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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 caphelper.cpp
\brief Cap calibration helper
\fullpath
ql/InterestRateModelling/CalibrationHelpers/%caphelper.hpp
*/
// $Id: caphelper.cpp,v 1.9 2002/03/06 07:16:06 sadrejeb Exp $
#include "ql/InterestRateModelling/CalibrationHelpers/caphelper.hpp"
#include "ql/CashFlows/cashflowvectors.hpp"
#include "ql/CashFlows/floatingratecoupon.hpp"
#include "ql/Instruments/swap.hpp"
#include "ql/Pricers/blackcapfloor.hpp"
namespace QuantLib {
namespace InterestRateModelling {
namespace CalibrationHelpers {
using CashFlows::FloatingRateCoupon;
using CashFlows::FixedRateCouponVector;
using CashFlows::FloatingRateCouponVector;
using Instruments::VanillaCap;
using Instruments::CapFloorParameters;
using Instruments::Swap;
CapHelper::CapHelper(
const Period& length,
const RelinkableHandle<MarketElement>& volatility,
const Handle<Indexes::Xibor>& index,
const RelinkableHandle<TermStructure>& termStructure)
: CalibrationHelper(volatility), termStructure_(termStructure) {
Period indexTenor = index->tenor();
int frequency;
if (indexTenor.units() == Months) {
QL_REQUIRE((12%indexTenor.length()) == 0,
"Invalid index tenor");
frequency = 12/indexTenor.length();
} else if (indexTenor.units() == Years) {
QL_REQUIRE(indexTenor.length()==1, "Invalid index tenor");
frequency=1;
} else
throw Error("Invalid index tenor");
Rate fixedRate = 0.04;//dummy value
Date startDate = termStructure->settlementDate().
plus(indexTenor.length(), indexTenor.units());
Date maturity = termStructure->settlementDate().
plus(length.length(), length.units());
std::vector<double> nominals(1,1.0);
FloatingRateCouponVector floatingLeg(
nominals, startDate, maturity, frequency,
index->calendar(), index->rollingConvention(),
termStructure, index, 0, std::vector<double>(1, 0.0));
FixedRateCouponVector fixedLeg(
nominals, std::vector<Rate>(1, fixedRate),
startDate, maturity, frequency,
index->calendar(), index->rollingConvention(),
false, index->dayCounter(), index->dayCounter());
Handle<Swap> swap(
new Swap(floatingLeg, fixedLeg, termStructure));
Rate fairRate = fixedRate -
swap->NPV()/swap->secondLegBPS();
engine_ = Handle<OptionPricingEngine>(
new Pricers::BlackCapFloor(blackModel_));
cap_ = Handle<VanillaCap>(
new VanillaCap(floatingLeg, std::vector<Rate>(1, fairRate),
termStructure, engine_));
marketValue_ = blackPrice(volatility_->value());
}
void CapHelper::addTimes(std::list<Time>& times) const {
CapFloorParameters* params =
dynamic_cast<CapFloorParameters*>(engine_->parameters());
Size nPeriods = params->startTimes.size();
for (Size i=0; i<nPeriods; i++) {
times.push_back(params->startTimes[i]);
times.push_back(params->endTimes[i]);
}
}
void CapHelper::setModel(const Handle<Model>& model) {
Handle<Pricers::CapFloorPricingEngine<Model> > engine(engine_);
engine->setModel(model);
}
double CapHelper::modelValue() {
cap_->setPricingEngine(engine_);
return cap_->NPV();
}
double CapHelper::blackPrice(double sigma) const {
Handle<OptionPricingEngine> black(
new Pricers::BlackCapFloor(blackModel_));
cap_->setPricingEngine(black);
double value = cap_->NPV();
cap_->setPricingEngine(engine_);
return value;
}
}
}
}
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