = tmp;

simplifyNotificationGraph(*swap_, true);

earliestDate_ = swap_->startDate();
maturityDate_ = swap_->maturityDate();

Date lastPaymentDate = std::max(swap_->overnightLeg().back()->date(),
swap_->fixedLeg().back()->date());
latestRelevantDate_ = 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_) << ")");
}

latestDate_ = std::max(swap_->maturityDate(), lastPaymentDate);
}

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();
return swap_->fairRate();
setInstrument<OvernightIndexedSwap>(tmp);
}

void OISRateHelper::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<OISRateHelper>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
RateHelper::accept(v);
base_type::accept(v);
}

DatedOISRateHelper::DatedOISRateHelper(const Date& startDate,
const Date& endDate,
const Handle<Quote>& fixedRate,
const ext::shared_ptr<OvernightIndex>& overnightIndex,
const ext::shared_ptr<OvernightIndex>& index,
Handle<YieldTermStructure> discount,
bool telescopicValueDates,
RateAveraging::Type averagingMethod,
Expand All @@ -172,33 +119,23 @@ namespace QuantLib {
Spread overnightSpread,
ext::optional<bool> endOfMonth,
ext::optional<Frequency> fixedPaymentFrequency,
const Calendar& fixedCalendar)
: RateHelper(fixedRate), discountHandle_(std::move(discount)),
telescopicValueDates_(telescopicValueDates), averagingMethod_(averagingMethod) {

auto clonedOvernightIndex =
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.)
clonedOvernightIndex->unregisterWith(termStructureHandle_);

registerWith(clonedOvernightIndex);
registerWith(discountHandle_);

const Calendar& fixedCalendar,
Pillar::Choice pillar,
Date customPillarDate)
: base_type(fixedRate, index, std::move(discount), pillar, customPillarDate) {
// input discount curve Handle might be empty now but it could
// be assigned a curve later; use a RelinkableHandle here
auto tmp = MakeOIS(Period(), clonedOvernightIndex, 0.0, forwardStart)
auto tmp = MakeOIS(Period(), overnightIndex(), 0.0, forwardStart)
.withDiscountingTermStructure(discountRelinkableHandle_)
.withEffectiveDate(startDate)
.withTerminationDate(endDate)
.withTelescopicValueDates(telescopicValueDates_)
.withTelescopicValueDates(telescopicValueDates)
.withPaymentLag(paymentLag)
.withPaymentAdjustment(paymentConvention)
.withPaymentFrequency(paymentFrequency)
.withPaymentCalendar(paymentCalendar)
.withOvernightLegSpread(overnightSpread)
.withAveragingMethod(averagingMethod_);
.withAveragingMethod(averagingMethod);
if (endOfMonth) {
tmp.withEndOfMonth(*endOfMonth);
}
Expand All @@ -208,43 +145,15 @@ namespace QuantLib {
if (!fixedCalendar.empty()) {
tmp.withFixedLegCalendar(fixedCalendar);
}
swap_ = tmp;

earliestDate_ = swap_->startDate();
Date lastPaymentDate = std::max(swap_->overnightLeg().back()->date(),
swap_->fixedLeg().back()->date());
latestDate_ = std::max(swap_->maturityDate(), lastPaymentDate);
}

void DatedOISRateHelper::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);

RateHelper::setTermStructure(t);
}

Real DatedOISRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
// we didn't register as observers - force calculation
swap_->deepUpdate();
return swap_->fairRate();
setInstrument<OvernightIndexedSwap>(tmp);
}

void DatedOISRateHelper::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<DatedOISRateHelper>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
RateHelper::accept(v);
base_type::accept(v);
}

}

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