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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 swaptionhelper.cpp
\brief Swaption calibration helper
\fullpath
ql/InterestRateModelling/CalibrationHelpers/%swaptionhelper.cpp
*/
// $Id: swaptionhelper.cpp,v 1.12 2002/03/07 14:06:18 lballabio Exp $
#include "ql/CashFlows/floatingratecoupon.hpp"
#include "ql/InterestRateModelling/CalibrationHelpers/swaptionhelper.hpp"
#include "ql/Pricers/blackswaption.hpp"
namespace QuantLib {
namespace InterestRateModelling {
namespace CalibrationHelpers {
using Instruments::SimpleSwap;
using Instruments::Swaption;
using Instruments::SwaptionParameters;
SwaptionHelper::SwaptionHelper(
const Period& maturity,
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("index tenor not valid!");
Date startDate = termStructure->settlementDate().
plus(maturity.length(), maturity.units());
Rate fixedRate = 0.04;//dummy value
swap_ = Handle<SimpleSwap>(new SimpleSwap(
false,
startDate,
length.length(),
length.units(),
index->calendar(),
index->rollingConvention(),
1.0,
frequency,
fixedRate,
false,
index->dayCounter(),
frequency,
index,
0,//FIXME
0.0,
termStructure));
Rate fairFixedRate = swap_->fairRate();
swap_ = Handle<SimpleSwap>(new SimpleSwap(
false,
startDate,
length.length(),
length.units(),
index->calendar(),
index->rollingConvention(),
1.0,
frequency,
fairFixedRate,
false,
index->dayCounter(),
frequency,
index,
0,//FIXME
0.0,
termStructure));
exerciseRate_ = fairFixedRate;
engine_ = Handle<OptionPricingEngine>(
new Pricers::BlackSwaption(blackModel_));
swaption_ = Handle<Swaption>(new
Swaption(swap_, EuropeanExercise(startDate), termStructure,
engine_));
marketValue_ = blackPrice(volatility_->value());
}
void SwaptionHelper::addTimes(std::list<Time>& times) const {
SwaptionParameters* params =
dynamic_cast<SwaptionParameters*>(engine_->parameters());
Size i;
for (i=0; i<params->exerciseTimes.size(); i++)
times.push_back(params->exerciseTimes[i]);
for (i=0; i<params->fixedPayTimes.size(); i++)
times.push_back(params->fixedPayTimes[i]);
for (i=0; i<params->floatingResetTimes.size(); i++)
times.push_back(params->floatingResetTimes[i]);
for (i=0; i<params->floatingPayTimes.size(); i++)
times.push_back(params->floatingPayTimes[i]);
}
void SwaptionHelper::setModel(const Handle<Model>& model) {
Handle<Pricers::SwaptionPricingEngine<Model> > engine(engine_);
engine->setModel(model);
}
double SwaptionHelper::modelValue() {
swaption_->setPricingEngine(engine_);
return swaption_->NPV();
}
double SwaptionHelper::blackPrice(double sigma) const {
Handle<OptionPricingEngine> black(
new Pricers::BlackSwaption(blackModel_));
swaption_->setPricingEngine(black);
double value = swaption_->NPV();
swaption_->setPricingEngine(engine_);
return value;
}
}
}
}
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