| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2018 Roy Zywina |
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| 5 | Copyright (C) 2019 Eisuke Tani |
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| 6 | |
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| 7 | This file is part of QuantLib, a free-software/open-source library |
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| 8 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 9 | |
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| 10 | QuantLib is free software: you can redistribute it and/or modify it |
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| 11 | under the terms of the QuantLib license. You should have received a |
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| 12 | copy of the license along with this program; if not, please email |
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| 13 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 14 | <http://quantlib.org/license.shtml>. |
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| 15 | |
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| 16 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 17 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 18 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 19 | */ |
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| 20 | |
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| 21 | /*! \file overnightindexfuture.hpp |
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| 22 | \brief Overnight Index Future |
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| 23 | */ |
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| 24 | |
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| 25 | #ifndef quantlib_overnightindexfuture_hpp |
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| 26 | #define quantlib_overnightindexfuture_hpp |
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| 27 | |
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| 28 | #include <ql/indexes/iborindex.hpp> |
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| 29 | #include <ql/instruments/forward.hpp> |
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| 30 | #include <ql/cashflows/rateaveraging.hpp> |
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| 31 | |
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| 32 | namespace QuantLib { |
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| 33 | |
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| 34 | /*! Future on a compounded overnight index investment. |
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| 35 | |
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| 36 | Compatible with SOFR futures and Sonia futures available on |
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| 37 | CME and ICE exchanges. |
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| 38 | */ |
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| 39 | class OvernightIndexFuture : public Instrument { |
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| 40 | public: |
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| 41 | OvernightIndexFuture( |
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| 42 | ext::shared_ptr<OvernightIndex> overnightIndex, |
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| 43 | const Date& valueDate, |
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| 44 | const Date& maturityDate, |
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| 45 | Handle<Quote> convexityAdjustment = Handle<Quote>(), |
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| 46 | RateAveraging::Type averagingMethod = RateAveraging::Compound); |
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| 47 | |
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| 48 | Real convexityAdjustment() const; |
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| 49 | bool isExpired() const override; |
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| 50 | const ext::shared_ptr<OvernightIndex>& overnightIndex() const { return overnightIndex_; } |
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| 51 | Date valueDate() const { return valueDate_; } |
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| 52 | Date maturityDate() const { return maturityDate_; } |
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| 53 | private: |
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| 54 | void performCalculations() const override; |
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| 55 | Real rate() const; |
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| 56 | Real averagedRate() const; |
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| 57 | Real compoundedRate() const; |
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| 58 | ext::shared_ptr<OvernightIndex> overnightIndex_; |
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| 59 | Date valueDate_, maturityDate_; |
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| 60 | Handle<Quote> convexityAdjustment_; |
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| 61 | RateAveraging::Type averagingMethod_; |
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| 62 | }; |
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| 63 | |
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| 64 | } |
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| 65 | |
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| 66 | #endif |
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| 67 | |
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