Allow passing a pricer to OISRateHelper, deprecate superseded experim…

…ental classes (#2052)
lballabio · Aug 7, 2024 · 897ddbe · 897ddbe
2 parents 4e5dd72 + 94e5c22
commit 897ddbe
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Showing 12 changed files with 226 additions and 125 deletions.
diff --git a/cmake/GenerateHeaders.cmake b/cmake/GenerateHeaders.cmake
@@ -60,6 +60,7 @@ function(generate_dir_headers source_dir binary_dir)
     list(FILTER children_hpp EXCLUDE REGEX "fdstepconditionengine.hpp")
     list(FILTER children_hpp EXCLUDE REGEX "duffsdeviceinnerproduct.hpp")
     list(FILTER children_hpp EXCLUDE REGEX "dividendvanillaoption.hpp")
+    list(FILTER children_hpp EXCLUDE REGEX "averageoiscouponpricer.hpp")
 
     file(GLOB children_dir RELATIVE ${source_dir} "${source_dir}/*")
     list(FILTER children_dir EXCLUDE REGEX "CMakeFiles")

diff --git a/ql/experimental/averageois/Makefile.am b/ql/experimental/averageois/Makefile.am
@@ -40,7 +40,7 @@ all.hpp: Makefile.am
 	echo "/* This file is automatically generated; do not edit.     */" > ${srcdir}/$@
 	echo "/* Add the files to be included into Makefile.am instead. */" >> ${srcdir}/$@
 	echo >> ${srcdir}/$@
-	for i in $(filter-out all.hpp, $(this_include_HEADERS)); do \
+	for i in $(filter-out all.hpp averageoiscouponpricer.hpp, $(this_include_HEADERS)); do \
 		echo "#include <${subdir}/$$i>" >> ${srcdir}/$@; \
 	done
 	echo >> ${srcdir}/$@

diff --git a/ql/experimental/averageois/all.hpp b/ql/experimental/averageois/all.hpp
@@ -1,7 +1,6 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
-#include <ql/experimental/averageois/averageoiscouponpricer.hpp>
 #include <ql/experimental/averageois/arithmeticaverageois.hpp>
 #include <ql/experimental/averageois/arithmeticoisratehelper.hpp>
 #include <ql/experimental/averageois/makearithmeticaverageois.hpp>

diff --git a/ql/experimental/averageois/arithmeticaverageois.cpp b/ql/experimental/averageois/arithmeticaverageois.cpp
@@ -25,6 +25,8 @@
 
 namespace QuantLib {
 
+    QL_DEPRECATED_DISABLE_WARNING
+
     ArithmeticAverageOIS::ArithmeticAverageOIS(Type type,
                                                Real nominal,
                                                Schedule fixedLegSchedule,
@@ -143,4 +145,6 @@ namespace QuantLib {
         return legNPV_[1];
     }
 
+    QL_DEPRECATED_ENABLE_WARNING
+
 }
diff --git a/ql/experimental/averageois/arithmeticaverageois.hpp b/ql/experimental/averageois/arithmeticaverageois.hpp
@@ -32,8 +32,10 @@ namespace QuantLib {
     class Schedule;
     class OvernightIndex;
 
-    //! Arithemtic Average OIS: fix vs arithmetic average of overnight rate
-    class ArithmeticAverageOIS : public Swap {
+    /*! \deprecated Use OvernightIndexedSwap instead.
+                        Deprecated in version 1.36.
+    */
+    class [[deprecated("Use OvernightIndexedSwap instead")]] ArithmeticAverageOIS : public Swap {
       public:
         ArithmeticAverageOIS(Type type,
                              Real nominal,
@@ -60,7 +62,10 @@ namespace QuantLib {
         //! \name Inspectors
         //@{
         Type type() const { return type_; }
-        Real nominal() const;
+        Real nominal() const {
+            QL_REQUIRE(nominals_.size()==1, "varying nominals");
+            return nominals_[0];
+        }
         std::vector<Real> nominals() const { return nominals_; }
 
         //const Schedule& schedule() { return schedule_; }
@@ -107,14 +112,6 @@ namespace QuantLib {
         Real vol_;
     };
 
-
-    // inline
-
-    inline Real ArithmeticAverageOIS::nominal() const {
-        QL_REQUIRE(nominals_.size()==1, "varying nominals");
-        return nominals_[0];
-    }
-
 }
 
 #endif
diff --git a/ql/experimental/averageois/arithmeticoisratehelper.cpp b/ql/experimental/averageois/arithmeticoisratehelper.cpp
@@ -25,6 +25,8 @@
 
 namespace QuantLib {
 
+    QL_DEPRECATED_DISABLE_WARNING
+
     ArithmeticOISRateHelper::ArithmeticOISRateHelper(Natural settlementDays,
                                                      const Period& tenor, // swap maturity
                                                      Frequency fixedLegPaymentFrequency,
@@ -106,4 +108,6 @@ namespace QuantLib {
             RateHelper::accept(v);
     }
 
+    QL_DEPRECATED_ENABLE_WARNING
+
 }
diff --git a/ql/experimental/averageois/arithmeticoisratehelper.hpp b/ql/experimental/averageois/arithmeticoisratehelper.hpp
@@ -29,9 +29,12 @@
 
 namespace QuantLib {
 
-    //! Rate helper for bootstrapping over Overnight Indexed Swap rates
-    class ArithmeticOISRateHelper : public RelativeDateRateHelper {
+    /*! \deprecated Use OISRateHelper instead.
+                        Deprecated in version 1.36.
+    */
+    class [[deprecated("Use OISRateHelper instead")]] ArithmeticOISRateHelper : public RelativeDateRateHelper {
       public:
+        QL_DEPRECATED_DISABLE_WARNING
         ArithmeticOISRateHelper(
             Natural settlementDays,
             const Period& tenor, // swap maturity
@@ -80,6 +83,7 @@ namespace QuantLib {
           Real vol_;
           bool byApprox_;
 
+        QL_DEPRECATED_ENABLE_WARNING
     };
 
 }

diff --git a/ql/experimental/averageois/makearithmeticaverageois.cpp b/ql/experimental/averageois/makearithmeticaverageois.cpp
@@ -24,6 +24,8 @@
 
 namespace QuantLib {
 
+    QL_DEPRECATED_DISABLE_WARNING
+
     MakeArithmeticAverageOIS::MakeArithmeticAverageOIS(
         const Period& swapTenor,
         const ext::shared_ptr<OvernightIndex>& overnightIndex,
@@ -234,4 +236,6 @@ namespace QuantLib {
         return *this;
     }
 
+    QL_DEPRECATED_ENABLE_WARNING
+
 }
diff --git a/ql/experimental/averageois/makearithmeticaverageois.hpp b/ql/experimental/averageois/makearithmeticaverageois.hpp
@@ -30,12 +30,13 @@
 
 namespace QuantLib {
 
-    //! helper class
-    /*! This class provides a more comfortable way
-        to instantiate arithemtic average overnight indexed swaps.
+    /*! \deprecated Use MakeOIS instead.
+                        Deprecated in version 1.36.
     */
-    class MakeArithmeticAverageOIS {
+    class [[deprecated("Use MakeOIS instead")]] MakeArithmeticAverageOIS {
       public:
+        QL_DEPRECATED_DISABLE_WARNING
+
         MakeArithmeticAverageOIS(const Period& swapTenor,
                 const ext::shared_ptr<OvernightIndex>& overnightIndex,
                 Rate fixedRate = Null<Rate>(),
@@ -95,6 +96,8 @@ namespace QuantLib {
         DayCounter fixedDayCount_;
 
         ext::shared_ptr<PricingEngine> engine_;
+
+        QL_DEPRECATED_ENABLE_WARNING
     };
 
 }

diff --git a/ql/termstructures/yield/oisratehelper.cpp b/ql/termstructures/yield/oisratehelper.cpp
@@ -20,6 +20,7 @@
 
 #include <ql/instruments/makeois.hpp>
 #include <ql/instruments/simplifynotificationgraph.hpp>
+#include <ql/cashflows/couponpricer.hpp>
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
 #include <ql/termstructures/yield/oisratehelper.hpp>
 #include <ql/utilities/null_deleter.hpp>
@@ -47,15 +48,17 @@ namespace QuantLib {
                                  Calendar fixedCalendar,
                                  Natural lookbackDays,
                                  Natural lockoutDays,
-                                 bool applyObservationShift)
+                                 bool applyObservationShift,
+                                 ext::shared_ptr<FloatingRateCouponPricer> pricer)
     : RelativeDateRateHelper(fixedRate), pillarChoice_(pillar), settlementDays_(settlementDays), tenor_(tenor),
       discountHandle_(std::move(discount)), telescopicValueDates_(telescopicValueDates),
       paymentLag_(paymentLag), paymentConvention_(paymentConvention),
       paymentFrequency_(paymentFrequency), paymentCalendar_(std::move(paymentCalendar)),
       forwardStart_(forwardStart), overnightSpread_(overnightSpread),
       averagingMethod_(averagingMethod), endOfMonth_(endOfMonth),
       fixedPaymentFrequency_(fixedPaymentFrequency), fixedCalendar_(std::move(fixedCalendar)),
-      lookbackDays_(lookbackDays), lockoutDays_(lockoutDays), applyObservationShift_(applyObservationShift) {
+      lookbackDays_(lookbackDays), lockoutDays_(lockoutDays), applyObservationShift_(applyObservationShift),
+      pricer_(std::move(pricer)) {
 
         overnightIndex_ =
             ext::dynamic_pointer_cast<OvernightIndex>(overnightIndex->clone(termStructureHandle_));
@@ -99,6 +102,9 @@ namespace QuantLib {
         }
         swap_ = tmp;
 
+        if (pricer_)
+            setCouponPricer(swap_->overnightLeg(), pricer_);
+
         simplifyNotificationGraph(*swap_, true);
 
         earliestDate_ = swap_->startDate();
@@ -181,7 +187,8 @@ namespace QuantLib {
                                            const Calendar& fixedCalendar,
                                            Natural lookbackDays,
                                            Natural lockoutDays,
-                                           bool applyObservationShift)
+                                           bool applyObservationShift,
+                                           ext::shared_ptr<FloatingRateCouponPricer> pricer)
     : RateHelper(fixedRate), discountHandle_(std::move(discount)),
       telescopicValueDates_(telescopicValueDates), averagingMethod_(averagingMethod) {
 
@@ -222,6 +229,9 @@ namespace QuantLib {
         }
         swap_ = tmp;
 
+        if (pricer)
+            setCouponPricer(swap_->overnightLeg(), pricer);
+
         earliestDate_ = swap_->startDate();
         Date lastPaymentDate = std::max(swap_->overnightLeg().back()->date(),
                                         swap_->fixedLeg().back()->date());
@@ -247,7 +257,7 @@ namespace QuantLib {
     : DatedOISRateHelper(startDate, endDate, fixedRate, overnightIndex, std::move(discount), telescopicValueDates,
                          averagingMethod, paymentLag, paymentConvention, paymentFrequency, paymentCalendar,
                          overnightSpread, endOfMonth, fixedPaymentFrequency, fixedCalendar) {}
-    
+
     void DatedOISRateHelper::setTermStructure(YieldTermStructure* t) {
         // do not set the relinkable handle as an observer -
         // force recalculation when needed

diff --git a/ql/termstructures/yield/oisratehelper.hpp b/ql/termstructures/yield/oisratehelper.hpp
@@ -31,6 +31,8 @@
 
 namespace QuantLib {
 
+    class FloatingRateCouponPricer;
+
     //! Rate helper for bootstrapping over Overnight Indexed Swap rates
     class OISRateHelper : public RelativeDateRateHelper {
       public:
@@ -55,7 +57,8 @@ namespace QuantLib {
                       Calendar fixedCalendar = Calendar(),
                       Natural lookbackDays = Null<Natural>(),
                       Natural lockoutDays = 0,
-                      bool applyObservationShift = false);
+                      bool applyObservationShift = false,
+                      ext::shared_ptr<FloatingRateCouponPricer> pricer = {});
         //! \name RateHelper interface
         //@{
         Real impliedQuote() const override;
@@ -98,6 +101,7 @@ namespace QuantLib {
       Natural lookbackDays_;
       Natural lockoutDays_;
       bool applyObservationShift_;
+      ext::shared_ptr<FloatingRateCouponPricer> pricer_;
     };
 
     //! Rate helper for bootstrapping over Overnight Indexed Swap rates
@@ -121,8 +125,9 @@ namespace QuantLib {
                            const Calendar& fixedCalendar = Calendar(),
                            Natural lookbackDays = Null<Natural>(),
                            Natural lockoutDays = 0,
-                           bool applyObservationShift = false);
-
+                           bool applyObservationShift = false,
+                           ext::shared_ptr<FloatingRateCouponPricer> pricer = {});
+
         /*! \deprecated Use the overload without forward start.
                         Deprecated in version 1.35.
         */