Add Currency information to EquityIndex (#2020)

lballabio · Jul 25, 2024 · c75f65f · c75f65f
2 parents 1b9bef1 + 90e04cc
commit c75f65f
Show file tree

Hide file tree

Showing 5 changed files with 42 additions and 12 deletions.
diff --git a/ql/indexes/equityindex.cpp b/ql/indexes/equityindex.cpp
@@ -36,8 +36,22 @@ namespace QuantLib {
                              Handle<YieldTermStructure> interest,
                              Handle<YieldTermStructure> dividend,
                              Handle<Quote> spot)
+    : EquityIndex(std::move(name),
+                  std::move(fixingCalendar),
+                  Currency(),
+                  std::move(interest),
+                  std::move(dividend),
+                  std::move(spot)) {}
+
+    EquityIndex::EquityIndex(std::string name,
+                             Calendar fixingCalendar,
+                             Currency currency,
+                             Handle<YieldTermStructure> interest,
+                             Handle<YieldTermStructure> dividend,
+                             Handle<Quote> spot)
     : name_(std::move(name)), fixingCalendar_(std::move(fixingCalendar)),
-      interest_(std::move(interest)), dividend_(std::move(dividend)), spot_(std::move(spot)) {
+      currency_(std::move(currency)), interest_(std::move(interest)),
+      dividend_(std::move(dividend)), spot_(std::move(spot)) {
 
         registerWith(interest_);
         registerWith(dividend_);
@@ -95,6 +109,7 @@ namespace QuantLib {
     ext::shared_ptr<EquityIndex> EquityIndex::clone(const Handle<YieldTermStructure>& interest,
                                                     const Handle<YieldTermStructure>& dividend,
                                                     const Handle<Quote>& spot) const {
-        return ext::make_shared<EquityIndex>(name(), fixingCalendar(), interest, dividend, spot);
+        return ext::make_shared<EquityIndex>(name(), fixingCalendar(), currency(), interest,
+                                             dividend, spot);
     }
 }
diff --git a/ql/indexes/equityindex.hpp b/ql/indexes/equityindex.hpp
@@ -62,6 +62,17 @@ namespace QuantLib {
     */
     class EquityIndex : public Index, public Observer {
       public:
+        EquityIndex(std::string name,
+                    Calendar fixingCalendar,
+                    Currency currency,
+                    Handle<YieldTermStructure> interest = {},
+                    Handle<YieldTermStructure> dividend = {},
+                    Handle<Quote> spot = {});
+
+        /*! \deprecated Use the constructor taking a currency.
+                        Deprecated in version 1.36.
+        */
+        [[deprecated("Use the constructor taking a currency")]]
         EquityIndex(std::string name,
                     Calendar fixingCalendar,
                     Handle<YieldTermStructure> interest = {},
@@ -81,6 +92,8 @@ namespace QuantLib {
         //@}
         //! \name Inspectors
         //@{
+        //! The index currency
+        Currency currency() const { return currency_; }
         //! the rate curve used to forecast fixings
         Handle<YieldTermStructure> equityInterestRateCurve() const { return interest_; }
         //! the dividend curve used to forecast fixings
@@ -105,6 +118,7 @@ namespace QuantLib {
       private:
         std::string name_;
         Calendar fixingCalendar_;
+        Currency currency_;
         Handle<YieldTermStructure> interest_;
         Handle<YieldTermStructure> dividend_;
         Handle<Quote> spot_;
@@ -117,4 +131,4 @@ namespace QuantLib {
     inline void EquityIndex::update() { notifyObservers(); }
 }
 
-#endif
+#endif
diff --git a/test-suite/equitycashflow.cpp b/test-suite/equitycashflow.cpp
@@ -19,6 +19,7 @@
 #include "toplevelfixture.hpp"
 #include "utilities.hpp"
 #include <ql/cashflows/equitycashflow.hpp>
+#include <ql/currencies/europe.hpp>
 #include <ql/indexes/equityindex.hpp>
 #include <ql/time/calendars/target.hpp>
 #include <ql/quotes/simplequote.hpp>
@@ -60,7 +61,7 @@ struct CommonVars {
         today = calendar.adjust(Date(27, January, 2023));
         Settings::instance().evaluationDate() = today;
 
-        equityIndex = ext::make_shared<EquityIndex>("eqIndex", calendar, localCcyInterestHandle,
+        equityIndex = ext::make_shared<EquityIndex>("eqIndex", calendar, EURCurrency(), localCcyInterestHandle,
                                                     dividendHandle, spotHandle);
         equityIndex->addFixing(Date(5, January, 2023), 9010.0);
         equityIndex->addFixing(today, 8690.0);
@@ -121,7 +122,6 @@ void checkQuantoCorrection(bool includeDividend, bool bumpData = false) {
     const Real tolerance = 1.0e-6;
 
     CommonVars vars;
-
     ext::shared_ptr<EquityIndex> equityIndex =
         includeDividend ?
             vars.equityIndex :

diff --git a/test-suite/equityindex.cpp b/test-suite/equityindex.cpp
@@ -18,6 +18,7 @@
 
 #include "toplevelfixture.hpp"
 #include "utilities.hpp"
+#include <ql/currencies/europe.hpp>
 #include <ql/indexes/equityindex.hpp>
 #include <ql/time/calendars/target.hpp>
 #include <ql/quotes/simplequote.hpp>
@@ -48,7 +49,7 @@ struct CommonVars {
         calendar = TARGET();
         dayCount = Actual365Fixed();
 
-        equityIndex = ext::make_shared<EquityIndex>("eqIndex", calendar, interestHandle,
+        equityIndex = ext::make_shared<EquityIndex>("eqIndex", calendar, EURCurrency(), interestHandle,
                                                     dividendHandle, spotHandle);
 
         today = calendar.adjust(Date(27, January, 2023));
@@ -247,14 +248,14 @@ BOOST_AUTO_TEST_CASE(testFixingObservability) {
     CommonVars vars;
 
     ext::shared_ptr<EquityIndex> i1 =
-        ext::make_shared<EquityIndex>("observableEquityIndex", vars.calendar);
+        ext::make_shared<EquityIndex>("observableEquityIndex", vars.calendar, EURCurrency());
 
     Flag flag;
     flag.registerWith(i1);
     flag.lower();
 
     ext::shared_ptr<Index> i2 =
-        ext::make_shared<EquityIndex>("observableEquityIndex", vars.calendar);
+        ext::make_shared<EquityIndex>("observableEquityIndex", vars.calendar, EURCurrency());
 
     i2->addFixing(vars.today, 100.0);
     if (!flag.isUp())

diff --git a/test-suite/equitytotalreturnswap.cpp b/test-suite/equitytotalreturnswap.cpp
@@ -19,13 +19,13 @@
 #include "toplevelfixture.hpp"
 #include "utilities.hpp"
 #include <ql/instruments/equitytotalreturnswap.hpp>
+#include <ql/currencies/america.hpp>
 #include <ql/indexes/equityindex.hpp>
 #include <ql/indexes/ibor/sofr.hpp>
 #include <ql/indexes/ibor/usdlibor.hpp>
-#include <ql/time/calendars/target.hpp>
+#include <ql/time/calendars/unitedstates.hpp>
 #include <ql/quotes/simplequote.hpp>
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
-
 #include <string>
 
 using namespace QuantLib;
@@ -53,13 +53,13 @@ struct CommonVars {
     // utilities
 
     CommonVars() {
-        calendar = TARGET();
+        calendar = UnitedStates(UnitedStates::GovernmentBond);
         dayCount = Actual365Fixed();
 
         today = calendar.adjust(Date(27, January, 2023));
         Settings::instance().evaluationDate() = today;
 
-        equityIndex = ext::make_shared<EquityIndex>("eqIndex", calendar, interestHandle,
+        equityIndex = ext::make_shared<EquityIndex>("eqIndex", calendar, USDCurrency(), interestHandle,
                                                     dividendHandle, spotHandle);
         equityIndex->addFixing(Date(5, January, 2023), 9010.0);
         equityIndex->addFixing(today, 8690.0);