/*
Copyright (C) 2009 John Martin
This source code is release under the BSD License.
This file is part of JQuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://jquantlib.org/
JQuantLib is free software: you can redistribute it and/or modify it
under the terms of the JQuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
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.
JQuantLib is based on QuantLib. http://quantlib.org/
When applicable, the original copyright notice follows this notice.
*/
/*
Copyright (C) 2006, 2008 Ferdinando Ametrano
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl
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
. The license is also available online at
.
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.
*/
package org.jquantlib.instruments;
import java.util.ArrayList;
import java.util.List;
import org.jquantlib.QL;
import org.jquantlib.cashflow.CashFlow;
import org.jquantlib.cashflow.FixedRateCoupon;
import org.jquantlib.cashflow.FixedRateLeg;
import org.jquantlib.cashflow.IborCoupon;
import org.jquantlib.cashflow.IborLeg;
import org.jquantlib.cashflow.Leg;
import org.jquantlib.daycounters.DayCounter;
import org.jquantlib.indexes.IborIndex;
import org.jquantlib.lang.exceptions.LibraryException;
import org.jquantlib.math.Constants;
import org.jquantlib.pricingengines.PricingEngine;
import org.jquantlib.time.BusinessDayConvention;
import org.jquantlib.time.Date;
import org.jquantlib.time.Schedule;
/**
* Plain-vanilla swap
*
* @note if you define TodaysPayments like this
*
* new Settings().setTodaysPayments(true);
*
* payments occurring at the settlement date of
* the swap are included in the NPV, and therefore
* affect the fair-rate and fair-spread
* calculation. This might not be what you want.
*
* @category instruments
*
* @author Richard Gomes
*/
// TODO: code review :: license, class comments, comments for access modifiers, comments for @Override
public class VanillaSwap extends Swap {
static final /*@Spread*/ double basisPoint = 1.0e-4;
private final Type type;
private final /*@Real*/ double nominal;
private final Schedule fixedSchedule;
private final /*@Rate*/ double fixedRate;
private final DayCounter fixedDayCount;
private final Schedule floatingSchedule;
private final IborIndex iborIndex;
private final /*@Spread*/ double spread;
private final DayCounter floatingDayCount;
private final BusinessDayConvention paymentConvention;
// private final Array fixingDays;
// results
private /*@Rate*/ double fairRate;
private /*@Spread*/ double fairSpread;
public VanillaSwap(
final Type type,
final /*@Real*/ double nominal,
final Schedule fixedSchedule,
final /*@Rate*/ double fixedRate,
final DayCounter fixedDayCount,
final Schedule floatSchedule,
final IborIndex iborIndex,
final /*@Spread*/ double spread,
final DayCounter floatingDayCount) {
this(type, nominal, fixedSchedule, fixedRate, fixedDayCount, floatSchedule,
iborIndex, spread, floatingDayCount, BusinessDayConvention.Following);
}
//FIXME: remove parameter "fixingDays"
public VanillaSwap(
final Type type,
final /*@Real*/ double nominal,
final Schedule fixedSchedule,
final /*@Rate*/ double fixedRate,
final DayCounter fixedDayCount,
final Schedule floatSchedule,
final IborIndex iborIndex,
final /*@Spread*/ double spread,
final DayCounter floatingDayCount,
final BusinessDayConvention paymentConvention
/*, final Array fixingDays*/) {
super(2);
this.type = type;
this.nominal = nominal;
this.fixedSchedule = fixedSchedule;
this.fixedRate = fixedRate;
this.fixedDayCount = fixedDayCount;
this.floatingSchedule = floatSchedule;
this.iborIndex = iborIndex;
this.spread = spread;
this.floatingDayCount = floatingDayCount;
this.paymentConvention = paymentConvention;
//FIXME this.fixingDays = fixingDays;
final Leg fixedLeg = new FixedRateLeg(fixedSchedule, fixedDayCount)
.withNotionals(nominal)
.withCouponRates(fixedRate)
.withPaymentAdjustment(paymentConvention)
.Leg();
// JM where are gearings set they cannot be null for the floating leg.
final Leg floatingLeg = new IborLeg(floatingSchedule, iborIndex)
.withNotionals(nominal)
.withPaymentDayCounter(floatingDayCount)
.withPaymentAdjustment(paymentConvention)
//FIXME:: .withFixingDays (fixingDays) // FIXME: slight deviation from quantlib, need to expose fixing days up the stack
.withSpreads(spread)
// FIXME: JM quantlib does not assign this, it is currently required for construction
// .withGearings(1.0)
.Leg();
for (final CashFlow item : floatingLeg) {
item.addObserver(this);
}
super.legs.add(fixedLeg);
super.legs.add(floatingLeg);
if (type==Type.Payer) {
super.payer[0] = -1.0;
super.payer[1] = +1.0;
} else {
super.payer[0] = +1.0;
super.payer[1] = -1.0;
}
}
public /*@Rate*/ double fairRate() /* @ReadOnly */ {
calculate();
QL.require(!Double.isNaN(fairRate) , "result not available"); // TODO: message
return fairRate;
}
public /*@Spread*/ double fairSpread() /* @ReadOnly */ {
calculate();
QL.require(!Double.isNaN(fairSpread) , "result not available"); // TODO: message
return fairSpread;
}
public final Leg fixedLeg() /* @ReadOnly */ {
return legs.get(0);
}
public final Leg floatingLeg() /* @ReadOnly */ {
return legs.get(1);
}
public /*@Real*/ double fixedLegBPS() /* @ReadOnly */ {
calculate();
QL.require(!Double.isNaN(legBPS[0]) , "result not available"); // TODO: message
return legBPS[0];
}
public /*@Real*/ double floatingLegBPS() /* @ReadOnly */ {
calculate();
QL.require(!Double.isNaN(legBPS[1]) , "result not available");
return legBPS[1];
}
public /*@Real*/ double fixedLegNPV() /* @ReadOnly */ {
calculate();
QL.require(!Double.isNaN(legNPV[0]) , "result not available"); // TODO: message
return legNPV[0];
}
public /*@Real*/ double floatingLegNPV() /* @ReadOnly */ {
calculate();
QL.require(!Double.isNaN(legNPV[1]) , "result not available"); // TODO: message
return legNPV[1];
}
@Override
public void setupExpired() /* @ReadOnly */ {
super.setupExpired();
legBPS[0] = 0.0;
legBPS[1] = 0.0;
fairRate = Constants.NULL_REAL;
fairSpread = Constants.NULL_REAL;
}
@Override
public void setupArguments(final PricingEngine.Arguments arguments) /* @ReadOnly */ {
super.setupArguments(arguments);
if (arguments.getClass().isAssignableFrom(VanillaSwap.Arguments.class)) {
final VanillaSwap.ArgumentsImpl a = (VanillaSwap.ArgumentsImpl) arguments;
a.type = type;
a.nominal = nominal;
final Leg fixedCoupons = fixedLeg();
a.fixedResetDates = new ArrayList(fixedCoupons.size());
a.fixedPayDates = new ArrayList(fixedCoupons.size());
a.fixedCoupons = new ArrayList(fixedCoupons.size());
for (int i=0; i(floatingCoupons.size());
a.floatingPayDates = new ArrayList(floatingCoupons.size());
a.floatingFixingDates = new ArrayList(floatingCoupons.size());
a.floatingAccrualTimes = new ArrayList(floatingCoupons.size());
a.floatingSpreads = new ArrayList(floatingCoupons.size());
a.floatingCoupons = new ArrayList(floatingCoupons.size());
for (int i=0; i fixedResetDates;
public List fixedPayDates;
public List floatingAccrualTimes;
public List floatingResetDates;
public List floatingFixingDates;
public List floatingPayDates;
public List fixedCoupons;
public List floatingSpreads;
public List floatingCoupons;
@Override
public void validate() /* @ReadOnly */ {
super.validate();
QL.require(!Double.isNaN(nominal) , "nominal null or not set"); // TODO: message
QL.require(fixedResetDates.size() == fixedPayDates.size() , "number of fixed start dates different from number of fixed payment dates");
QL.require(fixedPayDates.size() == fixedCoupons.size() , "number of fixed payment dates different from number of fixed coupon amounts");
QL.require(floatingResetDates.size() == floatingPayDates.size() , "number of floating start dates different from number of floating payment dates");
QL.require(floatingFixingDates.size() == floatingPayDates.size() , "number of floating fixing dates different from number of floating payment dates");
QL.require(floatingAccrualTimes.size() == floatingPayDates.size() , "number of floating accrual Times different from number of floating payment dates");
QL.require(floatingSpreads.size() == floatingPayDates.size() , "number of floating spreads different from number of floating payment dates");
QL.require(floatingPayDates.size() == floatingCoupons.size() , "number of floating payment dates different from number of floating coupon amounts");
}
}
/**
* Results from simple swap calculation
*
* @author Richard Gomes
*/
// TODO: code review :: object model needs to be validated and eventually refactored
public class ResultsImpl extends Swap.ResultsImpl implements VanillaSwap.Results {
public /*@Rate*/ double fairRate;
public /*@Spread*/ double fairSpread;
@Override
public void reset() {
super.reset();
fairRate = Constants.NULL_REAL;
fairSpread = Constants.NULL_REAL;
}
}
}
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