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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2007 Cristina Duminuco
Copyright (C) 2006, 2009 StatPro Italia srl
Copyright (C) 2007 Giorgio Facchinetti
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/cashflows/capflooredcoupon.hpp>
#include <ql/cashflows/couponpricer.hpp>
namespace QuantLib {
CappedFlooredCoupon::CappedFlooredCoupon(
const boost::shared_ptr<FloatingRateCoupon>& underlying,
Rate cap, Rate floor)
: FloatingRateCoupon(underlying->date(),
underlying->nominal(),
underlying->accrualStartDate(),
underlying->accrualEndDate(),
underlying->fixingDays(),
underlying->index(),
underlying->gearing(),
underlying->spread(),
underlying->referencePeriodStart(),
underlying->referencePeriodEnd(),
underlying->dayCounter(),
underlying->isInArrears()),
underlying_(underlying),
isCapped_(false), isFloored_(false) {
if (gearing_ > 0) {
if (cap != Null<Rate>()) {
isCapped_ = true;
cap_ = cap;
}
if (floor != Null<Rate>()) {
floor_ = floor;
isFloored_ = true;
}
} else {
if (cap != Null<Rate>()){
floor_ = cap;
isFloored_ = true;
}
if (floor != Null<Rate>()){
isCapped_ = true;
cap_ = floor;
}
}
if (isCapped_ && isFloored_) {
QL_REQUIRE(cap >= floor,
"cap level (" << cap <<
") less than floor level (" << floor << ")");
}
registerWith(underlying);
}
void CappedFlooredCoupon::setPricer(
const boost::shared_ptr<FloatingRateCouponPricer>& pricer) {
FloatingRateCoupon::setPricer(pricer);
underlying_->setPricer(pricer);
}
Rate CappedFlooredCoupon::rate() const {
QL_REQUIRE(underlying_->pricer(), "pricer not set");
Rate swapletRate = underlying_->rate();
Rate floorletRate = 0.;
if(isFloored_)
floorletRate = underlying_->pricer()->floorletRate(effectiveFloor());
Rate capletRate = 0.;
if(isCapped_)
capletRate = underlying_->pricer()->capletRate(effectiveCap());
return swapletRate + floorletRate - capletRate;
}
Rate CappedFlooredCoupon::convexityAdjustment() const {
return underlying_->convexityAdjustment();
}
Rate CappedFlooredCoupon::cap() const {
if ( (gearing_ > 0) && isCapped_)
return cap_;
if ( (gearing_ < 0) && isFloored_)
return floor_;
return Null<Rate>();
}
Rate CappedFlooredCoupon::floor() const {
if ( (gearing_ > 0) && isFloored_)
return floor_;
if ( (gearing_ < 0) && isCapped_)
return cap_;
return Null<Rate>();
}
Rate CappedFlooredCoupon::effectiveCap() const {
if (isCapped_)
return (cap_ - spread())/gearing();
else
return Null<Rate>();
}
Rate CappedFlooredCoupon::effectiveFloor() const {
if (isFloored_)
return (floor_ - spread())/gearing();
else
return Null<Rate>();
}
void CappedFlooredCoupon::update() {
notifyObservers();
}
void CappedFlooredCoupon::accept(AcyclicVisitor& v) {
typedef FloatingRateCoupon super;
Visitor<CappedFlooredCoupon>* v1 =
dynamic_cast<Visitor<CappedFlooredCoupon>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
super::accept(v);
}
}
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