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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Ferdinando Ametrano
Copyright (C) 2006 Franois du Vignaud
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2006, 2007 StatPro Italia srl
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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.
*/
#include <ql/pricingengines/capfloor/blackcapfloorengine.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/cashflows/cashflows.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/quotes/simplequote.hpp>
namespace QuantLib {
namespace {
class ImpliedVolHelper {
public:
ImpliedVolHelper(const CapFloor&,
const Handle<YieldTermStructure>&,
Real targetValue);
Real operator()(Volatility x) const;
Real derivative(Volatility x) const;
private:
boost::shared_ptr<PricingEngine> engine_;
Handle<YieldTermStructure> discountCurve_;
Real targetValue_;
boost::shared_ptr<SimpleQuote> vol_;
const Instrument::results* results_;
};
ImpliedVolHelper::ImpliedVolHelper(
const CapFloor& cap,
const Handle<YieldTermStructure>& discountCurve,
Real targetValue)
: discountCurve_(discountCurve), targetValue_(targetValue) {
vol_ = boost::shared_ptr<SimpleQuote>(new SimpleQuote(0.0));
Handle<Quote> h(vol_);
engine_ = boost::shared_ptr<PricingEngine>(
new BlackCapFloorEngine(discountCurve_, h));
cap.setupArguments(engine_->getArguments());
results_ =
dynamic_cast<const Instrument::results*>(engine_->getResults());
}
Real ImpliedVolHelper::operator()(Volatility x) const {
vol_->setValue(x);
engine_->calculate();
return results_->value-targetValue_;
}
Real ImpliedVolHelper::derivative(Volatility x) const {
vol_->setValue(x);
engine_->calculate();
return 0.0;
//return results_->vega;
}
}
CapFloor::CapFloor(
CapFloor::Type type,
const Leg& floatingLeg,
const std::vector<Rate>& capRates,
const std::vector<Rate>& floorRates)
: type_(type), floatingLeg_(floatingLeg),
capRates_(capRates), floorRates_(floorRates) {
if (type_ == Cap || type_ == Collar) {
QL_REQUIRE(!capRates_.empty(), "no cap rates given");
capRates_.reserve(floatingLeg_.size());
while (capRates_.size() < floatingLeg_.size())
capRates_.push_back(capRates_.back());
}
if (type_ == Floor || type_ == Collar) {
QL_REQUIRE(!floorRates_.empty(), "no floor rates given");
floorRates_.reserve(floatingLeg_.size());
while (floorRates_.size() < floatingLeg_.size())
floorRates_.push_back(floorRates_.back());
}
Leg::const_iterator i;
for (i = floatingLeg_.begin(); i != floatingLeg_.end(); ++i)
registerWith(*i);
registerWith(Settings::instance().evaluationDate());
}
CapFloor::CapFloor(
CapFloor::Type type,
const Leg& floatingLeg,
const std::vector<Rate>& strikes)
: type_(type), floatingLeg_(floatingLeg) {
QL_REQUIRE(!strikes.empty(), "no strikes given");
if (type_ == Cap) {
capRates_ = strikes;
capRates_.reserve(floatingLeg_.size());
while (capRates_.size() < floatingLeg_.size())
capRates_.push_back(capRates_.back());
} else if (type_ == Floor) {
floorRates_ = strikes;
floorRates_.reserve(floatingLeg_.size());
while (floorRates_.size() < floatingLeg_.size())
floorRates_.push_back(floorRates_.back());
} else
QL_FAIL("only Cap/Floor types allowed in this constructor");
Leg::const_iterator i;
for (i = floatingLeg_.begin(); i != floatingLeg_.end(); ++i)
registerWith(*i);
registerWith(Settings::instance().evaluationDate());
}
Rate CapFloor::atmRate(const YieldTermStructure& discountCurve) const {
return CashFlows::atmRate(floatingLeg_, discountCurve);
}
bool CapFloor::isExpired() const {
Date today = Settings::instance().evaluationDate();
for (Size i=0; i<floatingLeg_.size(); i++)
if (!floatingLeg_[i]->hasOccurred(today))
return false;
return true;
}
Date CapFloor::startDate() const {
return CashFlows::startDate(floatingLeg_);
}
Date CapFloor::maturityDate() const {
return CashFlows::maturityDate(floatingLeg_);
}
boost::shared_ptr<FloatingRateCoupon>
CapFloor::lastFloatingRateCoupon() const {
boost::shared_ptr<CashFlow> lastCF(floatingLeg_.back());
boost::shared_ptr<FloatingRateCoupon> lastFloatingCoupon =
boost::dynamic_pointer_cast<FloatingRateCoupon>(lastCF);
return lastFloatingCoupon;
}
void CapFloor::setupArguments(PricingEngine::arguments* args) const {
CapFloor::arguments* arguments =
dynamic_cast<CapFloor::arguments*>(args);
QL_REQUIRE(arguments != 0, "wrong argument type");
Size n = floatingLeg_.size();
arguments->startDates.resize(n);
arguments->fixingDates.resize(n);
arguments->endDates.resize(n);
arguments->accrualTimes.resize(n);
arguments->forwards.resize(n);
arguments->nominals.resize(n);
arguments->gearings.resize(n);
arguments->capRates.resize(n);
arguments->floorRates.resize(n);
arguments->spreads.resize(n);
arguments->type = type_;
Date today = Settings::instance().evaluationDate();
for (Size i=0; i<n; i++) {
boost::shared_ptr<FloatingRateCoupon> coupon =
boost::dynamic_pointer_cast<FloatingRateCoupon>(
floatingLeg_[i]);
QL_REQUIRE(coupon, "non-iborCoupon given");
arguments->startDates[i] = coupon->accrualStartDate();
arguments->fixingDates[i] = coupon->fixingDate();
arguments->endDates[i] = coupon->date();
// this is passed explicitly for precision
arguments->accrualTimes[i] = coupon->accrualPeriod();
// this is passed explicitly for precision...
if (arguments->endDates[i] >= today) { // ...but only if needed
arguments->forwards[i] = coupon->adjustedFixing();
} else {
arguments->forwards[i] = Null<Rate>();
}
arguments->nominals[i] = coupon->nominal();
Spread spread = coupon->spread();
Real gearing = coupon->gearing();
arguments->gearings[i] = gearing;
arguments->spreads[i] = spread;
if (type_ == Cap || type_ == Collar)
arguments->capRates[i] = (capRates_[i]-spread)/gearing;
else
arguments->capRates[i] = Null<Rate>();
if (type_ == Floor || type_ == Collar)
arguments->floorRates[i] = (floorRates_[i]-spread)/gearing;
else
arguments->floorRates[i] = Null<Rate>();
}
}
void CapFloor::arguments::validate() const {
QL_REQUIRE(endDates.size() == startDates.size(),
"number of start dates (" << startDates.size()
<< ") different from that of end dates ("
<< endDates.size() << ")");
QL_REQUIRE(accrualTimes.size() == startDates.size(),
"number of start dates (" << startDates.size()
<< ") different from that of accrual times ("
<< accrualTimes.size() << ")");
QL_REQUIRE(type == CapFloor::Floor ||
capRates.size() == startDates.size(),
"number of start dates (" << startDates.size()
<< ") different from that of cap rates ("
<< capRates.size() << ")");
QL_REQUIRE(type == CapFloor::Cap ||
floorRates.size() == startDates.size(),
"number of start dates (" << startDates.size()
<< ") different from that of floor rates ("
<< floorRates.size() << ")");
QL_REQUIRE(gearings.size() == startDates.size(),
"number of start dates (" << startDates.size()
<< ") different from that of gearings ("
<< gearings.size() << ")");
QL_REQUIRE(spreads.size() == startDates.size(),
"number of start dates (" << startDates.size()
<< ") different from that of spreads ("
<< spreads.size() << ")");
QL_REQUIRE(nominals.size() == startDates.size(),
"number of start dates (" << startDates.size()
<< ") different from that of nominals ("
<< nominals.size() << ")");
QL_REQUIRE(forwards.size() == startDates.size(),
"number of start dates (" << startDates.size()
<< ") different from that of forwards ("
<< forwards.size() << ")");
}
Volatility CapFloor::impliedVolatility(
Real targetValue,
const Handle<YieldTermStructure>& discountCurve,
Real accuracy,
Size maxEvaluations,
Volatility minVol,
Volatility maxVol) const {
calculate();
QL_REQUIRE(!isExpired(), "instrument expired");
Volatility guess = 0.10; // no way we can get a more accurate one
ImpliedVolHelper f(*this, discountCurve, targetValue);
Brent solver;
solver.setMaxEvaluations(maxEvaluations);
return solver.solve(f, accuracy, guess, minVol, maxVol);
}
std::ostream& operator<<(std::ostream& out, CapFloor::Type t) {
switch (t) {
case CapFloor::Cap:
return out << "Cap";
case CapFloor::Floor:
return out << "Floor";
case CapFloor::Collar:
return out << "Collar";
default:
QL_FAIL("unknown CapFloor::Type (" << Integer(t) << ")");
}
}
}
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