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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2013 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/experimental/models/nonstandardswaption.hpp>
#include <ql/exercise.hpp>
namespace QuantLib {
NonstandardSwaption::NonstandardSwaption(const Swaption &fromSwaption)
: Option(boost::shared_ptr<Payoff>(),
const_cast<Swaption &>(fromSwaption).exercise()),
swap_(boost::shared_ptr<NonstandardSwap>(
new NonstandardSwap(*fromSwaption.underlyingSwap()))),
settlementType_(fromSwaption.settlementType()) {
registerWith(swap_);
}
NonstandardSwaption::NonstandardSwaption(
const boost::shared_ptr<NonstandardSwap> &swap,
const boost::shared_ptr<Exercise> &exercise, Settlement::Type delivery)
: Option(boost::shared_ptr<Payoff>(), exercise), swap_(swap),
settlementType_(delivery) {
registerWith(swap_);
}
bool NonstandardSwaption::isExpired() const {
return detail::simple_event(exercise_->dates().back()).hasOccurred();
}
void
NonstandardSwaption::setupArguments(PricingEngine::arguments *args) const {
swap_->setupArguments(args);
NonstandardSwaption::arguments *arguments =
dynamic_cast<NonstandardSwaption::arguments *>(args);
QL_REQUIRE(arguments != 0, "argument types do not match");
arguments->swap = swap_;
arguments->exercise = exercise_;
arguments->settlementType = settlementType_;
}
void NonstandardSwaption::arguments::validate() const {
NonstandardSwap::arguments::validate();
QL_REQUIRE(swap, "underlying non standard swap not set");
QL_REQUIRE(exercise, "exercise not set");
}
Disposable<std::vector<boost::shared_ptr<CalibrationHelper> > >
NonstandardSwaption::calibrationBasket(
boost::shared_ptr<SwapIndex> standardSwapBase,
boost::shared_ptr<SwaptionVolatilityStructure> swaptionVolatility,
const BasketGeneratingEngine::CalibrationBasketType basketType) const {
calculate();
boost::shared_ptr<BasketGeneratingEngine> engine =
boost::dynamic_pointer_cast<BasketGeneratingEngine>(engine_);
QL_REQUIRE(engine, "engine is not a basket generating engine");
return engine->calibrationBasket(exercise_, standardSwapBase,
swaptionVolatility, basketType);
}
}
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