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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
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/pricingengines/blackformula.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
namespace QuantLib {
BlackCapFloorEngine::BlackCapFloorEngine(
const Handle<YieldTermStructure>& discountCurve,
Volatility v,
const DayCounter& dc)
: discountCurve_(discountCurve),
vol_(boost::shared_ptr<OptionletVolatilityStructure>(new
ConstantOptionletVolatility(0, NullCalendar(), Following, v, dc))) {
registerWith(discountCurve_);
}
BlackCapFloorEngine::BlackCapFloorEngine(
const Handle<YieldTermStructure>& discountCurve,
const Handle<Quote>& v,
const DayCounter& dc)
: discountCurve_(discountCurve),
vol_(boost::shared_ptr<OptionletVolatilityStructure>(new
ConstantOptionletVolatility(0, NullCalendar(), Following, v, dc))) {
registerWith(discountCurve_);
registerWith(vol_);
}
BlackCapFloorEngine::BlackCapFloorEngine(
const Handle<YieldTermStructure>& discountCurve,
const Handle<OptionletVolatilityStructure>& volatility)
: discountCurve_(discountCurve), vol_(volatility) {
registerWith(discountCurve_);
registerWith(vol_);
}
void BlackCapFloorEngine::calculate() const {
Real value = 0.0;
Real vega = 0.0;
Size optionlets = arguments_.startDates.size();
std::vector<Real> values(optionlets, 0.0);
std::vector<Real> vegas(optionlets, 0.0);
std::vector<Real> stdDevs(optionlets, 0.0);
CapFloor::Type type = arguments_.type;
Date today = vol_->referenceDate();
Date settlement = discountCurve_->referenceDate();
for (Size i=0; i<optionlets; ++i) {
Date paymentDate = arguments_.endDates[i];
// handling of settlementDate, npvDate and includeSettlementFlows
// should be implemented.
// For the time being just discard expired caplets
if (paymentDate > settlement) {
DiscountFactor d = arguments_.nominals[i] *
arguments_.gearings[i] *
discountCurve_->discount(paymentDate) *
arguments_.accrualTimes[i];
Rate forward = arguments_.forwards[i];
Date fixingDate = arguments_.fixingDates[i];
Time sqrtTime = 0.0;
if (fixingDate > today)
sqrtTime = std::sqrt(vol_->timeFromReference(fixingDate));
if (type == CapFloor::Cap || type == CapFloor::Collar) {
Rate strike = arguments_.capRates[i];
if (sqrtTime>0.0) {
stdDevs[i] = std::sqrt(vol_->blackVariance(fixingDate,
strike));
vegas[i] = blackFormulaStdDevDerivative(
strike, forward, stdDevs[i], d) * sqrtTime;
}
// include caplets with past fixing date
values[i] = blackFormula(Option::Call, strike,
forward, stdDevs[i], d);
}
if (type == CapFloor::Floor || type == CapFloor::Collar) {
Rate strike = arguments_.floorRates[i];
Real floorletVega = 0.0;
if (sqrtTime>0.0) {
stdDevs[i] = std::sqrt(vol_->blackVariance(fixingDate,
strike));
floorletVega = blackFormulaStdDevDerivative(
strike, forward, stdDevs[i], d) * sqrtTime;
}
Real floorlet = blackFormula(Option::Put, strike,
forward, stdDevs[i], d);
if (type == CapFloor::Floor) {
values[i] = floorlet;
vegas[i] = floorletVega;
} else {
// a collar is long a cap and short a floor
values[i] -= floorlet;
vegas[i] -= floorletVega;
}
}
value += values[i];
vega += vegas[i];
}
}
results_.value = value;
results_.additionalResults["vega"] = vega;
results_.additionalResults["optionletsPrice"] = values;
results_.additionalResults["optionletsVega"] = vegas;
results_.additionalResults["optionletsAtmForward"] = arguments_.forwards;
if (type != CapFloor::Collar)
results_.additionalResults["optionletsStdDev"] = stdDevs;
}
}
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