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<h1>BermudanSwaption.cpp</h1>This is an example of using the QuantLib short rate models.<p>
<div class="fragment"><pre class="fragment"><a name="l00001"></a>00001 <span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span>
<a name="l00002"></a>00002
<a name="l00022"></a>00022 <span class="preprocessor">#define BOOST_LIB_DIAGNOSTIC</span>
<a name="l00023"></a>00023 <span class="preprocessor"></span><span class="preprocessor"># include <ql/quantlib.hpp></span>
<a name="l00024"></a>00024 <span class="preprocessor">#undef BOOST_LIB_DIAGNOSTIC</span>
<a name="l00025"></a>00025 <span class="preprocessor"></span>
<a name="l00026"></a>00026 <span class="preprocessor">#ifdef BOOST_MSVC</span>
<a name="l00027"></a>00027 <span class="preprocessor"></span><span class="comment">/* Uncomment the following lines to unmask floating-point</span>
<a name="l00028"></a>00028 <span class="comment"> exceptions. Warning: unpredictable results can arise...</span>
<a name="l00029"></a>00029 <span class="comment"></span>
<a name="l00030"></a>00030 <span class="comment"> See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481</span>
<a name="l00031"></a>00031 <span class="comment"> Is there anyone with a definitive word about this?</span>
<a name="l00032"></a>00032 <span class="comment">*/</span>
<a name="l00033"></a>00033 <span class="comment">// #include <float.h></span>
<a name="l00034"></a>00034 <span class="comment">// namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); }</span>
<a name="l00035"></a>00035 <span class="preprocessor">#endif</span>
<a name="l00036"></a>00036 <span class="preprocessor"></span>
<a name="l00037"></a>00037 <span class="preprocessor">#include <boost/timer.hpp></span>
<a name="l00038"></a>00038 <span class="preprocessor">#include <iostream></span>
<a name="l00039"></a>00039 <span class="preprocessor">#include <iomanip></span>
<a name="l00040"></a>00040
<a name="l00041"></a>00041 <span class="keyword">using namespace </span>QuantLib;
<a name="l00042"></a>00042
<a name="l00043"></a>00043 <span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span>
<a name="l00044"></a>00044 <span class="preprocessor"></span><span class="keyword">namespace </span>QuantLib {
<a name="l00045"></a>00045
<a name="l00046"></a>00046 <a name="a0"></a><a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> sessionId() { <span class="keywordflow">return</span> 0; }
<a name="l00047"></a>00047
<a name="l00048"></a>00048 }
<a name="l00049"></a>00049 <span class="preprocessor">#endif</span>
<a name="l00050"></a>00050 <span class="preprocessor"></span>
<a name="l00051"></a>00051
<a name="l00052"></a>00052 <span class="comment">//Number of swaptions to be calibrated to...</span>
<a name="l00053"></a>00053
<a name="l00054"></a>00054 <a name="a1"></a><a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> numRows = 5;
<a name="l00055"></a>00055 <a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> numCols = 5;
<a name="l00056"></a>00056
<a name="l00057"></a>00057 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> swapLenghts[] = {
<a name="l00058"></a>00058 1, 2, 3, 4, 5};
<a name="l00059"></a>00059 <a name="a2"></a><a class="code" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> swaptionVols[] = {
<a name="l00060"></a>00060 0.1490, 0.1340, 0.1228, 0.1189, 0.1148,
<a name="l00061"></a>00061 0.1290, 0.1201, 0.1146, 0.1108, 0.1040,
<a name="l00062"></a>00062 0.1149, 0.1112, 0.1070, 0.1010, 0.0957,
<a name="l00063"></a>00063 0.1047, 0.1021, 0.0980, 0.0951, 0.1270,
<a name="l00064"></a>00064 0.1000, 0.0950, 0.0900, 0.1230, 0.1160};
<a name="l00065"></a>00065
<a name="l00066"></a>00066 <span class="keywordtype">void</span> calibrateModel(
<a name="l00067"></a>00067 <span class="keyword">const</span> boost::shared_ptr<ShortRateModel>& model,
<a name="l00068"></a>00068 <span class="keyword">const</span> std::vector<boost::shared_ptr<CalibrationHelper> >& helpers) {
<a name="l00069"></a>00069
<a name="l00070"></a>00070 <a name="_a3"></a><a class="code" href="class_quant_lib_1_1_levenberg_marquardt.html">LevenbergMarquardt</a> om;
<a name="l00071"></a>00071 model->calibrate(helpers, om);
<a name="l00072"></a>00072
<a name="l00073"></a>00073 <span class="comment">// Output the implied Black volatilities</span>
<a name="l00074"></a>00074 <span class="keywordflow">for</span> (<a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i=0; i<numRows; i++) {
<a name="l00075"></a>00075 <a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> j = numCols - i -1; <span class="comment">// 1x5, 2x4, 3x3, 4x2, 5x1</span>
<a name="l00076"></a>00076 <a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> k = i*numCols + j;
<a name="l00077"></a>00077 <a name="a4"></a><a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> npv = helpers[i]->modelValue();
<a name="l00078"></a>00078 <a class="code" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> implied = helpers[i]->impliedVolatility(npv, 1e-4,
<a name="l00079"></a>00079 1000, 0.05, 0.50);
<a name="l00080"></a>00080 <a class="code" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> diff = implied - swaptionVols[k];
<a name="l00081"></a>00081
<a name="l00082"></a>00082 std::cout << i+1 << <span class="stringliteral">"x"</span> << swapLenghts[j]
<a name="l00083"></a>00083 << std::setprecision(5) << std::noshowpos
<a name="l00084"></a>00084 << <span class="stringliteral">": model "</span> << std::setw(7) << <a name="a5"></a><a class="code" href="group__manips.html#gc402ef7c87f63f7c603ee87210b5750c">io::volatility</a>(implied)
<a name="l00085"></a>00085 << <span class="stringliteral">", market "</span> << std::setw(7)
<a name="l00086"></a>00086 << <a class="code" href="group__manips.html#gc402ef7c87f63f7c603ee87210b5750c">io::volatility</a>(swaptionVols[k])
<a name="l00087"></a>00087 << <span class="stringliteral">" ("</span> << std::setw(7) << std::showpos
<a name="l00088"></a>00088 << <a class="code" href="group__manips.html#gc402ef7c87f63f7c603ee87210b5750c">io::volatility</a>(diff) << std::noshowpos << <span class="stringliteral">")\n"</span>;
<a name="l00089"></a>00089 }
<a name="l00090"></a>00090 }
<a name="l00091"></a>00091
<a name="l00092"></a>00092 <span class="keywordtype">int</span> main(<span class="keywordtype">int</span>, <span class="keywordtype">char</span>* [])
<a name="l00093"></a>00093 {
<a name="l00094"></a>00094 <span class="keywordflow">try</span> {
<a name="l00095"></a>00095 <a name="a6"></a><a class="code" href="group__misc_macros.html#g11d8e34f54505b0bf6f550508278673d">QL_IO_INIT</a>
<a name="l00096"></a>00096
<a name="l00097"></a>00097 boost::timer timer;
<a name="l00098"></a>00098 std::cout << std::endl;
<a name="l00099"></a>00099
<a name="l00100"></a>00100 <a name="_a7"></a><a class="code" href="class_quant_lib_1_1_date.html">Date</a> todaysDate(15, February, 2002);
<a name="l00101"></a>00101 <a name="_a8"></a><a class="code" href="class_quant_lib_1_1_calendar.html">Calendar</a> calendar = <a name="_a9"></a><a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html">TARGET</a>();
<a name="l00102"></a>00102 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> settlementDate(19, February, 2002);
<a name="l00103"></a>00103 Settings::instance().evaluationDate() = todaysDate;
<a name="l00104"></a>00104
<a name="l00105"></a>00105 <span class="comment">// flat yield term structure impling 1x5 swap at 5%</span>
<a name="l00106"></a>00106 boost::shared_ptr<Quote> flatRate(<span class="keyword">new</span> <a name="_a10"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(0.04875825));
<a name="l00107"></a>00107 boost::shared_ptr<FlatForward> myTermStructure(
<a name="l00108"></a>00108 <span class="keyword">new</span> <a name="_a11"></a><a class="code" href="class_quant_lib_1_1_flat_forward.html">FlatForward</a>(settlementDate, <a name="_a12"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(flatRate),
<a name="l00109"></a>00109 <a name="_a13"></a><a class="code" href="class_quant_lib_1_1_actual365_fixed.html">Actual365Fixed</a>()));
<a name="l00110"></a>00110 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> rhTermStructure;
<a name="l00111"></a>00111 rhTermStructure.<a name="a14"></a><a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(myTermStructure);
<a name="l00112"></a>00112
<a name="l00113"></a>00113 <span class="comment">// Define the ATM/OTM/ITM swaps</span>
<a name="l00114"></a>00114 <a class="code" href="group__datetime.html#g6d41db8ba0ea90d22df35889df452ada">Frequency</a> fixedLegFrequency = <a name="a15"></a><a class="code" href="group__datetime.html#gg6d41db8ba0ea90d22df35889df452ada508b18014c96e2d466c12b39d7f4e426">Annual</a>;
<a name="l00115"></a>00115 <a class="code" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> fixedLegConvention = <a name="a16"></a><a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd3685fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>;
<a name="l00116"></a>00116 <a class="code" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> floatingLegConvention = <a name="a17"></a><a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>;
<a name="l00117"></a>00117 <a name="_a18"></a><a class="code" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> fixedLegDayCounter = <a name="_a19"></a><a class="code" href="class_quant_lib_1_1_thirty360.html">Thirty360</a>(Thirty360::European);
<a name="l00118"></a>00118 <a class="code" href="group__datetime.html#g6d41db8ba0ea90d22df35889df452ada">Frequency</a> floatingLegFrequency = <a name="a20"></a><a class="code" href="group__datetime.html#gg6d41db8ba0ea90d22df35889df452adad1a5868a1c314bb7f6ab68e2fa182b2d">Semiannual</a>;
<a name="l00119"></a>00119 <span class="keywordtype">bool</span> payFixedRate = <span class="keyword">true</span>;
<a name="l00120"></a>00120 <a name="a21"></a><a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> dummyFixedRate = 0.03;
<a name="l00121"></a>00121 boost::shared_ptr<Xibor> indexSixMonths(
<a name="l00122"></a>00122 <span class="keyword">new</span> <a name="_a22"></a><a class="code" href="class_quant_lib_1_1_euribor6_m.html">Euribor6M</a>(rhTermStructure));
<a name="l00123"></a>00123
<a name="l00124"></a>00124 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> startDate = calendar.<a name="a23"></a><a class="code" href="class_quant_lib_1_1_calendar.html#b3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(settlementDate,1,Years,
<a name="l00125"></a>00125 floatingLegConvention);
<a name="l00126"></a>00126 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> maturity = calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#b3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(startDate,5,Years,
<a name="l00127"></a>00127 floatingLegConvention);
<a name="l00128"></a>00128 <a name="_a24"></a><a class="code" href="class_quant_lib_1_1_schedule.html">Schedule</a> fixedSchedule(startDate,maturity,<a name="_a25"></a><a class="code" href="class_quant_lib_1_1_period.html">Period</a>(fixedLegFrequency),
<a name="l00129"></a>00129 calendar,fixedLegConvention,fixedLegConvention,
<a name="l00130"></a>00130 <span class="keyword">false</span>,<span class="keyword">false</span>);
<a name="l00131"></a>00131 <a class="code" href="class_quant_lib_1_1_schedule.html">Schedule</a> floatSchedule(startDate,maturity,<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(floatingLegFrequency),
<a name="l00132"></a>00132 calendar,floatingLegConvention,floatingLegConvention,
<a name="l00133"></a>00133 <span class="keyword">false</span>,<span class="keyword">false</span>);
<a name="l00134"></a>00134
<a name="l00135"></a>00135 boost::shared_ptr<VanillaSwap> swap(<span class="keyword">new</span> <a name="_a26"></a><a class="code" href="class_quant_lib_1_1_vanilla_swap.html">VanillaSwap</a>(
<a name="l00136"></a>00136 payFixedRate, 1000.0,
<a name="l00137"></a>00137 fixedSchedule, dummyFixedRate, fixedLegDayCounter,
<a name="l00138"></a>00138 floatSchedule, indexSixMonths, 0.0,
<a name="l00139"></a>00139 indexSixMonths->dayCounter(), rhTermStructure));
<a name="l00140"></a>00140 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> fixedATMRate = swap->fairRate();
<a name="l00141"></a>00141 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> fixedOTMRate = fixedATMRate * 1.2;
<a name="l00142"></a>00142 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> fixedITMRate = fixedATMRate * 0.8;
<a name="l00143"></a>00143
<a name="l00144"></a>00144 boost::shared_ptr<VanillaSwap> atmSwap(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_vanilla_swap.html">VanillaSwap</a>(
<a name="l00145"></a>00145 payFixedRate, 1000.0,
<a name="l00146"></a>00146 fixedSchedule, fixedATMRate, fixedLegDayCounter,
<a name="l00147"></a>00147 floatSchedule, indexSixMonths, 0.0,
<a name="l00148"></a>00148 indexSixMonths->dayCounter(), rhTermStructure));
<a name="l00149"></a>00149 boost::shared_ptr<VanillaSwap> otmSwap(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_vanilla_swap.html">VanillaSwap</a>(
<a name="l00150"></a>00150 payFixedRate, 1000.0,
<a name="l00151"></a>00151 fixedSchedule, fixedOTMRate, fixedLegDayCounter,
<a name="l00152"></a>00152 floatSchedule, indexSixMonths, 0.0,
<a name="l00153"></a>00153 indexSixMonths->dayCounter(), rhTermStructure));
<a name="l00154"></a>00154 boost::shared_ptr<VanillaSwap> itmSwap(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_vanilla_swap.html">VanillaSwap</a>(
<a name="l00155"></a>00155 payFixedRate, 1000.0,
<a name="l00156"></a>00156 fixedSchedule, fixedITMRate, fixedLegDayCounter,
<a name="l00157"></a>00157 floatSchedule, indexSixMonths, 0.0,
<a name="l00158"></a>00158 indexSixMonths->dayCounter(), rhTermStructure));
<a name="l00159"></a>00159
<a name="l00160"></a>00160 <span class="comment">// defining the swaptions to be used in model calibration</span>
<a name="l00161"></a>00161 std::vector<Period> swaptionMaturities;
<a name="l00162"></a>00162 swaptionMaturities.push_back(<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(1, Years));
<a name="l00163"></a>00163 swaptionMaturities.push_back(<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(2, Years));
<a name="l00164"></a>00164 swaptionMaturities.push_back(<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(3, Years));
<a name="l00165"></a>00165 swaptionMaturities.push_back(<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(4, Years));
<a name="l00166"></a>00166 swaptionMaturities.push_back(<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(5, Years));
<a name="l00167"></a>00167
<a name="l00168"></a>00168 std::vector<boost::shared_ptr<CalibrationHelper> > swaptions;
<a name="l00169"></a>00169
<a name="l00170"></a>00170 <span class="comment">// List of times that have to be included in the timegrid</span>
<a name="l00171"></a>00171 std::list<Time> times;
<a name="l00172"></a>00172
<a name="l00173"></a>00173 <a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i;
<a name="l00174"></a>00174 <span class="keywordflow">for</span> (i=0; i<numRows; i++) {
<a name="l00175"></a>00175 <a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> j = numCols - i -1; <span class="comment">// 1x5, 2x4, 3x3, 4x2, 5x1</span>
<a name="l00176"></a>00176 <a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> k = i*numCols + j;
<a name="l00177"></a>00177 boost::shared_ptr<Quote> vol(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(swaptionVols[k]));
<a name="l00178"></a>00178 swaptions.push_back(boost::shared_ptr<CalibrationHelper>(<span class="keyword">new</span>
<a name="l00179"></a>00179 <a name="_a27"></a><a class="code" href="class_quant_lib_1_1_swaption_helper.html">SwaptionHelper</a>(swaptionMaturities[i],
<a name="l00180"></a>00180 <a class="code" href="class_quant_lib_1_1_period.html">Period</a>(swapLenghts[j], Years),
<a name="l00181"></a>00181 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(vol),
<a name="l00182"></a>00182 indexSixMonths,
<a name="l00183"></a>00183 indexSixMonths->tenor(),
<a name="l00184"></a>00184 indexSixMonths->dayCounter(),
<a name="l00185"></a>00185 indexSixMonths->dayCounter(),
<a name="l00186"></a>00186 rhTermStructure)));
<a name="l00187"></a>00187 swaptions.back()->addTimesTo(times);
<a name="l00188"></a>00188 }
<a name="l00189"></a>00189
<a name="l00190"></a>00190 <span class="comment">// Building time-grid</span>
<a name="l00191"></a>00191 <a name="_a28"></a><a class="code" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> grid(times.begin(), times.end(), 30);
<a name="l00192"></a>00192
<a name="l00193"></a>00193
<a name="l00194"></a>00194 <span class="comment">// defining the models</span>
<a name="l00195"></a>00195 boost::shared_ptr<G2> modelG2(<span class="keyword">new</span> <a name="_a29"></a><a class="code" href="class_quant_lib_1_1_g2.html">G2</a>(rhTermStructure));
<a name="l00196"></a>00196 boost::shared_ptr<HullWhite> modelHW(<span class="keyword">new</span> <a name="_a30"></a><a class="code" href="class_quant_lib_1_1_hull_white.html">HullWhite</a>(rhTermStructure));
<a name="l00197"></a>00197 boost::shared_ptr<HullWhite> modelHW2(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_hull_white.html">HullWhite</a>(rhTermStructure));
<a name="l00198"></a>00198 boost::shared_ptr<BlackKarasinski> modelBK(
<a name="l00199"></a>00199 <span class="keyword">new</span> <a name="_a31"></a><a class="code" href="class_quant_lib_1_1_black_karasinski.html">BlackKarasinski</a>(rhTermStructure));
<a name="l00200"></a>00200
<a name="l00201"></a>00201
<a name="l00202"></a>00202 <span class="comment">// model calibrations</span>
<a name="l00203"></a>00203
<a name="l00204"></a>00204 std::cout << <span class="stringliteral">"G2 (analytic formulae) calibration"</span> << std::endl;
<a name="l00205"></a>00205 <span class="keywordflow">for</span> (i=0; i<swaptions.size(); i++)
<a name="l00206"></a>00206 swaptions[i]->setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00207"></a>00207 <span class="keyword">new</span> <a name="_a32"></a><a class="code" href="class_quant_lib_1_1_g2_swaption_engine.html">G2SwaptionEngine</a>(modelG2, 6.0, 16)));
<a name="l00208"></a>00208
<a name="l00209"></a>00209 calibrateModel(modelG2, swaptions);
<a name="l00210"></a>00210 std::cout << <span class="stringliteral">"calibrated to:\n"</span>
<a name="l00211"></a>00211 << <span class="stringliteral">"a = "</span> << modelG2->params()[0] << <span class="stringliteral">", "</span>
<a name="l00212"></a>00212 << <span class="stringliteral">"sigma = "</span> << modelG2->params()[1] << <span class="stringliteral">"\n"</span>
<a name="l00213"></a>00213 << <span class="stringliteral">"b = "</span> << modelG2->params()[2] << <span class="stringliteral">", "</span>
<a name="l00214"></a>00214 << <span class="stringliteral">"eta = "</span> << modelG2->params()[3] << <span class="stringliteral">"\n"</span>
<a name="l00215"></a>00215 << <span class="stringliteral">"rho = "</span> << modelG2->params()[4]
<a name="l00216"></a>00216 << std::endl << std::endl;
<a name="l00217"></a>00217
<a name="l00218"></a>00218
<a name="l00219"></a>00219
<a name="l00220"></a>00220 std::cout << <span class="stringliteral">"Hull-White (analytic formulae) calibration"</span> << std::endl;
<a name="l00221"></a>00221 <span class="keywordflow">for</span> (i=0; i<swaptions.size(); i++)
<a name="l00222"></a>00222 swaptions[i]->setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00223"></a>00223 <span class="keyword">new</span> <a name="_a33"></a><a class="code" href="class_quant_lib_1_1_jamshidian_swaption_engine.html">JamshidianSwaptionEngine</a>(modelHW)));
<a name="l00224"></a>00224
<a name="l00225"></a>00225 calibrateModel(modelHW, swaptions);
<a name="l00226"></a>00226 std::cout << <span class="stringliteral">"calibrated to:\n"</span>
<a name="l00227"></a>00227 << <span class="stringliteral">"a = "</span> << modelHW->params()[0] << <span class="stringliteral">", "</span>
<a name="l00228"></a>00228 << <span class="stringliteral">"sigma = "</span> << modelHW->params()[1]
<a name="l00229"></a>00229 << std::endl << std::endl;
<a name="l00230"></a>00230
<a name="l00231"></a>00231 std::cout << <span class="stringliteral">"Hull-White (numerical) calibration"</span> << std::endl;
<a name="l00232"></a>00232 <span class="keywordflow">for</span> (i=0; i<swaptions.size(); i++)
<a name="l00233"></a>00233 swaptions[i]->setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00234"></a>00234 <span class="keyword">new</span> <a name="_a34"></a><a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html">TreeSwaptionEngine</a>(modelHW2,grid)));
<a name="l00235"></a>00235
<a name="l00236"></a>00236 calibrateModel(modelHW2, swaptions);
<a name="l00237"></a>00237 std::cout << <span class="stringliteral">"calibrated to:\n"</span>
<a name="l00238"></a>00238 << <span class="stringliteral">"a = "</span> << modelHW2->params()[0] << <span class="stringliteral">", "</span>
<a name="l00239"></a>00239 << <span class="stringliteral">"sigma = "</span> << modelHW2->params()[1]
<a name="l00240"></a>00240 << std::endl << std::endl;
<a name="l00241"></a>00241
<a name="l00242"></a>00242 std::cout << <span class="stringliteral">"Black-Karasinski (numerical) calibration"</span> << std::endl;
<a name="l00243"></a>00243 <span class="keywordflow">for</span> (i=0; i<swaptions.size(); i++)
<a name="l00244"></a>00244 swaptions[i]->setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00245"></a>00245 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html">TreeSwaptionEngine</a>(modelBK,grid)));
<a name="l00246"></a>00246
<a name="l00247"></a>00247 calibrateModel(modelBK, swaptions);
<a name="l00248"></a>00248 std::cout << <span class="stringliteral">"calibrated to:\n"</span>
<a name="l00249"></a>00249 << <span class="stringliteral">"a = "</span> << modelBK->params()[0] << <span class="stringliteral">", "</span>
<a name="l00250"></a>00250 << <span class="stringliteral">"sigma = "</span> << modelBK->params()[1]
<a name="l00251"></a>00251 << std::endl << std::endl;
<a name="l00252"></a>00252
<a name="l00253"></a>00253
<a name="l00254"></a>00254 <span class="comment">// ATM Bermudan swaption pricing</span>
<a name="l00255"></a>00255
<a name="l00256"></a>00256 std::cout << <span class="stringliteral">"Payer bermudan swaption "</span>
<a name="l00257"></a>00257 << <span class="stringliteral">"struck at "</span> << <a name="a35"></a><a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fixedATMRate)
<a name="l00258"></a>00258 << <span class="stringliteral">" (ATM)"</span> << std::endl;
<a name="l00259"></a>00259
<a name="l00260"></a>00260 std::vector<Date> bermudanDates;
<a name="l00261"></a>00261 <span class="keyword">const</span> std::vector<boost::shared_ptr<CashFlow> >& leg =
<a name="l00262"></a>00262 swap->fixedLeg();
<a name="l00263"></a>00263 <span class="keywordflow">for</span> (i=0; i<leg.size(); i++) {
<a name="l00264"></a>00264 boost::shared_ptr<Coupon> coupon =
<a name="l00265"></a>00265 boost::dynamic_pointer_cast<Coupon>(leg[i]);
<a name="l00266"></a>00266 bermudanDates.push_back(coupon->accrualStartDate());
<a name="l00267"></a>00267 }
<a name="l00268"></a>00268
<a name="l00269"></a>00269 boost::shared_ptr<Exercise> bermudanExercise(
<a name="l00270"></a>00270 <span class="keyword">new</span> <a name="_a36"></a><a class="code" href="class_quant_lib_1_1_bermudan_exercise.html">BermudanExercise</a>(bermudanDates));
<a name="l00271"></a>00271
<a name="l00272"></a>00272 <a name="_a37"></a><a class="code" href="class_quant_lib_1_1_swaption.html">Swaption</a> bermudanSwaption(atmSwap, bermudanExercise, rhTermStructure,
<a name="l00273"></a>00273 boost::shared_ptr<PricingEngine>());
<a name="l00274"></a>00274
<a name="l00275"></a>00275 <span class="comment">// Do the pricing for each model</span>
<a name="l00276"></a>00276
<a name="l00277"></a>00277 <span class="comment">// G2 price the European swaption here, it should switch to bermudan</span>
<a name="l00278"></a>00278 bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(<span class="keyword">new</span>
<a name="l00279"></a>00279 <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html">TreeSwaptionEngine</a>(modelG2, 50)));
<a name="l00280"></a>00280 std::cout << <span class="stringliteral">"G2: "</span> << bermudanSwaption.NPV() << std::endl;
<a name="l00281"></a>00281
<a name="l00282"></a>00282 bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00283"></a>00283 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html">TreeSwaptionEngine</a>(modelHW, 50)));
<a name="l00284"></a>00284 std::cout << <span class="stringliteral">"HW: "</span> << bermudanSwaption.NPV() << std::endl;
<a name="l00285"></a>00285
<a name="l00286"></a>00286 bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(<span class="keyword">new</span>
<a name="l00287"></a>00287 <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html">TreeSwaptionEngine</a>(modelHW2, 50)));
<a name="l00288"></a>00288 std::cout << <span class="stringliteral">"HW (num): "</span> << bermudanSwaption.NPV() << std::endl;
<a name="l00289"></a>00289
<a name="l00290"></a>00290 bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(<span class="keyword">new</span>
<a name="l00291"></a>00291 <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html">TreeSwaptionEngine</a>(modelBK, 50)));
<a name="l00292"></a>00292 std::cout << <span class="stringliteral">"BK: "</span> << bermudanSwaption.NPV() << std::endl;
<a name="l00293"></a>00293
<a name="l00294"></a>00294
<a name="l00295"></a>00295 <span class="comment">// OTM Bermudan swaption pricing</span>
<a name="l00296"></a>00296
<a name="l00297"></a>00297 std::cout << <span class="stringliteral">"Payer bermudan swaption "</span>
<a name="l00298"></a>00298 << <span class="stringliteral">"struck at "</span> << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fixedOTMRate)
<a name="l00299"></a>00299 << <span class="stringliteral">" (OTM)"</span> << std::endl;
<a name="l00300"></a>00300
<a name="l00301"></a>00301 <a class="code" href="class_quant_lib_1_1_swaption.html">Swaption</a> otmBermudanSwaption(otmSwap,bermudanExercise,rhTermStructure,
<a name="l00302"></a>00302 boost::shared_ptr<PricingEngine>());
<a name="l00303"></a>00303
<a name="l00304"></a>00304 <span class="comment">// Do the pricing for each model</span>
<a name="l00305"></a>00305 otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00306"></a>00306 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html">TreeSwaptionEngine</a>(modelG2, 50)));
<a name="l00307"></a>00307 std::cout << <span class="stringliteral">"G2: "</span> << otmBermudanSwaption.NPV() << std::endl;
<a name="l00308"></a>00308
<a name="l00309"></a>00309 otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00310"></a>00310 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html">TreeSwaptionEngine</a>(modelHW, 50)));
<a name="l00311"></a>00311 std::cout << <span class="stringliteral">"HW: "</span> << otmBermudanSwaption.NPV() << std::endl;
<a name="l00312"></a>00312
<a name="l00313"></a>00313 otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00314"></a>00314 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html">TreeSwaptionEngine</a>(modelHW2, 50)));
<a name="l00315"></a>00315 std::cout << <span class="stringliteral">"HW (num): "</span> << otmBermudanSwaption.NPV() << std::endl;
<a name="l00316"></a>00316
<a name="l00317"></a>00317 otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00318"></a>00318 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html">TreeSwaptionEngine</a>(modelBK, 50)));
<a name="l00319"></a>00319 std::cout << <span class="stringliteral">"BK: "</span> << otmBermudanSwaption.NPV() << std::endl;
<a name="l00320"></a>00320
<a name="l00321"></a>00321
<a name="l00322"></a>00322 <span class="comment">// ITM Bermudan swaption pricing</span>
<a name="l00323"></a>00323
<a name="l00324"></a>00324 std::cout << <span class="stringliteral">"Payer bermudan swaption "</span>
<a name="l00325"></a>00325 << <span class="stringliteral">"struck at "</span> << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fixedITMRate)
<a name="l00326"></a>00326 << <span class="stringliteral">" (ITM)"</span> << std::endl;
<a name="l00327"></a>00327
<a name="l00328"></a>00328 <a class="code" href="class_quant_lib_1_1_swaption.html">Swaption</a> itmBermudanSwaption(itmSwap,bermudanExercise,rhTermStructure,
<a name="l00329"></a>00329 boost::shared_ptr<PricingEngine>());
<a name="l00330"></a>00330
<a name="l00331"></a>00331 <span class="comment">// Do the pricing for each model</span>
<a name="l00332"></a>00332 itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00333"></a>00333 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html">TreeSwaptionEngine</a>(modelG2, 50)));
<a name="l00334"></a>00334 std::cout << <span class="stringliteral">"G2: "</span> << itmBermudanSwaption.NPV() << std::endl;
<a name="l00335"></a>00335
<a name="l00336"></a>00336 itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00337"></a>00337 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html">TreeSwaptionEngine</a>(modelHW, 50)));
<a name="l00338"></a>00338 std::cout << <span class="stringliteral">"HW: "</span> << itmBermudanSwaption.NPV() << std::endl;
<a name="l00339"></a>00339
<a name="l00340"></a>00340 itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00341"></a>00341 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html">TreeSwaptionEngine</a>(modelHW2, 50)));
<a name="l00342"></a>00342 std::cout << <span class="stringliteral">"HW (num): "</span> << itmBermudanSwaption.NPV() << std::endl;
<a name="l00343"></a>00343
<a name="l00344"></a>00344 itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00345"></a>00345 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html">TreeSwaptionEngine</a>(modelBK, 50)));
<a name="l00346"></a>00346 std::cout << <span class="stringliteral">"BK: "</span> << itmBermudanSwaption.NPV() << std::endl;
<a name="l00347"></a>00347
<a name="l00348"></a>00348 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> seconds = timer.elapsed();
<a name="l00349"></a>00349 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> hours = int(seconds/3600);
<a name="l00350"></a>00350 seconds -= hours * 3600;
<a name="l00351"></a>00351 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> minutes = int(seconds/60);
<a name="l00352"></a>00352 seconds -= minutes * 60;
<a name="l00353"></a>00353 std::cout << <span class="stringliteral">" \nRun completed in "</span>;
<a name="l00354"></a>00354 <span class="keywordflow">if</span> (hours > 0)
<a name="l00355"></a>00355 std::cout << hours << <span class="stringliteral">" h "</span>;
<a name="l00356"></a>00356 <span class="keywordflow">if</span> (hours > 0 || minutes > 0)
<a name="l00357"></a>00357 std::cout << minutes << <span class="stringliteral">" m "</span>;
<a name="l00358"></a>00358 std::cout << std::fixed << std::setprecision(0)
<a name="l00359"></a>00359 << seconds << <span class="stringliteral">" s\n"</span> << std::endl;
<a name="l00360"></a>00360
<a name="l00361"></a>00361 <span class="keywordflow">return</span> 0;
<a name="l00362"></a>00362 } <span class="keywordflow">catch</span> (std::exception& e) {
<a name="l00363"></a>00363 std::cout << e.what() << std::endl;
<a name="l00364"></a>00364 <span class="keywordflow">return</span> 1;
<a name="l00365"></a>00365 } <span class="keywordflow">catch</span> (...) {
<a name="l00366"></a>00366 std::cout << <span class="stringliteral">"unknown error"</span> << std::endl;
<a name="l00367"></a>00367 <span class="keywordflow">return</span> 1;
<a name="l00368"></a>00368 }
<a name="l00369"></a>00369 }
<a name="l00370"></a>00370
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