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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.hpp
\brief Swaption class
\fullpath
ql/Instruments/%swaption.hpp
*/
// $Id: swaption.hpp,v 1.15 2002/03/13 15:40:33 lballabio Exp $
#ifndef quantlib_instruments_swaption_h
#define quantlib_instruments_swaption_h
#include <ql/exercise.hpp>
#include <ql/numericalmethod.hpp>
#include <ql/Instruments/simpleswap.hpp>
#include <ql/InterestRateModelling/model.hpp>
namespace QuantLib {
namespace Instruments {
class SwaptionParameters;
//! Swaption class
class Swaption : public Option {
public:
Swaption(const Handle<SimpleSwap>& swap,
const Exercise& exercise,
const RelinkableHandle<TermStructure>& termStructure,
const Handle<OptionPricingEngine>& engine);
protected:
void performCalculations() const;
void setupEngine() const;
private:
// parameters
Handle<SimpleSwap> swap_;
Exercise exercise_;
const RelinkableHandle<TermStructure>& termStructure_;
// helper class for implied volatility calculation
};
//! parameters for swaption calculation
class SwaptionParameters : public virtual Arguments {
public:
SwaptionParameters() : payFixed(false),
fairRate(0.0),
fixedRate(0.0),
fixedBPS(0.0),
fixedPayTimes(0),
fixedCoupons(0),
floatingResetTimes(0),
floatingPayTimes(0),
nominals(0),
exerciseType(Exercise::Type(-1)),
exerciseTimes(0) {}
bool payFixed;
Rate fairRate;
Rate fixedRate;
double fixedBPS;
std::vector<Time> fixedPayTimes;
std::vector<double> fixedCoupons;
std::vector<Time> floatingResetTimes;
std::vector<Time> floatingPayTimes;
std::vector<double> nominals;
Exercise::Type exerciseType;
std::vector<Time> exerciseTimes;
void validate() const {
QL_REQUIRE(fixedPayTimes.size() == fixedCoupons.size(),
"Invalid pricing parameters");
}
};
//! %results from swaption calculation
class SwaptionResults : public OptionValue {};
}
namespace Pricers {
class NumericalSwap : public NumericalDerivative {
public:
NumericalSwap(const Handle<NumericalMethod>& method,
const Instruments::SwaptionParameters& params)
: NumericalDerivative(method), parameters_(params) {}
void reset(Size size) {
values_ = Array(size, 0.0);
applyCondition();
}
virtual void applyCondition() {
Size i;
for (i=0; i<parameters_.fixedPayTimes.size(); i++) {
if (time_ == parameters_.fixedPayTimes[i]) {
if (parameters_.payFixed)
values_ -= parameters_.fixedCoupons[i];
else
values_ += parameters_.fixedCoupons[i];
}
}
for (i=0; i<parameters_.floatingResetTimes.size(); i++) {
if (time_ == parameters_.floatingResetTimes[i]) {
Handle<NumericalDerivative> bond(new
NumericalDiscountBond(method()));
method()->initialize(bond,
parameters_.floatingPayTimes[i]);
method()->rollback(bond,time_);
for (Size j=0; j<values_.size(); j++) {
double coupon = parameters_.nominals[i]*
(1.0 - bond->values()[j]);
if (parameters_.payFixed)
values_[j] += coupon;
else
values_[j] -= coupon;
}
}
}
}
void addTimes(std::list<Time>& times) const {
Size i;
for (i=0; i<parameters_.fixedPayTimes.size(); i++)
times.push_back(parameters_.fixedPayTimes[i]);
for (i=0; i<parameters_.floatingResetTimes.size(); i++)
times.push_back(parameters_.floatingResetTimes[i]);
for (i=0; i<parameters_.floatingPayTimes.size(); i++)
times.push_back(parameters_.floatingPayTimes[i]);
}
private:
Instruments::SwaptionParameters parameters_;
};
class NumericalSwaption : public NumericalDerivative {
public:
NumericalSwaption(
const Handle<NumericalMethod>& method,
const Instruments::SwaptionParameters& params)
: NumericalDerivative(method), parameters_(params),
swap_(new NumericalSwap(method, params)) {
Time lastFixedPay = parameters_.fixedPayTimes.back();
Time lastFloatPay = parameters_.floatingPayTimes.back();
Time start = QL_MAX(lastFixedPay, lastFloatPay);
method->initialize(swap_, start);
}
void reset(Size size) {
values_ = Array(size, 0.0);
applyCondition();
}
virtual void applySpecificCondition() {
for (Size i=0; i<values_.size(); i++)
values_[i] = QL_MAX(swap_->values()[i], values_[i]);
}
virtual void applyCondition() {
method()->rollback(swap_, time());
Size i;
if (parameters_.exerciseType != Exercise::American) {
for (i=0; i<parameters_.exerciseTimes.size(); i++) {
if (time_ == parameters_.exerciseTimes[i]) {
applySpecificCondition();
}
}
} else {
if (
(time_ >= parameters_.exerciseTimes[0]) &&
(time_ <= parameters_.exerciseTimes[1]))
applySpecificCondition();
}
}
void addTimes(std::list<Time>& times) const {
swap_->addTimes(times);
for (Size i=0; i<parameters_.exerciseTimes.size(); i++)
times.push_back(parameters_.exerciseTimes[i]);
}
private:
Instruments::SwaptionParameters parameters_;
Handle<NumericalSwap> swap_;
};
//! base class for swaption pricing engines
/*! Derived engines only need to implement the <tt>calculate()</tt>
method
*/
template<class ModelType>
class SwaptionPricingEngine : public OptionPricingEngine,
public Patterns::Observer,
public Patterns::Observable {
public:
SwaptionPricingEngine() {}
SwaptionPricingEngine(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::SwaptionParameters parameters_;
mutable Instruments::SwaptionResults results_;
Handle<ModelType> model_;
};
}
}
#endif
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