Merge branch 'lballabio:master' into feature/smilesection-optional-forward

Author: quantales

ql/instruments/makecds.cpp

@@ -21,6 +21,7 @@
 #include <ql/instruments/makecds.hpp>
 #include <ql/time/daycounters/actual360.hpp>
 #include <ql/time/calendars/weekendsonly.hpp>
+#include <utility>
 
 
 namespace QuantLib {
@@ -153,7 +154,7 @@ namespace QuantLib {
     }
 
     MakeCreditDefaultSwap& MakeCreditDefaultSwap::withClaim(ext::shared_ptr<Claim> claim) {
-        claim_ = claim;
+        claim_ = std::move(claim);
         return *this;
     }
 

ql/instruments/makeswaption.cpp

@@ -53,14 +53,16 @@ namespace QuantLib {
 
     MakeSwaption::operator ext::shared_ptr<Swaption>() const {
 
-        const Calendar& fixingCalendar = swapIndex_->fixingCalendar();
+        const Calendar& calendar = exerciseCalendar_.empty()
+            ? swapIndex_->fixingCalendar()
+            : exerciseCalendar_;
         Date refDate = Settings::instance().evaluationDate();
         // if the evaluation date is not a business day
         // then move to the next business day
-        refDate = fixingCalendar.adjust(refDate);
+        refDate = calendar.adjust(refDate);
         if (fixingDate_ == Date())
-            fixingDate_ = fixingCalendar.advance(refDate, optionTenor_,
-                                                 optionConvention_);
+            fixingDate_ = calendar.advance(refDate, optionTenor_,
+                                           optionConvention_);
         if (exerciseDate_ == Date()) {
             exercise_ = ext::shared_ptr<Exercise>(new
                 EuropeanExercise(fixingDate_));
@@ -165,6 +167,11 @@ namespace QuantLib {
         return *this;
     }
 
+    MakeSwaption& MakeSwaption::withExerciseCalendar(const Calendar& cal) {
+        exerciseCalendar_ = cal;
+        return *this;
+    }
+
     MakeSwaption& MakeSwaption::withUnderlyingType(const Swap::Type type) {
         underlyingType_ = type;
         return *this;

ql/instruments/makeswaption.hpp

@@ -60,6 +60,7 @@ namespace QuantLib {
         MakeSwaption& withSettlementMethod(Settlement::Method settlementMethod);
         MakeSwaption& withOptionConvention(BusinessDayConvention bdc);
         MakeSwaption& withExerciseDate(const Date&);
+        MakeSwaption& withExerciseCalendar(const Calendar&);
         MakeSwaption& withUnderlyingType(Swap::Type type);
         MakeSwaption& withIndexedCoupons(const ext::optional<bool>& b = true);
         MakeSwaption& withAtParCoupons(bool b = true);
@@ -76,6 +77,7 @@ namespace QuantLib {
         BusinessDayConvention optionConvention_;
         mutable Date fixingDate_;
         Date exerciseDate_;
+        Calendar exerciseCalendar_;
         mutable ext::shared_ptr<Exercise> exercise_;
 
         Rate strike_;

ql/instruments/multipleresetsswap.cpp

@@ -37,7 +37,7 @@ namespace QuantLib {
 
     MultipleResetsSwap::MultipleResetsSwap(
         Type type, Real nominal,
-        Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDayCount,
+        const Schedule& fixedSchedule, Rate fixedRate, DayCounter fixedDayCount,
         Schedule fullResetSchedule,
         const ext::shared_ptr<IborIndex>& iborIndex, Size resetsPerCoupon,
         Spread spread, RateAveraging::Type averagingMethod,

ql/instruments/multipleresetsswap.hpp

@@ -41,7 +41,7 @@ namespace QuantLib {
       public:
         MultipleResetsSwap(Type type,
                            Real nominal,
-                           Schedule fixedSchedule,
+                           const Schedule& fixedSchedule,
                            Rate fixedRate,
                            DayCounter fixedDayCount,
                            Schedule fullResetSchedule,

ql/termstructures/volatility/equityfx/blackvolsurfacedelta.hpp

@@ -113,7 +113,7 @@ namespace QuantLib {
         //@}
         //! \name Visitability
         //@{
-        virtual void accept(AcyclicVisitor&) override;
+        void accept(AcyclicVisitor&) override;
         //@}
 
         //! \name Inspectors
@@ -159,7 +159,7 @@ namespace QuantLib {
         ext::shared_ptr<SmileSection> blackVolSmile(const Date& d) const;
 
     protected:
-        virtual Volatility blackVolImpl(Time t, Real strike) const override;
+        Volatility blackVolImpl(Time t, Real strike) const override;
 
     private:
         std::vector<Date> dates_;
@@ -195,8 +195,8 @@ namespace QuantLib {
     // inline definitions
 
     inline void BlackVolatilitySurfaceDelta::accept(AcyclicVisitor& v) {
-        Visitor<BlackVolatilitySurfaceDelta>* v1 = dynamic_cast<Visitor<BlackVolatilitySurfaceDelta>*>(&v);
-        if (v1 != 0)
+        auto* v1 = dynamic_cast<Visitor<BlackVolatilitySurfaceDelta>*>(&v);
+        if (v1 != nullptr)
             v1->visit(*this);
         else
             BlackVolatilityTermStructure::accept(v);

ql/termstructures/yield/multipleresetsswaphelper.cpp

@@ -34,12 +34,12 @@ namespace QuantLib {
         RateAveraging::Type averagingMethod,
         Spread spread,
         Frequency fixedFrequency,
-        DayCounter fixedDayCount,
+        const DayCounter& fixedDayCount,
         BusinessDayConvention fixedConvention)
     : RelativeDateRateHelper(fixedRate), settlementDays_(settlementDays), tenor_(tenor),
       resetsPerCoupon_(resetsPerCoupon), averagingMethod_(averagingMethod), spread_(spread),
       fixedFrequency_(fixedFrequency),
-      fixedDayCount_(!fixedDayCount.empty() ? std::move(fixedDayCount) : iborIndex->dayCounter()),
+      fixedDayCount_(!fixedDayCount.empty() ? fixedDayCount : iborIndex->dayCounter()),
       fixedConvention_(fixedConvention), discountHandle_(std::move(discountingCurve)) {
 
         // Clone the index so it forwards rates from termStructureHandle_,

ql/termstructures/yield/multipleresetsswaphelper.hpp

@@ -45,7 +45,7 @@ namespace QuantLib {
             RateAveraging::Type averagingMethod = RateAveraging::Compound,
             Spread spread = 0.0,
             Frequency fixedFrequency = NoFrequency,
-            DayCounter fixedDayCount = DayCounter(),
+            const DayCounter& fixedDayCount = DayCounter(),
             BusinessDayConvention fixedConvention = ModifiedFollowing);
 
         Real impliedQuote() const override;

test-suite/interpolatedsmilesection.cpp

@@ -121,9 +121,9 @@ BOOST_AUTO_TEST_CASE(testHandlesUpdatePropagates) {
     ext::shared_ptr<SimpleQuote> q1(new SimpleQuote(0.15 * sqrtT));
     ext::shared_ptr<SimpleQuote> q2(new SimpleQuote(0.18 * sqrtT));
     std::vector<Handle<Quote>> stdDevHandles;
-    stdDevHandles.emplace_back(Handle<Quote>(q0));
-    stdDevHandles.emplace_back(Handle<Quote>(q1));
-    stdDevHandles.emplace_back(Handle<Quote>(q2));
+    stdDevHandles.emplace_back(q0);
+    stdDevHandles.emplace_back(q1);
+    stdDevHandles.emplace_back(q2);
 
     ext::shared_ptr<SimpleQuote> atm(new SimpleQuote(95.0));
     Handle<Quote> atmHandle(atm);
@@ -161,9 +161,9 @@ BOOST_AUTO_TEST_CASE(testFlatStrikeExtrapolation) {
     ext::shared_ptr<SimpleQuote> q1(new SimpleQuote(0.15 * sqrtT));
     ext::shared_ptr<SimpleQuote> q2(new SimpleQuote(0.18 * sqrtT));
     std::vector<Handle<Quote>> stdDevHandles;
-    stdDevHandles.emplace_back(Handle<Quote>(q0));
-    stdDevHandles.emplace_back(Handle<Quote>(q1));
-    stdDevHandles.emplace_back(Handle<Quote>(q2));
+    stdDevHandles.emplace_back(q0);
+    stdDevHandles.emplace_back(q1);
+    stdDevHandles.emplace_back(q2);
 
     ext::shared_ptr<SimpleQuote> atm(new SimpleQuote(95.0));
     Handle<Quote> atmHandle(atm);

test-suite/swaption.cpp

@@ -27,8 +27,11 @@
 #include "utilities.hpp"
 #include <ql/cashflows/iborcoupon.hpp>
 #include <ql/instruments/swaption.hpp>
+#include <ql/instruments/makeswaption.hpp>
 #include <ql/instruments/makevanillaswap.hpp>
 #include <ql/instruments/makeois.hpp>
+#include <ql/indexes/swap/euriborswap.hpp>
+#include <ql/time/calendars/unitedstates.hpp>
 #include <ql/termstructures/yield/flatforward.hpp>
 #include <ql/termstructures/yield/zerospreadedtermstructure.hpp>
 #include <ql/indexes/ibor/euribor.hpp>
@@ -1143,6 +1146,52 @@ BOOST_AUTO_TEST_CASE(testSwaptionDeltaInBachelierModel) {
     checkSwaptionDelta<BachelierSwaptionEngine>(true);
 }
 
+BOOST_AUTO_TEST_CASE(testMakeSwaptionWithExerciseCalendar) {
+
+    BOOST_TEST_MESSAGE("Testing MakeSwaption with exercise calendar override...");
+
+    // Use a specific date where TARGET and US Settlement diverge:
+    // 1Y advance from Oct 9, 2015 gives Oct 10, 2016 (TARGET)
+    // vs Oct 11, 2016 (US), because Oct 10 is Columbus Day.
+    Date today(9, October, 2015);
+    Settings::instance().evaluationDate() = today;
+    RelinkableHandle<YieldTermStructure> termStructure;
+    termStructure.linkTo(flatRate(today, 0.05, Actual365Fixed()));
+
+    auto swapIndex = ext::make_shared<EuriborSwapIsdaFixA>(5*Years, termStructure);
+    Calendar targetCalendar = swapIndex->fixingCalendar();
+    Calendar usCalendar = UnitedStates(UnitedStates::Settlement);
+
+    // Default uses swap index's fixing calendar (TARGET)
+    Swaption defaultSwaption =
+        MakeSwaption(swapIndex, 1*Years, 0.05);
+    Date defaultExercise = defaultSwaption.exercise()->dates().front();
+
+    Date expected = targetCalendar.advance(
+        targetCalendar.adjust(today), 1*Years, ModifiedFollowing);
+    BOOST_CHECK_EQUAL(defaultExercise, expected);
+
+    // With custom calendar, exercise date differs
+    Swaption customSwaption =
+        MakeSwaption(swapIndex, 1*Years, 0.05)
+            .withExerciseCalendar(usCalendar);
+    Date customExercise = customSwaption.exercise()->dates().front();
+
+    Date expectedCustom = usCalendar.advance(
+        usCalendar.adjust(today), 1*Years, ModifiedFollowing);
+    BOOST_CHECK_EQUAL(customExercise, expectedCustom);
+    BOOST_CHECK_NE(customExercise, defaultExercise);
+
+    // Explicit withExerciseDate takes precedence over calendar
+    Date explicitDate = targetCalendar.advance(today, 6*Months);
+    Date fixingDate = targetCalendar.advance(today, 1*Years);
+    Swaption explicitSwaption =
+        MakeSwaption(swapIndex, fixingDate, 0.05)
+            .withExerciseCalendar(usCalendar)
+            .withExerciseDate(explicitDate);
+    BOOST_CHECK_EQUAL(explicitSwaption.exercise()->dates().front(), explicitDate);
+}
+
 BOOST_AUTO_TEST_SUITE_END()
 
 BOOST_AUTO_TEST_SUITE_END()