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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Chris Kenyon
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/cashflows/inflationcouponpricer.hpp>
#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>
#include <ql/pricingengines/blackformula.hpp>
namespace QuantLib {
YoYInflationCouponPricer::
YoYInflationCouponPricer(const Handle<YoYOptionletVolatilitySurface>& capletVol)
: capletVol_(capletVol) {
if( !capletVol_.empty() ) registerWith(capletVol_);
}
void YoYInflationCouponPricer::setCapletVolatility(
const Handle<YoYOptionletVolatilitySurface>& capletVol) {
QL_REQUIRE(!capletVol.empty(),"empty capletVol handle")
capletVol_ = capletVol;
registerWith(capletVol_);
}
Real YoYInflationCouponPricer::floorletPrice(Rate effectiveFloor) const{
Real floorletPrice = optionletPrice(Option::Put, effectiveFloor);
return gearing_ * floorletPrice;
}
Real YoYInflationCouponPricer::capletPrice(Rate effectiveCap) const{
Real capletPrice = optionletPrice(Option::Call, effectiveCap);
return gearing_ * capletPrice;
}
Rate YoYInflationCouponPricer::floorletRate(Rate effectiveFloor) const{
return floorletPrice(effectiveFloor)/
(coupon_->accrualPeriod()*discount_);
}
Rate YoYInflationCouponPricer::capletRate(Rate effectiveCap) const{
return capletPrice(effectiveCap)/(coupon_->accrualPeriod()*discount_);
}
Real YoYInflationCouponPricer::optionletPriceImp(
//Option::Type optionType,
//Real effStrike,
//Real forward,
//Real stdDev) const {
Option::Type,
Real,
Real,
Real) const {
QL_FAIL("you must implement this to get a vol-dependent price");
//return effStrike*forward*stdDev*optionType;
}
Real YoYInflationCouponPricer::optionletPrice(Option::Type optionType,
Real effStrike) const {
Date fixingDate = coupon_->fixingDate();
if (fixingDate <= Settings::instance().evaluationDate()) {
// the amount is determined
Real a, b;
if (optionType==Option::Call) {
a = coupon_->indexFixing();
b = effStrike;
} else {
a = effStrike;
b = coupon_->indexFixing();
}
return std::max(a - b, 0.0)* coupon_->accrualPeriod()*discount_;
} else {
// not yet determined, use Black/DD1/Bachelier/whatever from Impl
QL_REQUIRE(!capletVolatility().empty(),
"missing optionlet volatility");
Real stdDev =
std::sqrt(capletVolatility()->totalVariance(fixingDate,
effStrike));
Rate fixing = optionletPriceImp(optionType,
effStrike,
adjustedFixing(),
stdDev);
return fixing * coupon_->accrualPeriod() * discount_;
}
}
Rate YoYInflationCouponPricer::adjustedFixing(Rate fixing) const {
if (fixing == Null<Rate>())
fixing = coupon_->indexFixing();
// no adjustment
return fixing;
}
void YoYInflationCouponPricer::initialize(const InflationCoupon& coupon) {
coupon_ = dynamic_cast<const YoYInflationCoupon*>(&coupon);
QL_REQUIRE(coupon_, "year-on-year inflation coupon needed");
gearing_ = coupon_->gearing();
spread_ = coupon_->spread();
paymentDate_ = coupon_->date();
rateCurve_ = boost::dynamic_pointer_cast<YoYInflationIndex>(coupon.index())
->yoyInflationTermStructure()
->nominalTermStructure();
// past or future fixing is managed in YoYInflationIndex::fixing()
// use yield curve from index (which sets discount)
discount_ = 1.0;
if (paymentDate_ > rateCurve_->referenceDate())
discount_ = rateCurve_->discount(paymentDate_);
spreadLegValue_ = spread_ * coupon_->accrualPeriod()* discount_;
}
Real YoYInflationCouponPricer::swapletPrice() const {
Real swapletPrice = adjustedFixing() * coupon_->accrualPeriod() * discount_;
return gearing_ * swapletPrice + spreadLegValue_;
}
Rate YoYInflationCouponPricer::swapletRate() const {
// This way we do not require the index to have
// a yield curve, i.e. we do not get the problem
// that a discounting-instrument-pricer is used
// with a different yield curve
return gearing_ * adjustedFixing() + spread_;
}
//=========================================================================
// vol-dependent pricers, note that these do not discount
//=========================================================================
Real BlackYoYInflationCouponPricer::optionletPriceImp(Option::Type optionType,
Real effStrike,
Real forward,
Real stdDev
) const {
return blackFormula(optionType,
effStrike,
forward,
stdDev);
}
Real UnitDisplacedBlackYoYInflationCouponPricer::optionletPriceImp(Option::Type optionType,
Real effStrike,
Real forward,
Real stdDev
) const {
return blackFormula(optionType,
effStrike + 1.0,
forward + 1.0,
stdDev);
}
Real BachelierYoYInflationCouponPricer::optionletPriceImp(Option::Type optionType,
Real effStrike,
Real forward,
Real stdDev
) const {
return bachelierBlackFormula(optionType,
effStrike,
forward,
stdDev);
}
}
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