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FuturesRateHelper supplying reference dates for yearFraction computation #1829

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merged 8 commits into from
Jan 31, 2024
Merged

FuturesRateHelper supplying reference dates for yearFraction computation #1829

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478ddcc
refactor FuturesRateHelper ctors
PaulXiCao Nov 10, 2023
85fcf79
supply dates as references for A_365_CA yearFraction computation
PaulXiCao Nov 10, 2023
b63c816
clang format
PaulXiCao Nov 11, 2023
685847f
Use delegating constructors
lballabio Jan 31, 2024
efd3218
Initialization code is no longer deprecated, no need for functions
lballabio Jan 31, 2024
0c4e452
FuturesRateHelperDates and APPLY_DATES no longer required
lballabio Jan 31, 2024
f46b7c3
Merge branch 'master' into pull-request-1829
lballabio Jan 31, 2024
96a0e12
Add test case
lballabio Jan 31, 2024
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231 changes: 74 additions & 157 deletions ql/termstructures/yield/ratehelpers.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -28,18 +28,42 @@
#include <ql/indexes/swapindex.hpp>
#include <ql/instruments/makevanillaswap.hpp>
#include <ql/instruments/simplifynotificationgraph.hpp>
#include <ql/optional.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/quote.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/time/asx.hpp>
#include <ql/time/calendars/jointcalendar.hpp>
#include <ql/time/imm.hpp>
#include <ql/utilities/null_deleter.hpp>
#include <ql/optional.hpp>
#include <utility>

namespace QuantLib {

namespace {

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 Date& earliestDate,
const Date& maturityDate,
const DayCounter& dayCounter) {
return dayCounter.yearFraction(earliestDate, maturityDate,
earliestDate, maturityDate);
}

} // namespace

FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
const Date& iborStartDate,
Natural lengthInMonths,
Expand All @@ -50,22 +74,12 @@ 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) << ")");
}
CheckDate(iborStartDate, type);

earliestDate_ = iborStartDate;
maturityDate_ = calendar.advance(iborStartDate, lengthInMonths*Months,
convention, endOfMonth);
yearFraction_ = dayCounter.yearFraction(earliestDate_, maturityDate_);
maturityDate_ =
calendar.advance(iborStartDate, lengthInMonths * Months, convention, endOfMonth);
yearFraction_ = DetermineYearFraction(earliestDate_, maturityDate_, dayCounter);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;

registerWith(convAdj_);
Expand All @@ -80,27 +94,10 @@ namespace QuantLib {
const DayCounter& dayCounter,
Rate convAdj,
Futures::Type type)
: 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_;
}
: FuturesRateHelper(Handle<Quote>(ext::make_shared<SimpleQuote>(price)),
iborStartDate, lengthInMonths, calendar,
convention, endOfMonth, dayCounter,
Handle<Quote>(ext::make_shared<SimpleQuote>(convAdj)), type) {}

FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
const Date& iborStartDate,
Expand All @@ -109,46 +106,39 @@ namespace QuantLib {
Handle<Quote> convAdj,
Futures::Type type)
: RateHelper(price), convAdj_(std::move(convAdj)) {
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;
};

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

registerWith(convAdj_);
Expand All @@ -160,109 +150,36 @@ namespace QuantLib {
const DayCounter& dayCounter,
Rate convAdj,
Futures::Type type)
: 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_;
}
: FuturesRateHelper(Handle<Quote>(ext::make_shared<SimpleQuote>(price)),
iborStartDate, iborEndDate, dayCounter,
Handle<Quote>(ext::make_shared<SimpleQuote>(convAdj)), type) {}

FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
const Date& iborStartDate,
const ext::shared_ptr<IborIndex>& i,
const ext::shared_ptr<IborIndex>& index,
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) << ")");
}
CheckDate(iborStartDate, type);

earliestDate_ = iborStartDate;
const Calendar& cal = i->fixingCalendar();
maturityDate_ = cal.advance(iborStartDate, i->tenor(),
i->businessDayConvention());
yearFraction_ = i->dayCounter().yearFraction(earliestDate_,
maturityDate_);
const Calendar& cal = index->fixingCalendar();
maturityDate_ =
cal.advance(iborStartDate, index->tenor(), index->businessDayConvention());
yearFraction_ = DetermineYearFraction(earliestDate_, maturityDate_, index->dayCounter());
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;

registerWith(convAdj);
}

FuturesRateHelper::FuturesRateHelper(Real price,
const Date& iborStartDate,
const ext::shared_ptr<IborIndex>& i,
const ext::shared_ptr<IborIndex>& index,
Rate convAdj,
Futures::Type type)
: 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_;
}
: FuturesRateHelper(Handle<Quote>(ext::make_shared<SimpleQuote>(price)),
iborStartDate, index,
Handle<Quote>(ext::make_shared<SimpleQuote>(convAdj)), type) {}

Real FuturesRateHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
Expand Down Expand Up @@ -817,7 +734,7 @@ 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
35 changes: 35 additions & 0 deletions test-suite/piecewiseyieldcurve.cpp
View file
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Original file line number Diff line number Diff line change
Expand Up @@ -43,6 +43,7 @@
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/time/asx.hpp>
#include <ql/time/calendars/canada.hpp>
#include <ql/time/calendars/japan.hpp>
#include <ql/time/calendars/jointcalendar.hpp>
#include <ql/time/calendars/target.hpp>
Expand Down Expand Up @@ -1024,6 +1025,40 @@ BOOST_AUTO_TEST_CASE(testJpyLibor) {
}
}


BOOST_AUTO_TEST_CASE(testCA365Futures) {

BOOST_TEST_MESSAGE("Testing futures rate helpers with act/365 Canadian day counter...");

CommonVars vars;

Settings::instance().evaluationDate() = vars.today;

auto index =
ext::make_shared<IborIndex>("foo", 3*Months, 2, Currency(),
Canada(), ModifiedFollowing, true,
Actual365Fixed(Actual365Fixed::Canadian));

Date immDate = Date();
for (Size i = 0; i<vars.immFuts; i++) {
Handle<Quote> r(vars.immFutPrices[i]);
immDate = IMM::nextDate(immDate, false);
// if the fixing is before the evaluation date, we
// just jump forward by one future maturity
if (index->fixingDate(immDate) < Settings::instance().evaluationDate())
immDate = IMM::nextDate(immDate, false);
vars.immFutHelpers[i] =
ext::make_shared<FuturesRateHelper>(r, immDate, index, Handle<Quote>(), Futures::IMM);
}

auto termStructure =
ext::make_shared<PiecewiseYieldCurve<Discount,LogLinear>>(
vars.settlement, vars.immFutHelpers, Actual360());

BOOST_CHECK_NO_THROW(termStructure->nodes());
}


BOOST_AUTO_TEST_CASE(testDefaultInstantiation) {

BOOST_TEST_MESSAGE("Testing instantiation of curves without passing an interpolator...");
Expand Down
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