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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2006 Cristina Duminuco
Copyright (C) 2006 Marco Bianchetti
Copyright (C) 2007 StatPro Italia srl
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.
*/
/*! \file swaption.hpp
\brief Swaption class
*/
#ifndef quantlib_instruments_swaption_hpp
#define quantlib_instruments_swaption_hpp
#include <ql/option.hpp>
#include <ql/instruments/vanillaswap.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
//! %settlement information
struct Settlement {
enum Type { Physical, Cash };
};
std::ostream& operator<<(std::ostream& out,
Settlement::Type type);
//! %Swaption class
/*! \ingroup instruments
\test
- the correctness of the returned value is tested by checking
that the price of a payer (resp. receiver) swaption
decreases (resp. increases) with the strike.
- the correctness of the returned value is tested by checking
that the price of a payer (resp. receiver) swaption
increases (resp. decreases) with the spread.
- the correctness of the returned value is tested by checking
it against that of a swaption on a swap with no spread and a
correspondingly adjusted fixed rate.
- the correctness of the returned value is tested by checking
it against a known good value.
- the correctness of the returned value of cash settled swaptions
is tested by checking the modified annuity against a value
calculated without using the Swaption class.
\todo add greeks and explicit exercise lag
*/
class Swaption : public Option {
public:
class arguments;
class engine;
Swaption(const boost::shared_ptr<VanillaSwap>& swap,
const boost::shared_ptr<Exercise>& exercise,
Settlement::Type delivery = Settlement::Physical);
//! \name Instrument interface
//@{
bool isExpired() const;
void setupArguments(PricingEngine::arguments*) const;
//@}
//! \name Inspectors
//@{
Settlement::Type settlementType() const { return settlementType_; }
VanillaSwap::Type type() const { return swap_->type(); }
const boost::shared_ptr<VanillaSwap>& underlyingSwap() const {
return swap_;
}
//@}
//! implied volatility
Volatility impliedVolatility(
Real price,
const Handle<YieldTermStructure>& discountCurve,
Volatility guess,
Real accuracy = 1.0e-4,
Natural maxEvaluations = 100,
Volatility minVol = 1.0e-7,
Volatility maxVol = 4.0) const;
private:
// arguments
boost::shared_ptr<VanillaSwap> swap_;
//Handle<YieldTermStructure> termStructure_;
Settlement::Type settlementType_;
};
//! %Arguments for swaption calculation
class Swaption::arguments : public VanillaSwap::arguments,
public Option::arguments {
public:
arguments() : settlementType(Settlement::Physical) {}
boost::shared_ptr<VanillaSwap> swap;
Settlement::Type settlementType;
void validate() const;
};
//! base class for swaption engines
class Swaption::engine
: public GenericEngine<Swaption::arguments, Swaption::results> {};
}
#endif
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