1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2001, 2002, 2003 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
<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/analyticcapfloorengine.hpp>
namespace QuantLib {
AnalyticCapFloorEngine::AnalyticCapFloorEngine(
const boost::shared_ptr<AffineModel>& model,
const Handle<YieldTermStructure>& termStructure)
: GenericModelEngine<AffineModel,
CapFloor::arguments,
CapFloor::results >(model),
termStructure_(termStructure) {
registerWith(termStructure_);
}
void AnalyticCapFloorEngine::calculate() const {
QL_REQUIRE(!model_.empty(), "null model");
Date referenceDate;
DayCounter dayCounter;
boost::shared_ptr<TermStructureConsistentModel> tsmodel =
boost::dynamic_pointer_cast<TermStructureConsistentModel>(*model_);
if (tsmodel) {
referenceDate = tsmodel->termStructure()->referenceDate();
dayCounter = tsmodel->termStructure()->dayCounter();
} else {
referenceDate = termStructure_->referenceDate();
dayCounter = termStructure_->dayCounter();
}
Real value = 0.0;
CapFloor::Type type = arguments_.type;
Size nPeriods = arguments_.endDates.size();
bool includeRefDatePayments =
Settings::instance().includeReferenceDateEvents();
if (referenceDate == Settings::instance().evaluationDate()) {
boost::optional<bool> includeTodaysPayments =
Settings::instance().includeTodaysCashFlows();
if (includeTodaysPayments)
includeRefDatePayments = *includeTodaysPayments;
}
for (Size i=0; i<nPeriods; i++) {
Time fixingTime =
dayCounter.yearFraction(referenceDate,
arguments_.fixingDates[i]);
Time paymentTime =
dayCounter.yearFraction(referenceDate,
arguments_.endDates[i]);
bool not_expired =
includeRefDatePayments ? paymentTime >= 0.0 : paymentTime > 0.0;
if (not_expired) {
Time tenor = arguments_.accrualTimes[i];
Rate fixing = arguments_.forwards[i];
if (fixingTime <= 0.0) {
if (type == CapFloor::Cap || type == CapFloor::Collar) {
DiscountFactor discount = model_->discount(paymentTime);
Rate strike = arguments_.capRates[i];
value += discount * arguments_.nominals[i] * tenor
* arguments_.gearings[i]
* std::max(0.0, fixing - strike);
}
if (type == CapFloor::Floor || type == CapFloor::Collar) {
DiscountFactor discount = model_->discount(paymentTime);
Rate strike = arguments_.floorRates[i];
Real mult = (type == CapFloor::Floor) ? 1.0 : -1.0;
value += discount * arguments_.nominals[i] * tenor
* mult * arguments_.gearings[i]
* std::max(0.0, strike - fixing);
}
} else {
Time maturity =
dayCounter.yearFraction(referenceDate,
arguments_.startDates[i]);
if (type == CapFloor::Cap || type == CapFloor::Collar) {
Real temp = 1.0+arguments_.capRates[i]*tenor;
value += arguments_.nominals[i] *
arguments_.gearings[i] * temp *
model_->discountBondOption(Option::Put, 1.0/temp,
maturity, paymentTime);
}
if (type == CapFloor::Floor || type == CapFloor::Collar) {
Real temp = 1.0+arguments_.floorRates[i]*tenor;
Real mult = (type == CapFloor::Floor) ? 1.0 : -1.0;
value += arguments_.nominals[i] *
arguments_.gearings[i] * temp * mult *
model_->discountBondOption(Option::Call, 1.0/temp,
maturity, paymentTime);
}
}
}
}
results_.value = value;
}
}
|
