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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Giorgio Facchinetti
Copyright (C) 2007 Cristina Duminuco
Copyright (C) 2011 Ferdinando Ametrano
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/couponpricer.hpp>
#include <ql/cashflows/capflooredcoupon.hpp>
#include <ql/cashflows/digitalcoupon.hpp>
#include <ql/cashflows/digitalcmscoupon.hpp>
#include <ql/cashflows/digitaliborcoupon.hpp>
#include <ql/cashflows/rangeaccrual.hpp>
#include <ql/experimental/coupons/subperiodcoupons.hpp> /* internal */
#include <ql/pricingengines/blackformula.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
using boost::dynamic_pointer_cast;
namespace QuantLib {
//===========================================================================//
// BlackIborCouponPricer //
//===========================================================================//
void BlackIborCouponPricer::initialize(const FloatingRateCoupon& coupon) {
gearing_ = coupon.gearing();
spread_ = coupon.spread();
accrualPeriod_ = coupon.accrualPeriod();
QL_REQUIRE(accrualPeriod_ != 0.0, "null accrual period");
index_ = dynamic_pointer_cast<IborIndex>(coupon.index());
if (!index_) {
// check if the coupon was right
const IborCoupon* c = dynamic_cast<const IborCoupon*>(&coupon);
QL_REQUIRE(c, "IborCoupon required");
// coupon was right, index is not
QL_FAIL("IborIndex required");
}
Handle<YieldTermStructure> rateCurve =
index_->forwardingTermStructure();
Date paymentDate = coupon.date();
if (paymentDate > rateCurve->referenceDate())
discount_ = rateCurve->discount(paymentDate);
else
discount_ = 1.0;
spreadLegValue_ = spread_ * accrualPeriod_ * discount_;
coupon_ = &coupon;
}
Real BlackIborCouponPricer::optionletPrice(Option::Type optionType,
Real effStrike) const {
Date fixingDate = coupon_->fixingDate();
if (fixingDate <= Settings::instance().evaluationDate()) {
// the amount is determined
Real a, b;
if (optionType==Option::Call) {
a = coupon_->indexFixing();
b = effStrike;
} else {
a = effStrike;
b = coupon_->indexFixing();
}
return std::max(a - b, 0.0)* accrualPeriod_*discount_;
} else {
// not yet determined, use Black model
QL_REQUIRE(!capletVolatility().empty(),
"missing optionlet volatility");
Real stdDev =
std::sqrt(capletVolatility()->blackVariance(fixingDate,
effStrike));
Rate fixing = blackFormula(optionType,
effStrike,
adjustedFixing(),
stdDev);
return fixing * accrualPeriod_ * discount_;
}
}
Rate BlackIborCouponPricer::adjustedFixing(Rate fixing) const {
if (fixing == Null<Rate>())
fixing = coupon_->indexFixing();
if (!coupon_->isInArrears())
return fixing;
QL_REQUIRE(!capletVolatility().empty(),
"missing optionlet volatility");
Date d1 = coupon_->fixingDate();
Date referenceDate = capletVolatility()->referenceDate();
if (d1 <= referenceDate)
return fixing;
// see Hull, 4th ed., page 550
Date d2 = index_->valueDate(d1);
Date d3 = index_->maturityDate(d2);
Time tau = index_->dayCounter().yearFraction(d2, d3);
Real variance = capletVolatility()->blackVariance(d1, fixing);
Spread adjustement = fixing*fixing*variance*tau/(1.0+fixing*tau);
return fixing + adjustement;
}
//===========================================================================//
// CouponSelectorToSetPricer //
//===========================================================================//
namespace {
class PricerSetter : public AcyclicVisitor,
public Visitor<CashFlow>,
public Visitor<Coupon>,
public Visitor<IborCoupon>,
public Visitor<CmsCoupon>,
public Visitor<CappedFlooredIborCoupon>,
public Visitor<CappedFlooredCmsCoupon>,
public Visitor<DigitalIborCoupon>,
public Visitor<DigitalCmsCoupon>,
public Visitor<RangeAccrualFloatersCoupon>,
public Visitor<SubPeriodsCoupon> {
private:
const boost::shared_ptr<FloatingRateCouponPricer> pricer_;
public:
PricerSetter(
const boost::shared_ptr<FloatingRateCouponPricer>& pricer)
: pricer_(pricer) {}
void visit(CashFlow& c);
void visit(Coupon& c);
void visit(IborCoupon& c);
void visit(CappedFlooredIborCoupon& c);
void visit(DigitalIborCoupon& c);
void visit(CmsCoupon& c);
void visit(CappedFlooredCmsCoupon& c);
void visit(DigitalCmsCoupon& c);
void visit(RangeAccrualFloatersCoupon& c);
void visit(SubPeriodsCoupon& c);
};
void PricerSetter::visit(CashFlow&) {
// nothing to do
}
void PricerSetter::visit(Coupon&) {
// nothing to do
}
void PricerSetter::visit(IborCoupon& c) {
const boost::shared_ptr<IborCouponPricer> iborCouponPricer =
boost::dynamic_pointer_cast<IborCouponPricer>(pricer_);
QL_REQUIRE(iborCouponPricer,
"pricer not compatible with Ibor coupon");
c.setPricer(iborCouponPricer);
}
void PricerSetter::visit(DigitalIborCoupon& c) {
const boost::shared_ptr<IborCouponPricer> iborCouponPricer =
boost::dynamic_pointer_cast<IborCouponPricer>(pricer_);
QL_REQUIRE(iborCouponPricer,
"pricer not compatible with Ibor coupon");
c.setPricer(iborCouponPricer);
}
void PricerSetter::visit(CappedFlooredIborCoupon& c) {
const boost::shared_ptr<IborCouponPricer> iborCouponPricer =
boost::dynamic_pointer_cast<IborCouponPricer>(pricer_);
QL_REQUIRE(iborCouponPricer,
"pricer not compatible with Ibor coupon");
c.setPricer(iborCouponPricer);
}
void PricerSetter::visit(CmsCoupon& c) {
const boost::shared_ptr<CmsCouponPricer> cmsCouponPricer =
boost::dynamic_pointer_cast<CmsCouponPricer>(pricer_);
QL_REQUIRE(cmsCouponPricer,
"pricer not compatible with CMS coupon");
c.setPricer(cmsCouponPricer);
}
void PricerSetter::visit(CappedFlooredCmsCoupon& c) {
const boost::shared_ptr<CmsCouponPricer> cmsCouponPricer =
boost::dynamic_pointer_cast<CmsCouponPricer>(pricer_);
QL_REQUIRE(cmsCouponPricer,
"pricer not compatible with CMS coupon");
c.setPricer(cmsCouponPricer);
}
void PricerSetter::visit(DigitalCmsCoupon& c) {
const boost::shared_ptr<CmsCouponPricer> cmsCouponPricer =
boost::dynamic_pointer_cast<CmsCouponPricer>(pricer_);
QL_REQUIRE(cmsCouponPricer,
"pricer not compatible with CMS coupon");
c.setPricer(cmsCouponPricer);
}
void PricerSetter::visit(RangeAccrualFloatersCoupon& c) {
const boost::shared_ptr<RangeAccrualPricer> rangeAccrualPricer =
boost::dynamic_pointer_cast<RangeAccrualPricer>(pricer_);
QL_REQUIRE(rangeAccrualPricer,
"pricer not compatible with range-accrual coupon");
c.setPricer(rangeAccrualPricer);
}
void PricerSetter::visit(SubPeriodsCoupon& c) {
const boost::shared_ptr<SubPeriodsPricer> subPeriodsPricer =
boost::dynamic_pointer_cast<SubPeriodsPricer>(pricer_);
QL_REQUIRE(subPeriodsPricer,
"pricer not compatible with sub-period coupon");
c.setPricer(subPeriodsPricer);
}
}
void setCouponPricer(
const Leg& leg,
const boost::shared_ptr<FloatingRateCouponPricer>& pricer) {
PricerSetter setter(pricer);
for (Size i=0; i<leg.size(); ++i) {
leg[i]->accept(setter);
}
}
void setCouponPricers(
const Leg& leg,
const std::vector<boost::shared_ptr<FloatingRateCouponPricer> >&
pricers) {
Size nCashFlows = leg.size();
QL_REQUIRE(nCashFlows>0, "no cashflows");
Size nPricers = pricers.size();
QL_REQUIRE(nCashFlows >= nPricers,
"mismatch between leg size (" << nCashFlows <<
") and number of pricers (" << nPricers << ")");
for (Size i=0; i<nCashFlows; ++i) {
PricerSetter setter(i<nPricers ? pricers[i] : pricers[nPricers-1]);
leg[i]->accept(setter);
}
}
}
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