Ois

quantlib/_index.pxd

@@ -19,7 +19,7 @@ from quantlib.time._calendar cimport Calendar
 from quantlib.time._date cimport Date
 
 
-cdef extern from 'ql/index.hpp' namespace 'QuantLib':
+cdef extern from 'ql/index.hpp' namespace 'QuantLib' nogil:
 
     cdef cppclass Index(Observable):
         string name()

quantlib/_interest_rate.pxd

@@ -14,7 +14,7 @@ from quantlib.time._daycounter cimport DayCounter
 from quantlib.time._period cimport Frequency
 from quantlib.compounding cimport Compounding
 
-cdef extern from 'ql/interestrate.hpp' namespace 'QuantLib':
+cdef extern from 'ql/interestrate.hpp' namespace 'QuantLib' nogil:
 
     cppclass InterestRate:
         InterestRate()

quantlib/_observable.pxd

@@ -1,5 +1,5 @@
-include 'types.pxi'
 from .handle cimport shared_ptr
+from .types cimport Size
 
 cdef extern from 'ql/patterns/observable.hpp' namespace 'QuantLib' nogil:
     cdef cppclass Observable:

quantlib/cashflows/_coupon_pricer.pxd

@@ -1,4 +1,4 @@
-include '../types.pxi'
+from quantlib.types cimport Rate, Real
 
 from quantlib.handle cimport shared_ptr, Handle
 from quantlib.termstructures.volatility.optionlet._optionlet_volatility_structure cimport OptionletVolatilityStructure
@@ -7,7 +7,7 @@ from quantlib._cashflow cimport Leg
 from quantlib.cashflows._floating_rate_coupon cimport FloatingRateCoupon
 from quantlib._quote cimport Quote
 
-cdef extern from 'ql/cashflows/couponpricer.hpp' namespace 'QuantLib':
+cdef extern from 'ql/cashflows/couponpricer.hpp' namespace 'QuantLib' nogil:
 
     cdef cppclass FloatingRateCouponPricer:
         FloatingRateCouponPricer() except +

quantlib/cashflows/_overnight_indexed_coupon.pxd

@@ -1,4 +1,4 @@
-from quantlib.types cimport Rate, Real, Spread, Time
+from quantlib.types cimport Natural, Rate, Real, Spread, Time
 
 from libcpp cimport bool
 from libcpp.vector cimport vector
@@ -22,10 +22,15 @@ cdef extern from 'ql/cashflows/overnightindexedcoupon.hpp' namespace 'QuantLib':
                                const Date& refPeriodEnd, #= Date(),
                                const DayCounter& dayCounter, #= DayCounter(),
                                bool telescopicValueDates, #=False,
-                               RateAveraging averagingMethod) # = RateAveraging::Compound
+                               RateAveraging averagingMethod, # = RateAveraging::Compound
+                               Natural lookback_days,
+                               Natural lockout_days,
+                               bool apply_observation_shift)
 
         vector[Date]& fixingDates()
         vector[Time]& dt()
         vector[Rate]& indexFixings() except +
         vector[Date]& valueDates()
         RateAveraging averagingMethod()
+        Natural lockoutDays()
+        bool applyObservationShift()

quantlib/cashflows/_overnight_indexed_coupon_pricer.pxd

@@ -0,0 +1,13 @@
+from quantlib.types cimport Rate, Real
+from libcpp cimport bool
+from ._coupon_pricer cimport FloatingRateCouponPricer
+
+cdef extern from 'ql/cashflows/overnightindexedcouponpricer.hpp' namespace 'QuantLib' nogil:
+    cdef cppclass CompoundingOvernightIndexedCouponPricer(FloatingRateCouponPricer):
+        pass
+    cdef cppclass ArithmeticAveragedOvernightIndexedCouponPricer(FloatingRateCouponPricer):
+        ArithmeticAveragedOvernightIndexedCouponPricer(
+            Real meanReversion, # = 0.03
+            Real volatility, # = 0.00 No convexity adjustment by default
+            bool byApprox # = false, True to use Katsumi Takada approximation
+        )

quantlib/cashflows/coupon_pricer.pyx

@@ -1,5 +1,4 @@
-include '../types.pxi'
-
+from quantlib.types cimport Rate
 from cython.operator cimport dereference as deref
 from quantlib.cashflow cimport Leg
 from quantlib.termstructures.volatility.optionlet.optionlet_volatility_structure cimport OptionletVolatilityStructure
@@ -15,14 +14,18 @@ from quantlib.time.daycounter cimport DayCounter
 from quantlib.quote cimport Quote
 from quantlib.quotes.simplequote cimport SimpleQuote
 from .coupon_pricer cimport FloatingRateCouponPricer
+from .floating_rate_coupon cimport FloatingRateCoupon
+from . cimport _floating_rate_coupon as _frc
 cimport quantlib._cashflow as _cf
 
 cdef class FloatingRateCouponPricer:
 
-    def __init__(self):
-        raise ValueError(
-            'CouponPricer cannot be directly instantiated!'
-        )
+    def __cinit__(self):
+        if type(self) in (FloatingRateCouponPricer, IborCouponPricer):
+            raise ValueError(f"'{type(self).__name__}' cannot be directly instantiated!")
+
+    def initialize(self, FloatingRateCoupon coupon not None):
+        self._thisptr.get().initialize(deref(<_frc.FloatingRateCoupon*>coupon._thisptr.get()))
 
     def swaplet_price(self):
         return self._thisptr.get().swapletPrice()
@@ -43,14 +46,6 @@ cdef class FloatingRateCouponPricer:
         return self._thisptr.get().floorletRate(effective_floor)
 
 
-cdef class IborCouponPricer(FloatingRateCouponPricer):
-
-    def __init__(self):
-        raise ValueError(
-            'IborCouponPricer cannot be directly instantiated!'
-        )
-
-
 cpdef enum TimingAdjustment:
     Black76 = _cp.Black76
     BivariateLognormal = _cp.BivariateLognormal

quantlib/cashflows/overnight_indexed_coupon.pyx

@@ -1,4 +1,4 @@
-from quantlib.types cimport Real, Spread
+from quantlib.types cimport Natural, Real, Spread
 
 from libcpp cimport bool
 from libcpp.vector cimport vector
@@ -8,6 +8,7 @@ from quantlib.time.date cimport Date, date_from_qldate
 from quantlib.time._date cimport Date as QlDate
 from quantlib.time.daycounter cimport DayCounter
 from quantlib.indexes.ibor_index cimport OvernightIndex
+from quantlib.utilities.null cimport Null
 cimport quantlib.indexes._ibor_index as _ii
 cimport quantlib._cashflow as _cf
 from .rateaveraging cimport RateAveraging
@@ -20,14 +21,18 @@ cdef class OvernightIndexedCoupon(FloatingRateCoupon):
                  OvernightIndex index not None, Real gearing=1., Spread spread=0.,
                  Date ref_period_start=Date(), Date ref_period_end=Date(),
                  DayCounter day_counter=DayCounter(), bool telescopic_values= False,
-                 RateAveraging averaging_method=RateAveraging.Compound):
+                 RateAveraging averaging_method=RateAveraging.Compound,
+                 Natural lookback_days=Null[Natural](),
+                 Natural lockout_days=0,
+                 bool apply_observation_shift=False):
         self._thisptr = make_shared[_oic.OvernightIndexedCoupon](
                 payment_date._thisptr, nominal,
                 start_date._thisptr, end_date._thisptr,
                 static_pointer_cast[_ii.OvernightIndex](index._thisptr),
                 gearing, spread,
                 ref_period_start._thisptr, ref_period_end._thisptr,
-                deref(day_counter._thisptr), telescopic_values, averaging_method
+                deref(day_counter._thisptr), telescopic_values, averaging_method,
+            lookback_days, lockout_days, apply_observation_shift
         )
 
     def fixing_dates(self):
@@ -61,8 +66,19 @@ cdef class OvernightIndexedCoupon(FloatingRateCoupon):
             l.append(date)
             preinc(it)
         return l
-
-
+
+    @property
+    def lockout_days(self):
+        return (<_oic.OvernightIndexedCoupon*>self._thisptr.get()).lockoutDays()
+
+    @property
+    def averaging_method(self):
+        return (<_oic.OvernightIndexedCoupon*>self._thisptr.get()).averagingMethod()
+
+    @property
+    def apply_observation_shift(self):
+        return (<_oic.OvernightIndexedCoupon*>self._thisptr.get()).applyObservationShift()
+
 cdef class OvernightLeg(Leg):
 
     def __iter__(self):

quantlib/cashflows/overnight_indexed_coupon_pricer.pxd

@@ -0,0 +1,8 @@
+from .coupon_pricer cimport FloatingRateCouponPricer
+
+cdef class CompoundingOvernightIndexedCouponPricer(FloatingRateCouponPricer):
+     pass
+
+
+cdef class ArithmeticAveragedOvernightIndexedCouponPricer(FloatingRateCouponPricer):
+    pass

quantlib/cashflows/overnight_indexed_coupon_pricer.pyx

@@ -0,0 +1,16 @@
+from quantlib.types cimport Real
+from libcpp cimport bool
+from . cimport _overnight_indexed_coupon_pricer as _oicp
+
+cdef class CompoundingOvernightIndexedCouponPricer(FloatingRateCouponPricer):
+     def __init__(self):
+         self._thisptr.reset(new _oicp.CompoundingOvernightIndexedCouponPricer())
+
+cdef class ArithmeticAveragedOvernightIndexedCouponPricer(FloatingRateCouponPricer):
+    def __init__(self, Real mean_reversion = 0.03, Real volatility=0.0, bool by_approx=False):
+        """ pricer for arithmetically averaged overnight indexed coupons
+
+        Reference: Katsumi Takada 2011, Valuation of Arithmetically Average of
+        Fed Funds Rates and Construction of the US Dollar Swap Yield Curve"""
+
+        self._thisptr.reset(new _oicp.ArithmeticAveragedOvernightIndexedCouponPricer(mean_reversion, volatility, by_approx))

quantlib/indexes/_ibor_index.pxd

@@ -22,7 +22,7 @@ cimport quantlib.termstructures.yields._flat_forward as _ff
 from quantlib.indexes._interest_rate_index cimport InterestRateIndex
 
 
-cdef extern from 'ql/indexes/iborindex.hpp' namespace 'QuantLib':
+cdef extern from 'ql/indexes/iborindex.hpp' namespace 'QuantLib' nogil:
 
     # base class for Inter-Bank-Offered-Rate indexes (e.g. %Libor, etc.)
     cdef cppclass IborIndex(InterestRateIndex):

quantlib/indexes/_interest_rate_index.pxd

@@ -19,10 +19,9 @@ from quantlib.time._daycounter cimport DayCounter
 from quantlib.currency._currency cimport Currency
 
 
-cdef extern from 'ql/indexes/interestrateindex.hpp' namespace 'QuantLib':
+cdef extern from 'ql/indexes/interestrateindex.hpp' namespace 'QuantLib' nogil:
 
     cdef cppclass InterestRateIndex(Index):
-        InterestRateIndex()
         InterestRateIndex(string& familyName,
                          Period& tenor,
                          Natural settlementDays,

quantlib/instruments/_make_ois.pxd

@@ -49,5 +49,8 @@ cdef extern from 'ql/instruments/makeois.hpp' namespace 'QuantLib':
         MakeOIS &withTelescopicValueDates(bool telescopicValueDates)
 
         MakeOIS& withAveragingMethod(RateAveraging averagingMethod)
+        MakeOIS& withLookbackDays(Natural lookbackDays)
+        MakeOIS& withLockoutDays(Natural lockoutDays)
+        MakeOIS& withObservationShift(bool ObservationShift)
 
         MakeOIS& withPricingEngine(shared_ptr[PricingEngine]& engine)

quantlib/instruments/_overnightindexedswap.pxd

@@ -1,5 +1,5 @@
 
-from quantlib.types cimport Natural, Rate, Real, Spread
+from quantlib.types cimport Integer, Natural, Rate, Real, Spread
 from quantlib.cashflows.rateaveraging cimport RateAveraging
 from libcpp cimport bool
 from libcpp.vector cimport vector
@@ -18,35 +18,47 @@ cdef extern from 'ql/instruments/overnightindexedswap.hpp' namespace 'QuantLib':
     cdef cppclass OvernightIndexedSwap(FixedVsFloatingSwap):
         OvernightIndexedSwap(Type type,
                              Real nominal,
-                             const Schedule& schedule,
+                             const Schedule& fixedSchedule,
                              Rate fixedRate,
                              DayCounter fixedDC,
+                             const Schedule overnightSchedule,
                              shared_ptr[OvernightIndex] overnightIndex,
                              Spread spread, # = 0.0,
-                             Natural paymentLag, # = 0,
+                             Integer paymentLag, # = 0,
                              BusinessDayConvention paymentAdjustment, # = Following,
                              const Calendar& paymentCalendar, # = Calendar(),
                              bool telescopicValueDates, # = false,
-                             RateAveraging averagingMethod) # = RateAveraging::Compound);
+                             RateAveraging averagingMethod, # = RateAveraging::Compound);
+                             Natural lookbackDays, # = Null<Natural>(),
+                             Natural lockoutDays, # = 0,
+                             bool applyObservationShift) # = False
 
         OvernightIndexedSwap(Type type,
-                             vector[Real] nominals,
-                             const Schedule& schedule,
+                             vector[Real] fixed_nominals,
+                             const Schedule& fixedSchedule,
                              Rate fixedRate,
                              DayCounter fixedDC,
+                             vector[Real] overnight_nominals,
+                             const Schedule overnightSchedule,
                              shared_ptr[OvernightIndex] overnightIndex,
                              Spread spread, # = 0.0,
-                             Natural paymentLag, # = 0,
+                             Integer paymentLag, # = 0,
                              BusinessDayConvention paymentAdjustment, # = Following,
                              const Calendar& paymentCalendar, # = Calendar(),
                              bool telescopicValueDates, # = false,
-                             RateAveraging averagingMethod) # = RateAveraging::Compound);
+                             RateAveraging averagingMethod, # = RateAveraging::Compound);
+                             Natural lookbackDays, # = Null<Natural>(),
+                             Natural lockoutDays, # = 0,
+                             bool applyObservationShift) # = False
         Frequency paymentFrequency()
 
         const shared_ptr[OvernightIndex]& overnightIndex()
         const Leg& overnightLeg() const
 
         RateAveraging averagingMethod() const
+        Natural lookbackDays() const
+        Natural lockoutDays() const
+        bool applyObservationShift() const
 
         Real overnightLegBPS() const
         Real overnightLegNPV() const

quantlib/instruments/make_ois.pyx

@@ -110,6 +110,18 @@ cdef class MakeOIS:
         self._thisptr.withAveragingMethod(averagingMethod)
         return self
 
+    def with_lookback_days(self, Natural lookback_days):
+        self._thisptr.withLookbackDays(lookback_days)
+        return self
+
+    def with_lockout_days(self, Natural lockout_days):
+        self._thisptr.withLockoutDays(lockout_days)
+        return self
+
+    def with_apply_observation_shift(self, bool observation_shift):
+        self._thisptr.withObservationShift(observation_shift)
+        return self
+
     def with_pricing_engine(self, PricingEngine engine):
         self._thisptr.withPricingEngine(engine._thisptr)
         return self

quantlib/instruments/overnightindexedswap.pyx

@@ -1,5 +1,5 @@
 """Overnight index swap paying compounded overnight vs. fixed"""
-from quantlib.types cimport Real
+from quantlib.types cimport Real, Integer, Natural
 from cython.operator cimport dereference as deref
 from libcpp cimport bool
 from libcpp.vector cimport vector
@@ -13,6 +13,7 @@ from quantlib.time.calendar cimport Calendar
 from quantlib.time.daycounter cimport DayCounter
 from quantlib.time.schedule cimport Schedule
 from quantlib.handle cimport make_shared, static_pointer_cast
+from quantlib.utilities.null cimport Null
 from .swap cimport Type
 from . cimport _overnightindexedswap as _ois
 from quantlib._instrument cimport Instrument
@@ -25,34 +26,42 @@ cdef inline _ois.OvernightIndexedSwap* get_OIS(OvernightIndexedSwap self):
 
 cdef class OvernightIndexedSwap(FixedVsFloatingSwap):
     """Overnight indexed swap: fix vs compounded overnight rate"""
-    def __init__(self, Type swap_type, nominal, Schedule schedule,
-                 Rate fixed_rate, DayCounter fixed_dc, OvernightIndex overnight_index,
-                 Spread spread=0.0, Natural payment_lag=0,
+    def __init__(self, Type swap_type, nominal, Schedule fixed_schedule,
+                 Rate fixed_rate, DayCounter fixed_dc, Schedule overnight_schedule,
+                 OvernightIndex overnight_index,
+                 Spread spread=0.0, Integer payment_lag=0,
                  BusinessDayConvention payment_adjustment=Following,
                  Calendar payment_calendar=Calendar(), bool telescopic_value_dates=False,
-                 RateAveraging averaging_method=RateAveraging.Compound):
+                 RateAveraging averaging_method=RateAveraging.Compound,
+                 Natural lookback_days=Null[Natural](),
+                 Natural lockout_days=0,
+                 bool apply_observation_shift=False):
         cdef vector[double] nominals
         cdef double n
 
 
         if isinstance(nominal, float):
             self._thisptr = static_pointer_cast[Instrument](
                 make_shared[_ois.OvernightIndexedSwap](
-                    swap_type, <Real>nominal, schedule._thisptr, fixed_rate,
-                    deref(fixed_dc._thisptr), static_pointer_cast[_ii.OvernightIndex](overnight_index._thisptr),
+                    swap_type, <Real>nominal, fixed_schedule._thisptr, fixed_rate,
+                    deref(fixed_dc._thisptr), overnight_schedule._thisptr,
+                    static_pointer_cast[_ii.OvernightIndex](overnight_index._thisptr),
                     spread, payment_lag, payment_adjustment, payment_calendar._thisptr,
-                    telescopic_value_dates, averaging_method
+                    telescopic_value_dates, averaging_method, lookback_days, lockout_days,
+                    apply_observation_shift
                 )
             )
         elif isinstance(nominal, list):
             for n in nominal:
                 nominals.push_back(n)
             self._thisptr = static_pointer_cast[Instrument](
                 make_shared[_ois.OvernightIndexedSwap](
-                    swap_type, nominals, schedule._thisptr, fixed_rate,
-                    deref(fixed_dc._thisptr), static_pointer_cast[_ii.OvernightIndex](overnight_index._thisptr),
+                    swap_type, nominals, fixed_schedule._thisptr, fixed_rate,
+                    deref(fixed_dc._thisptr), nominals, overnight_schedule._thisptr,
+                    static_pointer_cast[_ii.OvernightIndex](overnight_index._thisptr),
                     spread, payment_lag, payment_adjustment, payment_calendar._thisptr,
-                    telescopic_value_dates, averaging_method
+                    telescopic_value_dates, averaging_method, lookback_days, lockout_days,
+                    apply_observation_shift
                 )
             )
 

quantlib/termstructures/_helpers.pxd

@@ -13,7 +13,7 @@ from quantlib.handle cimport Handle
 from quantlib._quote cimport Quote
 from quantlib.time._date cimport Date
 
-cdef extern from 'ql/termstructures/bootstraphelper.hpp' namespace 'QuantLib':
+cdef extern from 'ql/termstructures/bootstraphelper.hpp' namespace 'QuantLib' nogil:
     cdef cppclass BootstrapHelper[T]:
         BootstrapHelper(Handle[Quote]& quote)
         BootstrapHelper(Real quote)