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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 swaption.cpp
\brief Swaption
\fullpath
ql/Instruments/%swaption.cpp
*/
// $Id: swaption.cpp,v 1.14 2002/03/13 15:40:33 lballabio Exp $
#include <ql/Instruments/swaption.hpp>
#include <ql/CashFlows/floatingratecoupon.hpp>
#include <ql/Solvers1D/brent.hpp>
namespace QuantLib {
namespace Instruments {
using CashFlows::FloatingRateCoupon;
Swaption::Swaption(
const Handle<SimpleSwap>& swap, const Exercise& exercise,
const RelinkableHandle<TermStructure>& termStructure,
const Handle<OptionPricingEngine>& engine)
: Option(engine), swap_(swap), exercise_(exercise),
termStructure_(termStructure) {
registerWith(swap_);
registerWith(termStructure_);
registerWith(engine_);
}
void Swaption::setupEngine() const {
SwaptionParameters* parameters =
dynamic_cast<SwaptionParameters*>(
engine_->parameters());
QL_REQUIRE(parameters != 0,
"pricing engine does not supply needed parameters");
Date settlement = termStructure_->settlementDate();
DayCounter counter = termStructure_->dayCounter();
Size i;
parameters->payFixed = swap_->payFixedRate();
// volatilities are calculated for zero-spreaded swaps.
// Therefore, the spread on the floating leg is removed
// and a corresponding correction is made on the fixed leg.
Spread correction = swap_->spread() *
swap_->floatingLegBPS() /
swap_->fixedLegBPS();
// the above is the opposite of the needed value since the
// two BPSs have opposite sign; hence the + sign below
parameters->fixedRate = swap_->fixedRate() + correction;
parameters->fairRate = swap_->fairRate() + correction;
// this is passed explicitly for precision
parameters->fixedBPS = QL_FABS(swap_->fixedLegBPS());
const std::vector<Handle<CashFlow> >& fixedLeg = swap_->fixedLeg();
parameters->fixedPayTimes.clear();
parameters->fixedCoupons.clear();
for (i=0; i<fixedLeg.size(); i++) {
Time time = counter.yearFraction(settlement,
fixedLeg[i]->date());
parameters->fixedPayTimes.push_back(time);
parameters->fixedCoupons.push_back(fixedLeg[i]->amount());
}
parameters->floatingResetTimes.clear();
parameters->floatingPayTimes.clear();
parameters->nominals.clear();
const std::vector<Handle<CashFlow> >& floatingLeg =
swap_->floatingLeg();
std::vector<Handle<CashFlow> >::const_iterator begin, end;
begin = floatingLeg.begin();
end = floatingLeg.end();
for (; begin != end; ++begin) {
Handle<FloatingRateCoupon> coupon = *begin;
QL_ENSURE(!coupon.isNull(), "not a floating rate coupon");
const Handle<Indexes::Xibor>& index = coupon->index();
/* Date fixingDate = index->calendar().advance(
coupon->accrualStartDate(), -coupon->fixingDays(), Days,
index->rollingConvention());
Date fixingValueDate = index->calendar().advance(
fixingDate, index->settlementDays(), Days,
index->rollingConvention());*/
Date resetDate = index->calendar().roll(
coupon->accrualStartDate(), index->rollingConvention());
Time time = counter.yearFraction(settlement, resetDate);
parameters->floatingResetTimes.push_back(time);
/*
Date payDate = index->calendar().advance(
coupon->accrualEndDate(),
index->settlementDays()-coupon->fixingDays(), Days,
index->rollingConvention());
*/
time = counter.yearFraction(settlement, coupon->date());
parameters->floatingPayTimes.push_back(time);
parameters->nominals.push_back(coupon->nominal());
}
parameters->exerciseType = exercise_.type();
parameters->exerciseTimes.clear();
const std::vector<Date> dates = exercise_.dates();
for (i=0; i<dates.size(); i++) {
Date exerciseDate = exercise_.calendar().advance(
dates[i], exercise_.settlementDays(), Days,
exercise_.rollingConvention());
Time time = counter.yearFraction(settlement, exerciseDate);
parameters->exerciseTimes.push_back(time);
}
}
void Swaption::performCalculations() const {
if (exercise_.dates().back() < 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");
}
}
}
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