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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Allen Kuo
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/experimental/callablebonds/callablebond.hpp>
#include <ql/experimental/callablebonds/blackcallablebondengine.hpp>
#include <ql/cashflows/cashflowvectors.hpp>
#include <ql/math/solvers1d/brent.hpp>
namespace QuantLib {
CallableBond::CallableBond(Natural settlementDays,
const Schedule& schedule,
const DayCounter& paymentDayCounter,
const Date& issueDate,
const CallabilitySchedule& putCallSchedule)
: Bond(settlementDays, schedule.calendar(), issueDate),
paymentDayCounter_(paymentDayCounter), putCallSchedule_(putCallSchedule) {
maturityDate_ = schedule.dates().back();
if (!putCallSchedule_.empty()) {
Date finalOptionDate = Date::minDate();
for (Size i=0; i<putCallSchedule_.size();++i) {
finalOptionDate=std::max(finalOptionDate,
putCallSchedule_[i]->date());
}
QL_REQUIRE(finalOptionDate <= maturityDate_ ,
"Bond cannot mature before last call/put date");
}
// derived classes must set cashflows_ and frequency_
}
void CallableBond::arguments::validate() const {
QL_REQUIRE(Bond::arguments::settlementDate != Date(),
"null settlement date");
QL_REQUIRE(redemption != Null<Real>(), "null redemption");
QL_REQUIRE(redemption >= 0.0,
"positive redemption required: "
<< redemption << " not allowed");
QL_REQUIRE(callabilityDates.size() == callabilityPrices.size(),
"different number of callability dates and prices");
QL_REQUIRE(couponDates.size() == couponAmounts.size(),
"different number of coupon dates and amounts");
}
CallableBond::ImpliedVolHelper::ImpliedVolHelper(
const CallableBond& bond,
Real targetValue)
: targetValue_(targetValue) {
vol_ = boost::shared_ptr<SimpleQuote>(new SimpleQuote(0.0));
bond.blackVolQuote_.linkTo(vol_);
QL_REQUIRE(bond.blackEngine_,
"Must set blackEngine_ to use impliedVolatility");
engine_ = bond.blackEngine_;
bond.setupArguments(engine_->getArguments());
results_ =
dynamic_cast<const Instrument::results*>(engine_->getResults());
}
Real CallableBond::ImpliedVolHelper::operator()(Volatility x) const {
vol_->setValue(x);
engine_->calculate(); // get the Black NPV based on vol x
return results_->value-targetValue_;
}
Volatility CallableBond::impliedVolatility(
Real targetValue,
const Handle<YieldTermStructure>& discountCurve,
Real accuracy,
Size maxEvaluations,
Volatility minVol,
Volatility maxVol) const {
calculate();
QL_REQUIRE(!isExpired(), "instrument expired");
Volatility guess = 0.5*(minVol + maxVol);
blackDiscountCurve_.linkTo(*discountCurve, false);
ImpliedVolHelper f(*this,targetValue);
Brent solver;
solver.setMaxEvaluations(maxEvaluations);
return solver.solve(f, accuracy, guess, minVol, maxVol);
}
CallableFixedRateBond::CallableFixedRateBond(
Natural settlementDays,
Real faceAmount,
const Schedule& schedule,
const std::vector<Rate>& coupons,
const DayCounter& accrualDayCounter,
BusinessDayConvention paymentConvention,
Real redemption,
const Date& issueDate,
const CallabilitySchedule& putCallSchedule)
: CallableBond(settlementDays, schedule, accrualDayCounter,
issueDate, putCallSchedule) {
frequency_ = schedule.tenor().frequency();
bool isZeroCouponBond = (coupons.size() == 1 && close(coupons[0], 0.0));
if (!isZeroCouponBond) {
cashflows_ =
FixedRateLeg(schedule)
.withNotionals(faceAmount)
.withCouponRates(coupons, accrualDayCounter)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(std::vector<Real>(1, redemption));
} else {
Date redemptionDate = calendar_.adjust(maturityDate_,
paymentConvention);
setSingleRedemption(faceAmount, redemption, redemptionDate);
}
// used for impliedVolatility() calculation
boost::shared_ptr<SimpleQuote> dummyVolQuote(new SimpleQuote(0.));
blackVolQuote_.linkTo(dummyVolQuote);
blackEngine_ = boost::shared_ptr<PricingEngine>(
new BlackCallableFixedRateBondEngine(blackVolQuote_,
blackDiscountCurve_));
}
Real CallableFixedRateBond::accrued(Date settlement) const {
if (settlement == Date()) settlement = settlementDate();
const bool IncludeToday = false;
for (Size i = 0; i<cashflows_.size(); ++i) {
// the first coupon paying after d is the one we're after
if (!cashflows_[i]->hasOccurred(settlement,IncludeToday)) {
boost::shared_ptr<Coupon> coupon =
boost::dynamic_pointer_cast<Coupon>(cashflows_[i]);
if (coupon)
// !!!
return coupon->accruedAmount(settlement) /
notional(settlement) * 100.0;
else
return 0.0;
}
}
return 0.0;
}
void CallableFixedRateBond::setupArguments(
PricingEngine::arguments* args) const {
Bond::setupArguments(args);
CallableBond::arguments* arguments =
dynamic_cast<CallableBond::arguments*>(args);
QL_REQUIRE(arguments != 0, "no arguments given");
Date settlement = arguments->settlementDate;
arguments->redemption = redemption()->amount();
arguments->redemptionDate = redemption()->date();
const Leg& cfs = cashflows();
arguments->couponDates.clear();
arguments->couponDates.reserve(cfs.size()-1);
arguments->couponAmounts.clear();
arguments->couponAmounts.reserve(cfs.size()-1);
for (Size i=0; i<cfs.size()-1; i++) {
if (!cfs[i]->hasOccurred(settlement, false)) {
arguments->couponDates.push_back(cfs[i]->date());
arguments->couponAmounts.push_back(cfs[i]->amount());
}
}
arguments->callabilityPrices.clear();
arguments->callabilityDates.clear();
arguments->callabilityPrices.reserve(putCallSchedule_.size());
arguments->callabilityDates.reserve(putCallSchedule_.size());
arguments->paymentDayCounter = paymentDayCounter_;
arguments->frequency = frequency_;
arguments->putCallSchedule = putCallSchedule_;
for (Size i=0; i<putCallSchedule_.size(); i++) {
if (!putCallSchedule_[i]->hasOccurred(settlement, false)) {
arguments->callabilityDates.push_back(
putCallSchedule_[i]->date());
arguments->callabilityPrices.push_back(
putCallSchedule_[i]->price().amount());
if (putCallSchedule_[i]->price().type()==
Callability::Price::Clean) {
/* calling accrued() forces accrued interest to be zero
if future option date is also coupon date, so that dirty
price = clean price. Use here because callability is
always applied before coupon in the tree engine.
*/
arguments->callabilityPrices.back() +=
this->accrued(putCallSchedule_[i]->date());
}
}
}
}
CallableZeroCouponBond::CallableZeroCouponBond(
Natural settlementDays,
Real faceAmount,
const Calendar& calendar,
const Date& maturityDate,
const DayCounter& dayCounter,
BusinessDayConvention paymentConvention,
Real redemption,
const Date& issueDate,
const CallabilitySchedule& putCallSchedule)
: CallableFixedRateBond(settlementDays,faceAmount,
Schedule(issueDate, maturityDate,
Period(Once),
calendar,
paymentConvention,
paymentConvention,
DateGeneration::Backward,
false),
std::vector<Rate>(1, 0.0), dayCounter,
paymentConvention, redemption,
issueDate, putCallSchedule) {}
}
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