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
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2013, 2018 Peter Caspers
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/instruments/floatfloatswaption.hpp>
#include <ql/exercise.hpp>
namespace QuantLib {
FloatFloatSwaption::FloatFloatSwaption(
const ext::shared_ptr<FloatFloatSwap>& swap,
const ext::shared_ptr<Exercise>& exercise, Settlement::Type delivery,
Settlement::Method settlementMethod)
: Option(ext::shared_ptr<Payoff>(), exercise), swap_(swap),
settlementType_(delivery), settlementMethod_(settlementMethod) {
registerWith(swap_);
registerWithObservables(swap_);
}
bool FloatFloatSwaption::isExpired() const {
return detail::simple_event(exercise_->dates().back()).hasOccurred();
}
void
FloatFloatSwaption::setupArguments(PricingEngine::arguments *args) const {
swap_->setupArguments(args);
FloatFloatSwaption::arguments *arguments =
dynamic_cast<FloatFloatSwaption::arguments *>(args);
QL_REQUIRE(arguments != 0, "wrong argument type");
arguments->swap = swap_;
arguments->exercise = exercise_;
arguments->settlementType = settlementType_;
arguments->settlementMethod = settlementMethod_;
}
void FloatFloatSwaption::arguments::validate() const {
FloatFloatSwap::arguments::validate();
QL_REQUIRE(swap, "underlying cms swap not set");
QL_REQUIRE(exercise, "exercise not set");
Settlement::checkTypeAndMethodConsistency(settlementType,
settlementMethod);
}
Disposable<std::vector<ext::shared_ptr<BlackCalibrationHelper> > >
FloatFloatSwaption::calibrationBasket(
const ext::shared_ptr<SwapIndex>& standardSwapBase,
const ext::shared_ptr<SwaptionVolatilityStructure>& swaptionVolatility,
const BasketGeneratingEngine::CalibrationBasketType basketType) const {
ext::shared_ptr<BasketGeneratingEngine> engine =
ext::dynamic_pointer_cast<BasketGeneratingEngine>(engine_);
QL_REQUIRE(engine, "engine is not a basket generating engine");
engine_->reset();
setupArguments(engine_->getArguments());
engine_->getArguments()->validate();
return engine->calibrationBasket(exercise_, standardSwapBase,
swaptionVolatility, basketType);
}
}
|
