Merged Constatns.BasisPoint into Const.BASIS_POINT

egorpavlikhin · May 6, 2019 · 0d0abe5 · 0d0abe5
1 parent 182c17e
commit 0d0abe5
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Showing 17 changed files with 29 additions and 35 deletions.
diff --git a/src/QLNet/Cashflows/CashFlows.cs b/src/QLNet/Cashflows/CashFlows.cs
@@ -716,7 +716,7 @@ public static double bps(Leg leg, YieldTermStructure discountCurve, bool include
                 !leg[i].tradingExCoupon(settlementDate))
                leg[i].accept(calc);
          }
-         return Constants.BasisPoint * calc.bps() / discountCurve.discount(npvDate);
+         return Const.BASIS_POINT * calc.bps() / discountCurve.discount(npvDate);
       }
       //! NPV and BPS of the cash flows.
       // The NPV and BPS of the cash flows calculated together for performance reason
@@ -745,7 +745,7 @@ public static void npvbps(Leg leg, YieldTermStructure discountCurve, bool includ
          }
          double d = discountCurve.discount(npvDate);
          npv /= d;
-         bps = Constants.BasisPoint * bps / d;
+         bps = Const.BASIS_POINT * bps / d;
       }
 
       // At-the-money rate of the cash flows.

diff --git a/src/QLNet/Cashflows/ConundrumPricer.cs b/src/QLNet/Cashflows/ConundrumPricer.cs
@@ -639,7 +639,7 @@ public override void initialize(FloatingRateCoupon coupon)
 
             swapRateValue_ = swap.fairRate();
 
-            annuity_ = Math.Abs(swap.fixedLegBPS() /Constants.BasisPoint);
+            annuity_ = Math.Abs(swap.fixedLegBPS() /Const.BASIS_POINT);
 
             int q = (int)swapIndex.fixedLegTenor().frequency();
             Schedule schedule = swap.fixedSchedule();

diff --git a/src/QLNet/Constants.cs b/src/QLNet/Constants.cs
diff --git a/src/QLNet/Instruments/AssetSwap.cs b/src/QLNet/Instruments/AssetSwap.cs
@@ -305,7 +305,7 @@ public double fairSpread()
          }
          else if (legBPS_.Count > 1 && legBPS_[1] != null)
          {
-            fairSpread_ = spread_ - NPV_ / legBPS_[1] * Constants.BasisPoint;
+            fairSpread_ = spread_ - NPV_ / legBPS_[1] * Const.BASIS_POINT;
             return fairSpread_.Value;
          }
          else

diff --git a/src/QLNet/Instruments/BMASwap.cs b/src/QLNet/Instruments/BMASwap.cs
@@ -108,15 +108,15 @@ public double liborLegNPV()
 
       public double fairLiborFraction()
       {         
-         double spreadNPV = (liborSpread_ / Constants.BasisPoint) * liborLegBPS();
+         double spreadNPV = (liborSpread_ / Const.BASIS_POINT) * liborLegBPS();
          double pureLiborNPV = liborLegNPV() - spreadNPV;
          Utils.QL_REQUIRE(pureLiborNPV.IsNotEqual(0.0), () => "result not available (null libor NPV)");
          return -liborFraction_ * (bmaLegNPV() + spreadNPV) / pureLiborNPV;
       }
 
       public double fairLiborSpread()
       {         
-         return liborSpread_ - NPV() / (liborLegBPS() / Constants.BasisPoint);
+         return liborSpread_ - NPV() / (liborLegBPS() / Const.BASIS_POINT);
       }
 
       public double bmaLegBPS()

diff --git a/src/QLNet/Instruments/BasisSwap.cs b/src/QLNet/Instruments/BasisSwap.cs
@@ -265,14 +265,14 @@ public override void fetchResults(IPricingEngineResults r)
          // Long fair spread should be fine - no averaging or compounding
          if (fairLongSpread_ == null && legBPS_[longNo_] != null)
          {
-            fairLongSpread_ = longSpread_ - NPV_ / (legBPS_[longNo_] / Constants.BasisPoint);
+            fairLongSpread_ = longSpread_ - NPV_ / (legBPS_[longNo_] / Const.BASIS_POINT);
          }
 
          /* Short fair spread calculation ok if no averaging/compounding OR
             if there is averaging/compounding and the spread is added after */
          if (fairShortSpread_ == null && legBPS_[shortNo_] != null)
          {
-            fairShortSpread_ = shortSpread_ - NPV_ / (legBPS_[shortNo_] / Constants.BasisPoint);
+            fairShortSpread_ = shortSpread_ - NPV_ / (legBPS_[shortNo_] / Const.BASIS_POINT);
          }
       }
 

diff --git a/src/QLNet/Instruments/CPISwap.cs b/src/QLNet/Instruments/CPISwap.cs
@@ -283,13 +283,13 @@ public override void fetchResults(IPricingEngineResults r)
          {
             // calculate it from other results
             if (legBPS_[0] != null)
-               fairRate_ = fixedRate_ - NPV_ / (legBPS_[0] / Constants.BasisPoint);
+               fairRate_ = fixedRate_ - NPV_ / (legBPS_[0] / Const.BASIS_POINT);
          }
          if (fairSpread_ == null)
          {
             // ditto
             if (legBPS_[1] != null)
-               fairSpread_ = spread_ - NPV_ / (legBPS_[1] / Constants.BasisPoint);
+               fairSpread_ = spread_ - NPV_ / (legBPS_[1] / Const.BASIS_POINT);
          }
       }
 

diff --git a/src/QLNet/Instruments/OvernightIndexedSwap.cs b/src/QLNet/Instruments/OvernightIndexedSwap.cs
@@ -162,13 +162,13 @@ public OvernightIndexedSwap(Type type,
       public double? fairRate()
       {
          calculate();
-         return fixedRate_ - NPV_ / (fixedLegBPS() / Constants.BasisPoint);
+         return fixedRate_ - NPV_ / (fixedLegBPS() / Const.BASIS_POINT);
       }
 
       public double? fairSpread()
       {      
          calculate();
-         return spread_ - NPV_ / (overnightLegBPS() / Constants.BasisPoint);
+         return spread_ - NPV_ / (overnightLegBPS() / Const.BASIS_POINT);
       }
 
       public double? fixedLegBPS()

diff --git a/src/QLNet/Instruments/VanillaSwap.cs b/src/QLNet/Instruments/VanillaSwap.cs
@@ -263,13 +263,13 @@ public override void fetchResults(IPricingEngineResults r)
          {
             // calculate it from other results
             if (legBPS_[0] != null)
-               fairRate_ = fixedRate_ - NPV_.GetValueOrDefault() / (legBPS_[0] / Constants.BasisPoint);
+               fairRate_ = fixedRate_ - NPV_.GetValueOrDefault() / (legBPS_[0] / Const.BASIS_POINT);
          }
          if (fairSpread_ == null)
          {
             // ditto
             if (legBPS_[1] != null)
-               fairSpread_ = spread_ - NPV_.GetValueOrDefault() / (legBPS_[1] / Constants.BasisPoint);
+               fairSpread_ = spread_ - NPV_.GetValueOrDefault() / (legBPS_[1] / Const.BASIS_POINT);
          }
       }
 

diff --git a/src/QLNet/Instruments/YearOnYearInflationSwap.cs b/src/QLNet/Instruments/YearOnYearInflationSwap.cs
@@ -222,13 +222,13 @@ public override void fetchResults(IPricingEngineResults r)
          {
             // calculate it from other results
             if (legBPS_[0] != null)
-               fairRate_ = fixedRate_ - NPV_ / (legBPS_[0] / Constants.BasisPoint);
+               fairRate_ = fixedRate_ - NPV_ / (legBPS_[0] / Const.BASIS_POINT);
          }
          if (fairSpread_ == null)
          {
             // ditto
             if (legBPS_[1] != null)
-               fairSpread_ = spread_ - NPV_ / (legBPS_[1] / Constants.BasisPoint);
+               fairSpread_ = spread_ - NPV_ / (legBPS_[1] / Const.BASIS_POINT);
          }
 
       }

diff --git a/src/QLNet/Pricingengines/credit/IntegralCdsEngine.cs b/src/QLNet/Pricingengines/credit/IntegralCdsEngine.cs
@@ -177,7 +177,7 @@ public override void calculate()
          if (arguments_.spread.IsNotEqual(0.0))
          {
             results_.couponLegBPS =
-               results_.couponLegNPV * Constants.BasisPoint / arguments_.spread;
+               results_.couponLegNPV * Const.BASIS_POINT / arguments_.spread;
          }
          else
          {
@@ -187,7 +187,7 @@ public override void calculate()
          if (arguments_.upfront.HasValue && arguments_.upfront.IsNotEqual(0.0))
          {
             results_.upfrontBPS =
-               results_.upfrontNPV * Constants.BasisPoint / (arguments_.upfront.Value);
+               results_.upfrontNPV * Const.BASIS_POINT / (arguments_.upfront.Value);
          }
          else
          {

diff --git a/src/QLNet/Pricingengines/credit/IsdaCdsEngine.cs b/src/QLNet/Pricingengines/credit/IsdaCdsEngine.cs
@@ -401,7 +401,7 @@ public override void calculate()
          if (arguments_.spread.IsNotEqual(0.0))
          {
             results_.couponLegBPS =
-               results_.couponLegNPV * Constants.BasisPoint / arguments_.spread;
+               results_.couponLegNPV * Const.BASIS_POINT / arguments_.spread;
          }
          else
          {
@@ -411,7 +411,7 @@ public override void calculate()
          if (arguments_.upfront != null  && arguments_.upfront.IsNotEqual(0.0))
          {
             results_.upfrontBPS =
-               results_.upfrontNPV * Constants.BasisPoint / (arguments_.upfront);
+               results_.upfrontNPV * Const.BASIS_POINT / (arguments_.upfront);
          }
          else
          {

diff --git a/src/QLNet/Pricingengines/credit/MidPointCdsEngine.cs b/src/QLNet/Pricingengines/credit/MidPointCdsEngine.cs
@@ -168,7 +168,7 @@ public override void calculate()
          if (arguments_.spread.IsNotEqual(0.0))
          {
             results_.couponLegBPS =
-               results_.couponLegNPV * Constants.BasisPoint / arguments_.spread.Value;
+               results_.couponLegNPV * Const.BASIS_POINT / arguments_.spread.Value;
          }
          else
          {
@@ -178,7 +178,7 @@ public override void calculate()
          if (arguments_.upfront.HasValue && arguments_.upfront.IsNotEqual(0.0))
          {
             results_.upfrontBPS =
-               results_.upfrontNPV * Constants.BasisPoint / (arguments_.upfront.Value);
+               results_.upfrontNPV * Const.BASIS_POINT / (arguments_.upfront.Value);
          }
          else
          {

diff --git a/src/QLNet/Pricingengines/swaption/BlackSwaptionEngine.cs b/src/QLNet/Pricingengines/swaption/BlackSwaptionEngine.cs
@@ -139,7 +139,7 @@ public override void calculate()
              (arguments_.settlementType == Settlement.Type.Cash &&
               arguments_.settlementMethod == Settlement.Method.CollateralizedCashPrice))
          {
-            annuity = Math.Abs(swap.fixedLegBPS()) / Constants.BasisPoint;
+            annuity = Math.Abs(swap.fixedLegBPS()) / Const.BASIS_POINT;
          }
          else if (arguments_.settlementType == Settlement.Type.Cash &&
                   arguments_.settlementMethod == Settlement.Method.ParYieldCurve)
@@ -157,7 +157,7 @@ public override void calculate()
                              new InterestRate(atmForward, dayCount, Compounding.Compounded, Frequency.Annual), false,
                              discountDate);
 
-            annuity = Math.Abs(fixedLegCashBPS / Constants.BasisPoint) * discountCurve_.link.discount(discountDate);
+            annuity = Math.Abs(fixedLegCashBPS / Const.BASIS_POINT) * discountCurve_.link.discount(discountDate);
          }
          else
          {

diff --git a/src/QLNet/Termstructures/Yield/Ratehelpers.cs b/src/QLNet/Termstructures/Yield/Ratehelpers.cs
@@ -895,9 +895,9 @@ public override double impliedQuote()
          // weak implementation... to be improved         
          double floatingLegNPV = swap_.floatingLegNPV();
          double spread = this.spread();
-         double spreadNPV = swap_.floatingLegBPS() / Constants.BasisPoint * spread;
+         double spreadNPV = swap_.floatingLegBPS() / Const.BASIS_POINT * spread;
          double totNPV = -(floatingLegNPV + spreadNPV);
-         double result = totNPV / (swap_.fixedLegBPS() / Constants.BasisPoint);
+         double result = totNPV / (swap_.fixedLegBPS() / Const.BASIS_POINT);
          return result;
       }
 

diff --git a/src/QLNet/Types.cs b/src/QLNet/Types.cs
@@ -43,6 +43,8 @@ public struct Const
       public const double M_PI = 3.141592653589793238462643383280;
       public const double M_PI_2 = 1.57079632679489661923;
       public const double M_2_PI = 0.636619772367581343076;
+
+      public static double BASIS_POINT = 1.0e-4;
    }
 
    public class TimeSeries<T> : IDictionary<Date, T>

diff --git a/src/QLNet/legacy/libormarketmodels/LfmSwaptionEngine.cs b/src/QLNet/legacy/libormarketmodels/LfmSwaptionEngine.cs
@@ -70,7 +70,7 @@ public override void calculate()
                          Option.Type.Call : Option.Type.Put;
          double vol = volatility.volatility(exercise, swapLength,
                                             fairRate, true);
-         results_.value = (swap.fixedLegBPS() / Constants.BasisPoint) *
+         results_.value = (swap.fixedLegBPS() / Const.BASIS_POINT) *
                           Utils.blackFormula(w, fixedRate, fairRate, vol * Math.Sqrt(exercise));
       }
    }