1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2010, 2011 Ferdinando Ametrano
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file btp.hpp
21 \brief Italian BTP (Buoni Poliennali del Tesoro) fixed rate bond
22*/
23
24#ifndef quantlib_btp_hpp
25#define quantlib_btp_hpp
26
27#include <ql/instruments/bonds/fixedratebond.hpp>
28#include <ql/instruments/bonds/floatingratebond.hpp>
29#include <ql/indexes/ibor/euribor.hpp>
30#include <ql/instruments/vanillaswap.hpp>
31
32#include <numeric>
33
34namespace QuantLib {
35
36 /*! Italian CCTEU (Certificato di credito del tesoro)
37 Euribor6M indexed floating rate bond
38
39 \ingroup instruments
40
41 */
42 class CCTEU : public FloatingRateBond {
43 public:
44 CCTEU(const Date& maturityDate,
45 Spread spread,
46 const Handle<YieldTermStructure>& fwdCurve =
47 Handle<YieldTermStructure>(),
48 const Date& startDate = Date(),
49 const Date& issueDate = Date());
50 //! \name Bond interface
51 //@{
52 //! accrued amount at a given date
53 /*! The default bond settlement is used if no date is given. */
54 Real accruedAmount(Date d = Date()) const override;
55 //@}
56 };
57
58 //! Italian BTP (Buono Poliennali del Tesoro) fixed rate bond
59 /*! \ingroup instruments
60
61 */
62 class BTP : public FixedRateBond {
63 public:
64 BTP(const Date& maturityDate,
65 Rate fixedRate,
66 const Date& startDate = Date(),
67 const Date& issueDate = Date());
68 /*! constructor needed for legacy non-par redemption BTPs.
69 As of today the only remaining one is IT123456789012
70 that will redeem 99.999 on xx-may-2037 */
71 BTP(const Date& maturityDate,
72 Rate fixedRate,
73 Real redemption,
74 const Date& startDate = Date(),
75 const Date& issueDate = Date());
76 //! \name Bond interface
77 //@{
78 //! accrued amount at a given date
79 /*! The default bond settlement is used if no date is given. */
80 Real accruedAmount(Date d = Date()) const override;
81 //@}
82 //! BTP yield given a (clean) price and settlement date
83 /*! The default BTP conventions are used: Actual/Actual (ISMA),
84 Compounded, Annual.
85 The default bond settlement is used if no date is given. */
86 Rate yield(Real cleanPrice,
87 Date settlementDate = Date(),
88 Real accuracy = 1.0e-8,
89 Size maxEvaluations = 100) const;
90 };
91
92 class RendistatoBasket : public Observer,
93 public Observable {
94 public:
95 RendistatoBasket(const std::vector<ext::shared_ptr<BTP> >& btps,
96 const std::vector<Real>& outstandings,
97 std::vector<Handle<Quote> > cleanPriceQuotes);
98 //! \name Inspectors
99 //@{
100 Size size() const { return n_;}
101 const std::vector<ext::shared_ptr<BTP> >& btps() const;
102 const std::vector<Handle<Quote> >& cleanPriceQuotes() const;
103 const std::vector<Real>& outstandings() const { return outstandings_;}
104 const std::vector<Real>& weights() const { return weights_;}
105 Real outstanding() const { return outstanding_;}
106 //@}
107 //! \name Observer interface
108 //@{
109 void update() override { notifyObservers(); }
110 //@}
111 private:
112 std::vector<ext::shared_ptr<BTP> > btps_;
113 std::vector<Real> outstandings_;
114 std::vector<Handle<Quote> > quotes_;
115 Real outstanding_;
116 Size n_;
117 std::vector<Real> weights_;
118 };
119
120 class RendistatoCalculator : public LazyObject {
121 public:
122 RendistatoCalculator(ext::shared_ptr<RendistatoBasket> basket,
123 ext::shared_ptr<Euribor> euriborIndex,
124 Handle<YieldTermStructure> discountCurve);
125 //! \name Calculations
126 //@{
127 Rate yield() const;
128 Time duration() const;
129 // bonds
130 const std::vector<Rate>& yields() const;
131 const std::vector<Time>& durations() const;
132 // swaps
133 const std::vector<Time>& swapLengths() const;
134 const std::vector<Rate>& swapRates() const;
135 const std::vector<Rate>& swapYields() const;
136 const std::vector<Time>& swapDurations() const;
137 //@}
138 //! \name Equivalent Swap proxy
139 //@{
140 ext::shared_ptr<VanillaSwap> equivalentSwap() const;
141 Rate equivalentSwapRate() const;
142 Rate equivalentSwapYield() const;
143 Time equivalentSwapDuration() const;
144 Time equivalentSwapLength() const;
145 Spread equivalentSwapSpread() const;
146 //@}
147 protected:
148 //! \name LazyObject interface
149 //@{
150 void performCalculations() const override;
151 //@}
152 private:
153 ext::shared_ptr<RendistatoBasket> basket_;
154 ext::shared_ptr<Euribor> euriborIndex_;
155 Handle<YieldTermStructure> discountCurve_;
156
157 mutable std::vector<Rate> yields_;
158 mutable std::vector<Time> durations_;
159 mutable Time duration_;
160 mutable Size equivalentSwapIndex_;
161
162 Size nSwaps_ = 15;
163 mutable std::vector<ext::shared_ptr<VanillaSwap> > swaps_;
164 std::vector<Time> swapLengths_;
165 mutable std::vector<Time> swapBondDurations_;
166 mutable std::vector<Rate> swapBondYields_, swapRates_;
167 };
168
169 //! RendistatoCalculator equivalent swap lenth Quote adapter
170 class RendistatoEquivalentSwapLengthQuote : public Quote {
171 public:
172 RendistatoEquivalentSwapLengthQuote(ext::shared_ptr<RendistatoCalculator> r);
173 Real value() const override;
174 bool isValid() const override;
175
176 private:
177 ext::shared_ptr<RendistatoCalculator> r_;
178 };
179
180 //! RendistatoCalculator equivalent swap spread Quote adapter
181 class RendistatoEquivalentSwapSpreadQuote : public Quote {
182 public:
183 RendistatoEquivalentSwapSpreadQuote(ext::shared_ptr<RendistatoCalculator> r);
184 Real value() const override;
185 bool isValid() const override;
186
187 private:
188 ext::shared_ptr<RendistatoCalculator> r_;
189 };
190
191 // inline
192
193 inline Real CCTEU::accruedAmount(Date d) const {
194 Real result = FloatingRateBond::accruedAmount(d);
195 return ClosestRounding(5)(result);
196 }
197
198 inline Real BTP::accruedAmount(Date d) const {
199 Real result = FixedRateBond::accruedAmount(d);
200 return ClosestRounding(5)(result);
201 }
202
203 inline const std::vector<ext::shared_ptr<BTP> >&
204 RendistatoBasket::btps() const {
205 return btps_;
206 }
207
208 inline const std::vector<Handle<Quote> >&
209 RendistatoBasket::cleanPriceQuotes() const {
210 return quotes_;
211 }
212
213 inline Rate RendistatoCalculator::yield() const {
214 return std::inner_product(first1: basket_->weights().begin(),
215 last1: basket_->weights().end(),
216 first2: yields().begin(), init: Real(0.0));
217 }
218
219 inline Time RendistatoCalculator::duration() const {
220 calculate();
221 return duration_;
222 }
223
224 inline const std::vector<Rate>& RendistatoCalculator::yields() const {
225 calculate();
226 return yields_;
227 }
228
229 inline const std::vector<Time>& RendistatoCalculator::durations() const {
230 calculate();
231 return durations_;
232 }
233
234 inline const std::vector<Time>& RendistatoCalculator::swapLengths() const {
235 return swapLengths_;
236 }
237
238 inline const std::vector<Rate>& RendistatoCalculator::swapRates() const {
239 calculate();
240 return swapRates_;
241 }
242
243 inline const std::vector<Rate>& RendistatoCalculator::swapYields() const {
244 calculate();
245 return swapBondYields_;
246 }
247
248 inline const std::vector<Time>& RendistatoCalculator::swapDurations() const {
249 calculate();
250 return swapBondDurations_;
251 }
252
253 inline ext::shared_ptr<VanillaSwap>
254 RendistatoCalculator::equivalentSwap() const {
255 calculate();
256 return swaps_[equivalentSwapIndex_];
257 }
258
259 inline Rate RendistatoCalculator::equivalentSwapRate() const {
260 calculate();
261 return swapRates_[equivalentSwapIndex_];
262 }
263
264 inline Rate RendistatoCalculator::equivalentSwapYield() const {
265 calculate();
266 return swapBondYields_[equivalentSwapIndex_];
267 }
268
269 inline Time RendistatoCalculator::equivalentSwapDuration() const {
270 calculate();
271 return swapBondDurations_[equivalentSwapIndex_];
272 }
273
274 inline Time RendistatoCalculator::equivalentSwapLength() const {
275 calculate();
276 return swapLengths_[equivalentSwapIndex_];
277 }
278
279 inline Spread RendistatoCalculator::equivalentSwapSpread() const {
280 return yield() - equivalentSwapRate();
281 }
282
283 inline Real RendistatoEquivalentSwapLengthQuote::value() const {
284 return r_->equivalentSwapLength();
285 }
286
287 inline Real RendistatoEquivalentSwapSpreadQuote::value() const {
288 return r_->equivalentSwapSpread();
289 }
290
291}
292
293#endif
294

source code of quantlib/ql/instruments/bonds/btp.hpp