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/*
Copyright (C) 2001, 2002 Sadruddin Rejeb
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 ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
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.
*/
/*! \file capfloor.cpp
\brief European cap and floor class
\fullpath
ql/Instruments/%capfloor.cpp
*/
// $Id: capfloor.cpp,v 1.24 2002/03/15 14:16:39 lballabio Exp $
#include "ql/Instruments/capfloor.hpp"
#include "ql/CashFlows/floatingratecoupon.hpp"
namespace QuantLib {
namespace Instruments {
using CashFlows::FloatingRateCoupon;
void VanillaCapFloor::setupEngine() const {
CapFloorParameters* parameters =
dynamic_cast<CapFloorParameters*>(
engine_->parameters());
QL_REQUIRE(parameters != 0,
"pricing engine does not supply needed parameters");
parameters->type = type_;
parameters->capRates.clear();
parameters->floorRates.clear();
parameters->startTimes.clear();
parameters->endTimes.clear();
parameters->accrualTimes.clear();
parameters->forwards.clear();
parameters->nominals.clear();
Date settlement = termStructure_->settlementDate();
DayCounter counter = termStructure_->dayCounter();
std::vector<Handle<CashFlow> >::const_iterator begin =
floatingLeg_.begin();
std::vector<Rate>::const_iterator caps = capRates_.begin();
std::vector<Rate>::const_iterator floors = floorRates_.begin();
for (; begin != floatingLeg_.end(); ++begin) {
Handle<FloatingRateCoupon> coupon = *begin;
QL_ENSURE(!coupon.isNull(),
"VanillaCapFloor::setupEngine Not a floating rate coupon");
Date beginDate = coupon->accrualStartDate();
Time time = counter.yearFraction(settlement, beginDate);
parameters->startTimes.push_back(time);
time = counter.yearFraction(settlement, coupon->date());
parameters->endTimes.push_back(time);
// this is passed explicitly for precision
parameters->accrualTimes.push_back(coupon->accrualPeriod());
// this is passed explicitly for precision
if (parameters->endTimes.back() >= 0.0) // but only if really needed
parameters->forwards.push_back(coupon->fixing());
else
parameters->forwards.push_back(Null<Rate>());
parameters->nominals.push_back(coupon->nominal());
if (caps == capRates_.end()) {
parameters->capRates.push_back(capRates_.back());
} else {
parameters->capRates.push_back(*caps);
caps++;
}
if (floors == floorRates_.end()) {
parameters->floorRates.push_back(floorRates_.back());
} else {
parameters->floorRates.push_back(*floors);
floors++;
}
}
}
void VanillaCapFloor::performCalculations() const {
if (floatingLeg_.back()->date()<termStructure_->settlementDate()) {
isExpired_ = true;
NPV_ = 0.0;
} else {
isExpired_ = false;
Option::performCalculations();
}
QL_ENSURE(isExpired_ || NPV_ != Null<double>(),
"null value returned from cap/floor pricer");
}
void CapFloorParameters::validate() const {
QL_REQUIRE(
endTimes.size() == startTimes.size(),
"Invalid pricing parameters: size of startTimes (" +
IntegerFormatter::toString(startTimes.size()) +
") different from that of endTimes (" +
IntegerFormatter::toString(endTimes.size()) +
")");
QL_REQUIRE(
accrualTimes.size() == startTimes.size(),
"Invalid pricing parameters: size of startTimes (" +
IntegerFormatter::toString(startTimes.size()) +
") different from that of accrualTimes (" +
IntegerFormatter::toString(accrualTimes.size()) +
")");
QL_REQUIRE(
capRates.size() == startTimes.size(),
"Invalid pricing parameters: size of startTimes (" +
IntegerFormatter::toString(startTimes.size()) +
") different from that of capRates (" +
IntegerFormatter::toString(capRates.size()) +
")");
QL_REQUIRE(
floorRates.size() == startTimes.size(),
"Invalid pricing parameters: size of startTimes (" +
IntegerFormatter::toString(startTimes.size()) +
") different from that of floorRates (" +
IntegerFormatter::toString(floorRates.size()) +
")");
QL_REQUIRE(
nominals.size() == startTimes.size(),
"Invalid pricing parameters: size of startTimes (" +
IntegerFormatter::toString(startTimes.size()) +
") different from that of nominals (" +
IntegerFormatter::toString(nominals.size()) +
")");
}
}
}
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