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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.hpp
\brief Cap and Floor class
\fullpath
ql/Instruments/%capfloor.hpp
*/
// $Id: capfloor.hpp,v 1.24 2002/03/15 14:16:39 lballabio Exp $
#ifndef quantlib_instruments_capfloor_h
#define quantlib_instruments_capfloor_h
#include "ql/dataformatters.hpp"
#include <ql/instrument.hpp>
#include <ql/numericalmethod.hpp>
#include <ql/CashFlows/cashflowvectors.hpp>
#include <ql/InterestRateModelling/model.hpp>
namespace QuantLib {
namespace Instruments {
class VanillaCapFloor : public Option {
public:
enum Type { Cap, Floor, Collar };
VanillaCapFloor(Type type,
const std::vector<Handle<CashFlow> >& floatingLeg,
const std::vector<Rate>& capRates,
const std::vector<Rate>& floorRates,
const RelinkableHandle<TermStructure>& termStructure,
const Handle<OptionPricingEngine>& engine)
: Option(engine), type_(type), floatingLeg_(floatingLeg),
capRates_(capRates), floorRates_(floorRates),
termStructure_(termStructure) {
std::vector<Handle<CashFlow> >::const_iterator i;
for (i = floatingLeg_.begin(); i != floatingLeg_.end(); ++i)
registerWith(*i);
registerWith(termStructure);
registerWith(engine);
}
protected:
void performCalculations() const;
void setupEngine() const;
private:
Type type_;
std::vector<Handle<CashFlow> > floatingLeg_;
std::vector<Rate> capRates_;
std::vector<Rate> floorRates_;
RelinkableHandle<TermStructure> termStructure_;
};
class VanillaCap : public VanillaCapFloor {
public:
VanillaCap(
const CashFlows::FloatingRateCouponVector& floatingLeg,
const std::vector<Rate>& exerciseRates,
const RelinkableHandle<TermStructure>& termStructure,
const Handle<OptionPricingEngine>& engine)
: VanillaCapFloor(Cap, floatingLeg,
exerciseRates, std::vector<Rate>(1, 0.0),
termStructure, engine)
{}
};
class VanillaFloor : public VanillaCapFloor {
public:
VanillaFloor(
const CashFlows::FloatingRateCouponVector& floatingLeg,
const std::vector<Rate>& exerciseRates,
const RelinkableHandle<TermStructure>& termStructure,
const Handle<OptionPricingEngine>& engine)
: VanillaCapFloor(Floor, floatingLeg,
std::vector<Rate>(1, 0.0), exerciseRates,
termStructure, engine)
{}
};
class VanillaCollar : public VanillaCapFloor {
public:
VanillaCollar(
const CashFlows::FloatingRateCouponVector& floatingLeg,
const std::vector<Rate>& capRates,
const std::vector<Rate>& floorRates,
const RelinkableHandle<TermStructure>& termStructure,
const Handle<OptionPricingEngine>& engine)
: VanillaCapFloor(Collar, floatingLeg, capRates, floorRates,
termStructure, engine)
{}
};
//! parameters for cap/floor calculation
class CapFloorParameters : public virtual Arguments {
public:
CapFloorParameters() : type(VanillaCapFloor::Type(-1)),
startTimes(0),
endTimes(0),
accrualTimes(0),
capRates(0),
floorRates(0),
forwards(0),
nominals(0) {}
VanillaCapFloor::Type type;
std::vector<Time> startTimes;
std::vector<Time> endTimes;
std::vector<Time> accrualTimes;
std::vector<Rate> capRates;
std::vector<Rate> floorRates;
std::vector<Rate> forwards;
std::vector<double> nominals;
void validate() const;
};
//! %results from cap/floor calculation
class CapFloorResults : public OptionValue {};
}
namespace Pricers {
class NumericalCapFloor : public NumericalDerivative {
public:
NumericalCapFloor(const Handle<NumericalMethod>& method,
const Instruments::CapFloorParameters& params)
: NumericalDerivative(method), parameters_(params) {}
void reset(Size size) {
values_ = Array(size, 0.0);
applyCondition();
}
virtual void applyCondition() {
for (Size i=0; i<parameters_.startTimes.size(); i++) {
if (time_ == parameters_.startTimes[i]) {
Time end = parameters_.endTimes[i];
Handle<NumericalDerivative> bond(new
NumericalDiscountBond(method()));
method()->initialize(bond, end);
method()->rollback(bond,time_);
Instruments::VanillaCapFloor::Type type =
parameters_.type;
if ( (type == Instruments::VanillaCapFloor::Cap) ||
(type == Instruments::VanillaCapFloor::Collar)) {
double accrual = 1.0 +
parameters_.capRates[i]*(end - time_);
double strike = 1.0/accrual;
for (Size j=0; j<values_.size(); j++)
values_[j] += parameters_.nominals[i]*accrual*
QL_MAX(strike - bond->values()[j], 0.0);
}
if ( (type == Instruments::VanillaCapFloor::Floor) ||
(type == Instruments::VanillaCapFloor::Collar)) {
double accrual = 1.0 +
parameters_.floorRates[i]*(end - time_);
double strike = 1.0/accrual;
for (Size j=0; j<values_.size(); j++)
values_[j] += parameters_.nominals[i]*accrual*
QL_MAX(bond->values()[j] - strike, 0.0);
}
}
}
}
void addTimes(std::list<Time>& times) const {
for (Size i=0; i<parameters_.startTimes.size(); i++) {
times.push_back(parameters_.startTimes[i]);
times.push_back(parameters_.endTimes[i]);
}
}
private:
Instruments::CapFloorParameters parameters_;
};
//! base class for cap/floor pricing engines
/*! Derived engines only need to implement the <tt>calculate()</tt>
method
*/
template<class ModelType>
class CapFloorPricingEngine : public OptionPricingEngine,
public Patterns::Observer,
public Patterns::Observable {
public:
CapFloorPricingEngine() {}
CapFloorPricingEngine(const Handle<ModelType>& model)
: model_(model) {
registerWith(model_);
}
Arguments* parameters() { return ¶meters_; }
const Results* results() const { return &results_; }
void validateParameters() const { parameters_.validate(); }
void setModel(const Handle<ModelType>& model) {
unregisterWith(model_);
model_ = model;
QL_REQUIRE(!model_.isNull(), "Not an adequate model!");
registerWith(model_);
}
void update() {
notifyObservers();
}
protected:
Instruments::CapFloorParameters parameters_;
mutable Instruments::CapFloorResults results_;
Handle<ModelType> model_;
};
}
}
#endif
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