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
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2006 Cristina Duminuco
Copyright (C) 2006 Marco Bianchetti
Copyright (C) 2007 StatPro Italia srl
Copyright (C) 2014 Ferdinando Ametrano
Copyright (C) 2016, 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/swaption.hpp>
#include <ql/pricingengines/swaption/blackswaptionengine.hpp>
#include <ql/math/solvers1d/newtonsafe.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/exercise.hpp>
#include <ql/shared_ptr.hpp>
namespace QuantLib {
namespace {
class ImpliedSwaptionVolHelper {
public:
ImpliedSwaptionVolHelper(const Swaption&,
const Handle<YieldTermStructure>& discountCurve,
Real targetValue,
Real displacement,
VolatilityType type);
Real operator()(Volatility x) const;
Real derivative(Volatility x) const;
private:
ext::shared_ptr<PricingEngine> engine_;
Handle<YieldTermStructure> discountCurve_;
Real targetValue_;
ext::shared_ptr<SimpleQuote> vol_;
const Instrument::results* results_;
};
ImpliedSwaptionVolHelper::ImpliedSwaptionVolHelper(
const Swaption& swaption,
const Handle<YieldTermStructure>& discountCurve,
Real targetValue,
Real displacement,
VolatilityType type)
: discountCurve_(discountCurve), targetValue_(targetValue),
vol_(ext::make_shared<SimpleQuote>(-1.0)) {
// vol_ is set an implausible value, so that calculation is forced
// at first ImpliedSwaptionVolHelper::operator()(Volatility x) call
Handle<Quote> h(vol_);
switch (type) {
case ShiftedLognormal:
engine_ = ext::make_shared<BlackSwaptionEngine>(
discountCurve_, h, Actual365Fixed(), displacement);
break;
case Normal:
engine_ = ext::make_shared<BachelierSwaptionEngine>(
discountCurve_, h, Actual365Fixed());
break;
default:
QL_FAIL("unknown VolatilityType (" << type << ")");
break;
}
swaption.setupArguments(engine_->getArguments());
results_ = dynamic_cast<const Instrument::results *>(
engine_->getResults());
}
Real ImpliedSwaptionVolHelper::operator()(Volatility x) const {
if (x!=vol_->value()) {
vol_->setValue(x);
engine_->calculate();
}
return results_->value-targetValue_;
}
Real ImpliedSwaptionVolHelper::derivative(Volatility x) const {
if (x!=vol_->value()) {
vol_->setValue(x);
engine_->calculate();
}
std::map<std::string,boost::any>::const_iterator vega_ =
results_->additionalResults.find("vega");
QL_REQUIRE(vega_ != results_->additionalResults.end(),
"vega not provided");
return boost::any_cast<Real>(vega_->second);
}
}
std::ostream& operator<<(std::ostream& out,
Settlement::Type t) {
switch (t) {
case Settlement::Physical:
return out << "Delivery";
case Settlement::Cash:
return out << "Cash";
default:
QL_FAIL("unknown Settlement::Type(" << Integer(t) << ")");
}
}
std::ostream& operator<<(std::ostream& out, Settlement::Method m) {
switch (m) {
case Settlement::PhysicalOTC:
return out << "PhysicalOTC";
case Settlement::PhysicalCleared:
return out << "PhysicalCleared";
case Settlement::CollateralizedCashPrice:
return out << "CollateralizedCashPrice";
case Settlement::ParYieldCurve:
return out << "ParYieldCurve";
default:
QL_FAIL("unknown Settlement::Method(" << Integer(m) << ")");
}
}
Swaption::Swaption(const ext::shared_ptr<VanillaSwap>& 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 Swaption::isExpired() const {
return detail::simple_event(exercise_->dates().back()).hasOccurred();
}
void Swaption::setupArguments(PricingEngine::arguments* args) const {
swap_->setupArguments(args);
Swaption::arguments* arguments =
dynamic_cast<Swaption::arguments*>(args);
QL_REQUIRE(arguments != 0, "wrong argument type");
arguments->swap = swap_;
arguments->settlementType = settlementType_;
arguments->settlementMethod = settlementMethod_;
arguments->exercise = exercise_;
}
void Swaption::arguments::validate() const {
VanillaSwap::arguments::validate();
QL_REQUIRE(swap, "vanilla swap not set");
QL_REQUIRE(exercise, "exercise not set");
Settlement::checkTypeAndMethodConsistency(settlementType,
settlementMethod);
}
Volatility Swaption::impliedVolatility(Real targetValue,
const Handle<YieldTermStructure>& d,
Volatility guess,
Real accuracy,
Natural maxEvaluations,
Volatility minVol,
Volatility maxVol,
VolatilityType type,
Real displacement) const {
//calculate();
QL_REQUIRE(!isExpired(), "instrument expired");
ImpliedSwaptionVolHelper f(*this, d, targetValue, displacement, type);
//Brent solver;
NewtonSafe solver;
solver.setMaxEvaluations(maxEvaluations);
return solver.solve(f, accuracy, guess, minVol, maxVol);
}
void Settlement::checkTypeAndMethodConsistency(
Settlement::Type settlementType,
Settlement::Method settlementMethod) {
if (settlementType == Physical) {
QL_REQUIRE(settlementMethod == PhysicalOTC ||
settlementMethod == PhysicalCleared,
"invalid settlement method for physical settlement");
}
if (settlementType == Cash) {
QL_REQUIRE(settlementMethod == CollateralizedCashPrice ||
settlementMethod == ParYieldCurve,
"invalid settlement method for cash settlement");
}
}
}
|
