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refactor FuturesRateHelper ctors
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@PaulXiCao
PaulXiCao committed Nov 10, 2023
1 parent 77418dc commit 478ddcc
Showing 1 changed file with 122 additions and 158 deletions.
280 changes: 122 additions & 158 deletions ql/termstructures/yield/ratehelpers.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -39,7 +39,114 @@
#include <ql/optional.hpp>
#include <utility>

#define APPLY_DATES(dates) { \
earliestDate_ = dates.earliestDate_; \
latestDate_ = dates.latestDate_; \
maturityDate_ = dates.maturityDate_; \
latestRelevantDate_ = dates.latestRelevantDate_; \
pillarDate_ = dates.pillarDate_; \
yearFraction_ = dates.yearFraction_; \
}

namespace QuantLib {
namespace {
struct FuturesRateHelperDates {
Date earliestDate_, latestDate_;
Date maturityDate_, latestRelevantDate_, pillarDate_;
Time yearFraction_;
};

void CheckDate(const Date& date, const Futures::Type type) {
switch (type) {
case Futures::IMM:
QL_REQUIRE(IMM::isIMMdate(date, false), date << " is not a valid IMM date");
break;
case Futures::ASX:
QL_REQUIRE(ASX::isASXdate(date, false), date << " is not a valid ASX date");
break;
default:
QL_FAIL("unknown futures type (" << Integer(type) << ')');
}
}

Time DetermineYearFraction(const FuturesRateHelperDates& dates, const DayCounter& dayCounter) {
return dayCounter.yearFraction(dates.earliestDate_, dates.maturityDate_);
}

FuturesRateHelperDates InitializeDates(const Date& iborStartDate,
const Natural lengthInMonths,
const Calendar& calendar,
const BusinessDayConvention convention,
const bool endOfMonth,
const DayCounter& dayCounter,
const Futures::Type type) {
CheckDate(iborStartDate, type);
FuturesRateHelperDates dates;
dates.earliestDate_ = iborStartDate;
dates.maturityDate_ = calendar.advance(iborStartDate, lengthInMonths*Months, convention, endOfMonth);
dates.yearFraction_ = DetermineYearFraction(dates, dayCounter);
dates.pillarDate_ = dates.latestDate_ = dates.latestRelevantDate_ = dates.maturityDate_;
return dates;
}

FuturesRateHelperDates InitializeDates(const Date& iborStartDate,
const Date& iborEndDate,
const DayCounter& dayCounter,
Futures::Type type) {
CheckDate(iborStartDate, type);

const auto determineMaturityDate = [&iborStartDate, &iborEndDate](const auto nextDateCalculator) -> Date {
Date maturityDate;
if (iborEndDate == Date()) {
// advance 3 months
maturityDate = nextDateCalculator(iborStartDate);
maturityDate = nextDateCalculator(maturityDate);
maturityDate = nextDateCalculator(maturityDate);
}
else {
QL_REQUIRE(iborEndDate>iborStartDate,
"end date (" << iborEndDate <<
") must be greater than start date (" <<
iborStartDate << ')');
maturityDate = iborEndDate;
}
return maturityDate;
};

FuturesRateHelperDates dates;
switch (type) {
case Futures::IMM:
dates.maturityDate_ = determineMaturityDate([](const Date date) -> Date {
return IMM::nextDate(date, false);
});
break;
case Futures::ASX:
dates.maturityDate_ = determineMaturityDate([](const Date date) -> Date {
return ASX::nextDate(date, false);
});
break;
default:
QL_FAIL("unknown futures type (" << Integer(type) << ')');
}
dates.earliestDate_ = iborStartDate;
dates.yearFraction_ = DetermineYearFraction(dates, dayCounter);
dates.pillarDate_ = dates.latestDate_ = dates.latestRelevantDate_ = dates.maturityDate_;
return dates;
}

FuturesRateHelperDates InitializeDates(const Date& iborStartDate,
const ext::shared_ptr<IborIndex>& i,
const Futures::Type type) {
CheckDate(iborStartDate, type);
FuturesRateHelperDates dates;
dates.earliestDate_ = iborStartDate;
const Calendar& cal = i->fixingCalendar();
dates.maturityDate_ = cal.advance(iborStartDate, i->tenor(), i->businessDayConvention());
dates.yearFraction_ = DetermineYearFraction(dates, i->dayCounter());
dates.pillarDate_ = dates.latestDate_ = dates.latestRelevantDate_ = dates.maturityDate_;
return dates;
}
} // namespace

FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
const Date& iborStartDate,
Expand All @@ -51,24 +158,9 @@ namespace QuantLib {
Handle<Quote> convAdj,
Futures::Type type)
: RateHelper(price), convAdj_(std::move(convAdj)) {
switch (type) {
case Futures::IMM:
QL_REQUIRE(IMM::isIMMdate(iborStartDate, false),
iborStartDate << " is not a valid IMM date");
break;
case Futures::ASX:
QL_REQUIRE(ASX::isASXdate(iborStartDate, false),
iborStartDate << " is not a valid ASX date");
break;
default:
QL_FAIL("unknown futures type (" << Integer(type) << ")");
}
earliestDate_ = iborStartDate;
maturityDate_ = calendar.advance(iborStartDate, lengthInMonths*Months,
convention, endOfMonth);
yearFraction_ = dayCounter.yearFraction(earliestDate_, maturityDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;

const FuturesRateHelperDates dates = InitializeDates(iborStartDate, lengthInMonths, calendar, convention,
endOfMonth, dayCounter, type);
APPLY_DATES(dates);
registerWith(convAdj_);
}

Expand All @@ -84,23 +176,9 @@ namespace QuantLib {
: RateHelper(price),
convAdj_(Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(convAdj))))
{
switch (type) {
case Futures::IMM:
QL_REQUIRE(IMM::isIMMdate(iborStartDate, false),
iborStartDate << " is not a valid IMM date");
break;
case Futures::ASX:
QL_REQUIRE(ASX::isASXdate(iborStartDate, false),
iborStartDate << " is not a valid ASX date");
break;
default:
QL_FAIL("unknown futures type (" << Integer(type) << ")");
}
earliestDate_ = iborStartDate;
maturityDate_ = calendar.advance(iborStartDate, lengthInMonths*Months,
convention, endOfMonth);
yearFraction_ = dayCounter.yearFraction(earliestDate_, maturityDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;
const FuturesRateHelperDates dates = InitializeDates(iborStartDate, lengthInMonths, calendar, convention,
endOfMonth, dayCounter, type);
APPLY_DATES(dates);
}

FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
Expand All @@ -110,48 +188,8 @@ namespace QuantLib {
Handle<Quote> convAdj,
Futures::Type type)
: RateHelper(price), convAdj_(std::move(convAdj)) {
switch (type) {
case Futures::IMM:
QL_REQUIRE(IMM::isIMMdate(iborStartDate, false),
iborStartDate << " is not a valid IMM date");
if (iborEndDate == Date()) {
// advance 3 months
maturityDate_ = IMM::nextDate(iborStartDate, false);
maturityDate_ = IMM::nextDate(maturityDate_, false);
maturityDate_ = IMM::nextDate(maturityDate_, false);
}
else {
QL_REQUIRE(iborEndDate>iborStartDate,
"end date (" << iborEndDate <<
") must be greater than start date (" <<
iborStartDate << ")");
maturityDate_ = iborEndDate;
}
break;
case Futures::ASX:
QL_REQUIRE(ASX::isASXdate(iborStartDate, false),
iborStartDate << " is not a valid ASX date");
if (iborEndDate == Date()) {
// advance 3 months
maturityDate_ = ASX::nextDate(iborStartDate, false);
maturityDate_ = ASX::nextDate(maturityDate_, false);
maturityDate_ = ASX::nextDate(maturityDate_, false);
}
else {
QL_REQUIRE(iborEndDate>iborStartDate,
"end date (" << iborEndDate <<
") must be greater than start date (" <<
iborStartDate << ")");
maturityDate_ = iborEndDate;
}
break;
default:
QL_FAIL("unknown futures type (" << Integer(type) << ")");
}
earliestDate_ = iborStartDate;
yearFraction_ = dayCounter.yearFraction(earliestDate_, maturityDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;

const FuturesRateHelperDates dates = InitializeDates(iborStartDate, iborEndDate, dayCounter, type);
APPLY_DATES(dates);
registerWith(convAdj_);
}

Expand All @@ -164,47 +202,8 @@ namespace QuantLib {
: RateHelper(price),
convAdj_(Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(convAdj))))
{
switch (type) {
case Futures::IMM:
QL_REQUIRE(IMM::isIMMdate(iborStartDate, false),
iborStartDate << " is not a valid IMM date");
if (iborEndDate == Date()) {
// advance 3 months
maturityDate_ = IMM::nextDate(iborStartDate, false);
maturityDate_ = IMM::nextDate(maturityDate_, false);
maturityDate_ = IMM::nextDate(maturityDate_, false);
}
else {
QL_REQUIRE(iborEndDate>iborStartDate,
"end date (" << iborEndDate <<
") must be greater than start date (" <<
iborStartDate << ")");
maturityDate_ = iborEndDate;
}
break;
case Futures::ASX:
QL_REQUIRE(ASX::isASXdate(iborStartDate, false),
iborStartDate << " is not a valid ASX date");
if (iborEndDate == Date()) {
// advance 3 months
maturityDate_ = ASX::nextDate(iborStartDate, false);
maturityDate_ = ASX::nextDate(maturityDate_, false);
maturityDate_ = ASX::nextDate(maturityDate_, false);
}
else {
QL_REQUIRE(iborEndDate>iborStartDate,
"end date (" << iborEndDate <<
") must be greater than start date (" <<
iborStartDate << ")");
maturityDate_ = iborEndDate;
}
break;
default:
QL_FAIL("unknown futures type (" << Integer(type) << ")");
}
earliestDate_ = iborStartDate;
yearFraction_ = dayCounter.yearFraction(earliestDate_, maturityDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;
const FuturesRateHelperDates dates = InitializeDates(iborStartDate, iborEndDate, dayCounter, type);
APPLY_DATES(dates);
}

FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
Expand All @@ -213,26 +212,8 @@ namespace QuantLib {
const Handle<Quote>& convAdj,
Futures::Type type)
: RateHelper(price), convAdj_(convAdj) {
switch (type) {
case Futures::IMM:
QL_REQUIRE(IMM::isIMMdate(iborStartDate, false),
iborStartDate << " is not a valid IMM date");
break;
case Futures::ASX:
QL_REQUIRE(ASX::isASXdate(iborStartDate, false),
iborStartDate << " is not a valid ASX date");
break;
default:
QL_FAIL("unknown futures type (" << Integer(type) << ")");
}
earliestDate_ = iborStartDate;
const Calendar& cal = i->fixingCalendar();
maturityDate_ = cal.advance(iborStartDate, i->tenor(),
i->businessDayConvention());
yearFraction_ = i->dayCounter().yearFraction(earliestDate_,
maturityDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;

const FuturesRateHelperDates dates = InitializeDates(iborStartDate, i, type);
APPLY_DATES(dates);
registerWith(convAdj);
}

Expand All @@ -244,25 +225,8 @@ namespace QuantLib {
: RateHelper(price),
convAdj_(Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(convAdj))))
{
switch (type) {
case Futures::IMM:
QL_REQUIRE(IMM::isIMMdate(iborStartDate, false),
iborStartDate << " is not a valid IMM date");
break;
case Futures::ASX:
QL_REQUIRE(ASX::isASXdate(iborStartDate, false),
iborStartDate << " is not a valid ASX date");
break;
default:
QL_FAIL("unknown futures type (" << Integer(type) << ")");
}
earliestDate_ = iborStartDate;
const Calendar& cal = i->fixingCalendar();
maturityDate_ = cal.advance(iborStartDate, i->tenor(),
i->businessDayConvention());
yearFraction_ = i->dayCounter().yearFraction(earliestDate_,
maturityDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;
const FuturesRateHelperDates dates = InitializeDates(iborStartDate, i, type);
APPLY_DATES(dates);
}

Real FuturesRateHelper::impliedQuote() const {
Expand Down Expand Up @@ -818,7 +782,7 @@ namespace QuantLib {
void SwapRateHelper::initializeDates() {

// 1. do not pass the spread here, as it might be a Quote
// i.e. it can dinamically change
// i.e. it can dynamically change
// 2. input discount curve Handle might be empty now but it could
// be assigned a curve later; use a RelinkableHandle here
swap_ = MakeVanillaSwap(tenor_, iborIndex_, 0.0, fwdStart_)
Expand Down

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