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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Roland Lichters
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/credit/riskyassetswapoption.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/event.hpp>
namespace QuantLib {
RiskyAssetSwapOption::RiskyAssetSwapOption(
bool payer,
const boost::shared_ptr<RiskyAssetSwap>& asw,
const Date& expiry,
Rate marketSpread,
Volatility spreadVolatility)
: payer_(payer), asw_(asw), expiry_(expiry),
marketSpread_(marketSpread),
spreadVolatility_(spreadVolatility) {}
bool RiskyAssetSwapOption::isExpired() const {
return detail::simple_event(expiry_).hasOccurred();
}
void RiskyAssetSwapOption::performCalculations() const {
Real w;
if (asw_->fixedPayer()) // strike receiver = asw call = spread put
w = -1.0;
else
w = 1.0;
Date today = Settings::instance().evaluationDate();
Time expiryTime = Actual365Fixed().yearFraction(today, expiry_);
Real stdDev = spreadVolatility_ * std::sqrt(expiryTime);
Real d = (asw_->spread() - marketSpread_) / stdDev;
Real A0 = asw_->nominal() * asw_->floatAnnuity();
NPV_ = A0 * stdDev * (w*d * CumulativeNormalDistribution()(w*d)
+ NormalDistribution()(d));
}
}
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