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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/experimental/inflation/yoyoptionlethelpers.hpp>
#include <ql/instruments/makeyoyinflationcapfloor.hpp>
namespace QuantLib {
namespace {
void no_deletion(void*) {}
}
YoYOptionletHelper::YoYOptionletHelper(
const Handle<Quote>& price,
Real notional,
YoYInflationCapFloor::Type capFloorType,
Period &lag,
const DayCounter& yoyDayCounter,
const Calendar& paymentCalendar,
Natural fixingDays,
const boost::shared_ptr<YoYInflationIndex>& index,
Rate strike, Size n,
const boost::shared_ptr<YoYInflationCapFloorEngine> &pricer)
: BootstrapHelper<YoYOptionletVolatilitySurface>(price),
notional_(notional), capFloorType_(capFloorType), lag_(lag),
fixingDays_(fixingDays), index_(index), strike_(strike), n_(n),
yoyDayCounter_(yoyDayCounter), calendar_(paymentCalendar),
pricer_(pricer) {
// build the instrument to reprice (only need do this once)
yoyCapFloor_ = boost::shared_ptr<YoYInflationCapFloor>(
new YoYInflationCapFloor(
MakeYoYInflationCapFloor(capFloorType_, n_, calendar_,
index_, lag_, strike_)
.withNominal(notional)
.withFixingDays(fixingDays_)
.withPaymentDayCounter(yoyDayCounter_)
));
// dates already build in lag of index/instrument
// these are the dates of the values of the index
// that fix the capfloor
earliestDate_ =
boost::dynamic_pointer_cast<YoYInflationCoupon>(yoyCapFloor_->yoyLeg().front())
->fixingDate();
latestDate_ =
boost::dynamic_pointer_cast<YoYInflationCoupon>(yoyCapFloor_->yoyLeg().back())
->fixingDate();
// each reprice is resetting the inflation surf in the
// pricer... so set the pricer
yoyCapFloor_->setPricingEngine(pricer_);
// haven't yet set the vol (term structure = surface)
}
Real YoYOptionletHelper::impliedQuote() const {
yoyCapFloor_->recalculate();
return yoyCapFloor_->NPV();
}
void YoYOptionletHelper::setTermStructure(
YoYOptionletVolatilitySurface* v) {
BootstrapHelper<YoYOptionletVolatilitySurface>::setTermStructure(v);
// set up a new yoyCapFloor
// but this one does NOT own its inflation term structure
const bool own = false;
// create a handle to the new vol surface
Handle<YoYOptionletVolatilitySurface> volSurf(
boost::shared_ptr<YoYOptionletVolatilitySurface>(v,no_deletion),
own);
// in this case all we need to do is reset the vol in the pricer
// we must do it because the surface is a different one each time
// i.e. the pointer (handle) changes, not just what it points to
pricer_->setVolatility(volSurf);
}
}
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