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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/instruments/inflationcapfloor.hpp>
#include <ql/math/solvers1d/newtonsafe.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/cashflows/cashflows.hpp>
#include <ql/utilities/dataformatters.hpp>
namespace QuantLib {
std::ostream& operator<<(std::ostream& out,
YoYInflationCapFloor::Type t) {
switch (t) {
case YoYInflationCapFloor::Cap:
return out << "YoYInflationCap";
case YoYInflationCapFloor::Floor:
return out << "YoYInflationFloor";
case YoYInflationCapFloor::Collar:
return out << "YoYInflationCollar";
default:
QL_FAIL("unknown YoYInflationCapFloor::Type (" << Integer(t) << ")");
}
}
YoYInflationCapFloor::YoYInflationCapFloor(YoYInflationCapFloor::Type type,
const Leg& yoyLeg,
const std::vector<Rate>& capRates,
const std::vector<Rate>& floorRates)
: type_(type), yoyLeg_(yoyLeg),
capRates_(capRates), floorRates_(floorRates) {
if (type_ == Cap || type_ == Collar) {
QL_REQUIRE(!capRates_.empty(), "no cap rates given");
capRates_.reserve(yoyLeg_.size());
while (capRates_.size() < yoyLeg_.size())
capRates_.push_back(capRates_.back());
}
if (type_ == Floor || type_ == Collar) {
QL_REQUIRE(!floorRates_.empty(), "no floor rates given");
floorRates_.reserve(yoyLeg_.size());
while (floorRates_.size() < yoyLeg_.size())
floorRates_.push_back(floorRates_.back());
}
Leg::const_iterator i;
for (i = yoyLeg_.begin(); i != yoyLeg_.end(); ++i)
registerWith(*i);
registerWith(Settings::instance().evaluationDate());
}
YoYInflationCapFloor::YoYInflationCapFloor(YoYInflationCapFloor::Type type,
const Leg& yoyLeg,
const std::vector<Rate>& strikes)
: type_(type), yoyLeg_(yoyLeg) {
QL_REQUIRE(!strikes.empty(), "no strikes given");
if (type_ == Cap) {
capRates_ = strikes;
capRates_.reserve(yoyLeg_.size());
while (capRates_.size() < yoyLeg_.size())
capRates_.push_back(capRates_.back());
} else if (type_ == Floor) {
floorRates_ = strikes;
floorRates_.reserve(yoyLeg_.size());
while (floorRates_.size() < yoyLeg_.size())
floorRates_.push_back(floorRates_.back());
} else
QL_FAIL("only Cap/Floor types allowed in this constructor");
Leg::const_iterator i;
for (i = yoyLeg_.begin(); i != yoyLeg_.end(); ++i)
registerWith(*i);
registerWith(Settings::instance().evaluationDate());
}
bool YoYInflationCapFloor::isExpired() const {
for (Size i=yoyLeg_.size(); i>0; --i)
if (!yoyLeg_[i-1]->hasOccurred())
return false;
return true;
}
Date YoYInflationCapFloor::startDate() const {
return CashFlows::startDate(yoyLeg_);
}
Date YoYInflationCapFloor::maturityDate() const {
return CashFlows::maturityDate(yoyLeg_);
}
ext::shared_ptr<YoYInflationCoupon>
YoYInflationCapFloor::lastYoYInflationCoupon() const {
ext::shared_ptr<CashFlow> lastCF(yoyLeg_.back());
ext::shared_ptr<YoYInflationCoupon> lastYoYInflationCoupon =
ext::dynamic_pointer_cast<YoYInflationCoupon>(lastCF);
return lastYoYInflationCoupon;
}
ext::shared_ptr<YoYInflationCapFloor> YoYInflationCapFloor::optionlet(const Size i) const {
QL_REQUIRE(i < yoyLeg().size(),
io::ordinal(i+1) << " optionlet does not exist, only " <<
yoyLeg().size());
Leg cf(1, yoyLeg()[i]);
std::vector<Rate> cap, floor;
if (type() == Cap || type() == Collar)
cap.push_back(capRates()[i]);
if (type() == Floor || type() == Collar)
floor.push_back(floorRates()[i]);
return ext::make_shared<YoYInflationCapFloor>(type(),
cf, cap, floor);
}
void YoYInflationCapFloor::setupArguments(PricingEngine::arguments* args) const {
YoYInflationCapFloor::arguments* arguments =
dynamic_cast<YoYInflationCapFloor::arguments*>(args);
QL_REQUIRE(arguments != 0, "wrong argument type");
Size n = yoyLeg_.size();
arguments->startDates.resize(n);
arguments->fixingDates.resize(n);
arguments->payDates.resize(n);
arguments->accrualTimes.resize(n);
arguments->nominals.resize(n);
arguments->gearings.resize(n);
arguments->capRates.resize(n);
arguments->floorRates.resize(n);
arguments->spreads.resize(n);
arguments->type = type_;
for (Size i=0; i<n; ++i) {
ext::shared_ptr<YoYInflationCoupon> coupon =
ext::dynamic_pointer_cast<YoYInflationCoupon>(
yoyLeg_[i]);
QL_REQUIRE(coupon, "non-YoYInflationCoupon given");
arguments->startDates[i] = coupon->accrualStartDate();
arguments->fixingDates[i] = coupon->fixingDate();
arguments->payDates[i] = coupon->date();
// this is passed explicitly for precision
arguments->accrualTimes[i] = coupon->accrualPeriod();
arguments->nominals[i] = coupon->nominal();
Spread spread = coupon->spread();
Real gearing = coupon->gearing();
arguments->gearings[i] = gearing;
arguments->spreads[i] = spread;
if (type_ == Cap || type_ == Collar)
arguments->capRates[i] = (capRates_[i]-spread)/gearing;
else
arguments->capRates[i] = Null<Rate>();
if (type_ == Floor || type_ == Collar)
arguments->floorRates[i] = (floorRates_[i]-spread)/gearing;
else
arguments->floorRates[i] = Null<Rate>();
}
}
void YoYInflationCapFloor::arguments::validate() const {
QL_REQUIRE(payDates.size() == startDates.size(),
"number of start dates (" << startDates.size()
<< ") different from that of pay dates ("
<< payDates.size() << ")");
QL_REQUIRE(accrualTimes.size() == startDates.size(),
"number of start dates (" << startDates.size()
<< ") different from that of accrual times ("
<< accrualTimes.size() << ")");
QL_REQUIRE(type == YoYInflationCapFloor::Floor ||
capRates.size() == startDates.size(),
"number of start dates (" << startDates.size()
<< ") different from that of cap rates ("
<< capRates.size() << ")");
QL_REQUIRE(type == YoYInflationCapFloor::Cap ||
floorRates.size() == startDates.size(),
"number of start dates (" << startDates.size()
<< ") different from that of floor rates ("
<< floorRates.size() << ")");
QL_REQUIRE(gearings.size() == startDates.size(),
"number of start dates (" << startDates.size()
<< ") different from that of gearings ("
<< gearings.size() << ")");
QL_REQUIRE(spreads.size() == startDates.size(),
"number of start dates (" << startDates.size()
<< ") different from that of spreads ("
<< spreads.size() << ")");
QL_REQUIRE(nominals.size() == startDates.size(),
"number of start dates (" << startDates.size()
<< ") different from that of nominals ("
<< nominals.size() << ")");
}
Rate YoYInflationCapFloor::atmRate(const YieldTermStructure& discountCurve) const {
return CashFlows::atmRate(yoyLeg_, discountCurve,
false, discountCurve.referenceDate());
}
}
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