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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2018 Matthias Lungwitz
Copyright (C) 2019 Wojciech Ślusarski
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#ifndef quantlib_cap_floor_i
#define quantlib_cap_floor_i
%include options.i
%include marketelements.i
%include termstructures.i
%include cashflows.i
%include swap.i
%include volatilities.i
%{
using QuantLib::CapFloor;
using QuantLib::Cap;
using QuantLib::Floor;
using QuantLib::Collar;
using QuantLib::MakeCapFloor;
%}
%shared_ptr(CapFloor)
class CapFloor : public Instrument {
public:
Volatility impliedVolatility(Real price,
const Handle<YieldTermStructure>& disc,
Volatility guess,
Real accuracy = 1.0e-4,
Natural maxEvaluations = 100,
Volatility minVol = 1.0e-7,
Volatility maxVol = 4.0,
VolatilityType type = ShiftedLognormal,
Real displacement = 0.0) const;
enum Type { Cap, Floor, Collar };
const Leg& floatingLeg() const;
const std::vector<Rate>& capRates();
const std::vector<Rate>& floorRates();
Date startDate() const;
Date maturityDate() const;
Type type() const;
Rate atmRate(const YieldTermStructure& discountCurve) const;
%extend {
const Real vega() {
return self->result<Real>("vega");
}
const std::vector<Real> optionletsPrice() {
return self->result<std::vector<Real> >("optionletsPrice");
}
const std::vector<Real> optionletsVega() {
return self->result<std::vector<Real> >("optionletsVega");
}
const std::vector<Real> optionletsDelta() {
return self->result<std::vector<Real> >("optionletsDelta");
}
const std::vector<DiscountFactor> optionletsDiscountFactor() {
return self->result<std::vector<DiscountFactor> >("optionletsDiscountFactor");
}
const std::vector<Rate> optionletsAtmForward(){
return self->result<std::vector<Real> >("optionletsAtmForward");
}
const std::vector<Rate> optionletsStdDev(){
return self->result<std::vector<Real> >("optionletsStdDev");
}
}
};
%shared_ptr(Cap)
class Cap : public CapFloor {
public:
Cap(const std::vector<ext::shared_ptr<CashFlow> >& leg,
const std::vector<Rate>& capRates);
};
%shared_ptr(Floor)
class Floor : public CapFloor {
public:
Floor(const std::vector<ext::shared_ptr<CashFlow> >& leg,
const std::vector<Rate>& floorRates);
};
%shared_ptr(Collar)
class Collar : public CapFloor {
public:
Collar(const std::vector<ext::shared_ptr<CashFlow> >& leg,
const std::vector<Rate>& capRates,
const std::vector<Rate>& floorRates);
};
%{
using QuantLib::BlackCapFloorEngine;
%}
%shared_ptr(BlackCapFloorEngine)
class BlackCapFloorEngine : public PricingEngine {
public:
BlackCapFloorEngine(const Handle<YieldTermStructure>& termStructure,
const Handle<Quote>& vol,
const DayCounter& dc = Actual365Fixed(),
Real displacement = 0.0);
BlackCapFloorEngine(const Handle<YieldTermStructure>& termStructure,
const Handle<OptionletVolatilityStructure>& vol,
Real displacement = Null<Real>());
};
%{
using QuantLib::BachelierCapFloorEngine;
%}
%shared_ptr(BachelierCapFloorEngine)
class BachelierCapFloorEngine : public PricingEngine {
public:
BachelierCapFloorEngine(const Handle<YieldTermStructure>& termStructure,
const Handle<Quote>& vol);
BachelierCapFloorEngine(const Handle<YieldTermStructure>& termStructure,
const Handle<OptionletVolatilityStructure>& vol);
};
#if defined(SWIGPYTHON)
%rename (_MakeCapFloor) MakeCapFloor;
#endif
class MakeCapFloor {
#if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
%feature("kwargs") MakeCapFloor;
#endif
public:
MakeCapFloor& withNominal(Real n);
MakeCapFloor& withEffectiveDate(const Date&, bool firstCapletExcluded);
MakeCapFloor& withTenor(const Period&);
MakeCapFloor& withCalendar(const Calendar&);
MakeCapFloor& withConvention(BusinessDayConvention bdc);
MakeCapFloor& withTerminationDateConvention(BusinessDayConvention bdc);
MakeCapFloor& withRule(DateGeneration::Rule r);
MakeCapFloor& withEndOfMonth(bool flag = true);
MakeCapFloor& withFirstDate(const Date&);
MakeCapFloor& withNextToLastDate(const Date&);
MakeCapFloor& withDayCount(const DayCounter&);
MakeCapFloor& asOptionlet(bool b = true);
MakeCapFloor& withPricingEngine(
const ext::shared_ptr<PricingEngine>& engine);
MakeCapFloor(CapFloor::Type capFloorType,
const Period& capFloorTenor,
const ext::shared_ptr<IborIndex>& iborIndex,
doubleOrNull strike = Null<Rate>(),
const Period& forwardStart = 0*Days);
%extend {
ext::shared_ptr<CapFloor> makeCapFloor() {
return (ext::shared_ptr<CapFloor>)(* $self);
}
}
};
#if defined(SWIGPYTHON)
%pythoncode {
_MAKECAPFLOOR_METHODS = {
"nominal": "withNominal",
"effectiveDate": "withEffectiveDate",
"tenor": "withTenor",
"calendar": "withCalendar",
"convention": "withConvention",
"terminationDateConvention": "withTerminationDateConvention",
"rule": "withRule",
"endOfMonth": "withEndOfMonth",
"firstDate": "withFirstDate",
"nextToLastDate": "withNextToLastDate",
"dayCount": "withDayCount",
"asOptionlet": "asOptionlet",
"pricingEngine": "withPricingEngine",
}
def MakeCapFloor(capFloorType, capFloorTenor, iborIndex, strike=None, forwardStart=Period(0, Days), **kwargs):
mv = _MakeCapFloor(capFloorType, capFloorTenor, iborIndex, strike, forwardStart)
_apply_kwargs("MakeCapFloor", _MAKECAPFLOOR_METHODS, mv, kwargs)
return mv.makeCapFloor()
}
#endif
#endif
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