Coverage Report

Created: 2026-09-28 06:23

next uncovered line (L), next uncovered region (R), next uncovered branch (B)
/src/quantlib/ql/termstructures/yield/multipleresetsswaphelper.cpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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 Copyright (C) 2026 Zain Mughal
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 This file is part of QuantLib, a free-software/open-source library
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 for financial quantitative analysts and developers - http://quantlib.org/
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 QuantLib is free software: you can redistribute it and/or modify it
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 under the terms of the QuantLib license.  You should have received a
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 copy of the license along with this program; if not, please email
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 <quantlib-dev@lists.sf.net>. The license is also available online at
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 <https://www.quantlib.org/license.shtml>.
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 This program is distributed in the hope that it will be useful, but WITHOUT
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 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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 FOR A PARTICULAR PURPOSE.  See the license for more details.
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*/
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#include <ql/instruments/makemultipleresetsswap.hpp>
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#include <ql/instruments/simplifynotificationgraph.hpp>
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#include <ql/termstructures/yield/multipleresetsswaphelper.hpp>
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#include <ql/utilities/null_deleter.hpp>
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namespace QuantLib {
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    MultipleResetsSwapRateHelper::MultipleResetsSwapRateHelper(
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        Natural settlementDays,
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        const Period& tenor,
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        const std::variant<Rate, Handle<Quote>>& fixedRate,
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        const ext::shared_ptr<IborIndex>& iborIndex,
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        Size resetsPerCoupon,
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        Handle<YieldTermStructure> discountingCurve,
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        RateAveraging::Type averagingMethod,
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        Spread spread,
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        Frequency fixedFrequency,
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        const DayCounter& fixedDayCount,
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        BusinessDayConvention fixedConvention)
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    : RelativeDateRateHelper(fixedRate), settlementDays_(settlementDays), tenor_(tenor),
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      resetsPerCoupon_(resetsPerCoupon), averagingMethod_(averagingMethod), spread_(spread),
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      fixedFrequency_(fixedFrequency),
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      fixedDayCount_(!fixedDayCount.empty() ? fixedDayCount : iborIndex->dayCounter()),
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      fixedConvention_(fixedConvention), discountHandle_(std::move(discountingCurve)) {
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        // Clone the index so it forwards rates from termStructureHandle_,
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        // but don't register the clone as an observer of termStructureHandle_
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        // (that would interfere with bootstrapping).
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        iborIndex_ = ext::dynamic_pointer_cast<IborIndex>(iborIndex->clone(termStructureHandle_));
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        iborIndex_->unregisterWith(termStructureHandle_);
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        registerWith(iborIndex_);
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        registerWith(discountHandle_);
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        initializeDates();
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    }
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    void MultipleResetsSwapRateHelper::initializeDates() {
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        swap_ = MakeMultipleResetsSwap(tenor_, iborIndex_, resetsPerCoupon_)
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                    .withFixedRate(0.0)
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                    .withSettlementDays(settlementDays_)
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                    .withFixedLegFrequency(fixedFrequency_)
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                    .withFixedLegDayCount(fixedDayCount_)
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                    .withFixedLegConvention(fixedConvention_)
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                    .withFloatingLegSpread(spread_)
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                    .withAveragingMethod(averagingMethod_)
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                    .withDiscountingTermStructure(discountRelinkableHandle_);
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        simplifyNotificationGraph(*swap_, true);
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        earliestDate_ = swap_->startDate();
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        latestRelevantDate_ = latestDate_ =
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            std::max(swap_->fixedLeg().back()->date(), swap_->floatingLeg().back()->date());
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    }
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    void MultipleResetsSwapRateHelper::setTermStructure(YieldTermStructure* t) {
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        bool observer = false;
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        ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());
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        termStructureHandle_.linkTo(temp, observer);
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        if (discountHandle_.empty())
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            discountRelinkableHandle_.linkTo(temp, observer);
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        else
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            discountRelinkableHandle_.linkTo(*discountHandle_, observer);
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        RelativeDateRateHelper::setTermStructure(t);
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    }
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    Real MultipleResetsSwapRateHelper::impliedQuote() const {
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        QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
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        swap_->deepUpdate();
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        return swap_->fairRate();
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    }
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    void MultipleResetsSwapRateHelper::accept(AcyclicVisitor& v) {
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        auto* v1 = dynamic_cast<Visitor<MultipleResetsSwapRateHelper>*>(&v);
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        if (v1 != nullptr)
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            v1->visit(*this);
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        else
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            RateHelper::accept(v);
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    }
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}