1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Klaus Spanderen
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/legacy/libormarketmodels/lfmswaptionengine.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/pricingengines/blackformula.hpp>
namespace QuantLib {
LfmSwaptionEngine::LfmSwaptionEngine(
const boost::shared_ptr<LiborForwardModel>& model,
const Handle<YieldTermStructure>& discountCurve)
: GenericModelEngine<LiborForwardModel,
Swaption::arguments,
Swaption::results>(model),
discountCurve_(discountCurve) {
registerWith(discountCurve_);
}
void LfmSwaptionEngine::calculate() const {
QL_REQUIRE(arguments_.settlementType == Settlement::Physical,
"cash-settled swaptions not priced with Lfm engine");
static const Spread basisPoint = 1.0e-4;
VanillaSwap swap = *arguments_.swap;
swap.setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(discountCurve_, false)));
Spread correction = swap.spread() *
std::fabs(swap.floatingLegBPS()/swap.fixedLegBPS());
Rate fixedRate = swap.fixedRate() - correction;
Rate fairRate = swap.fairRate() - correction;
boost::shared_ptr<SwaptionVolatilityMatrix> volatility =
model_->getSwaptionVolatilityMatrix();
Date referenceDate = volatility->referenceDate();
DayCounter dayCounter = volatility->dayCounter();
Time exercise = dayCounter.yearFraction(referenceDate,
arguments_.exercise->date(0));
Time swapLength =
dayCounter.yearFraction(referenceDate,
arguments_.fixedPayDates.back())
- dayCounter.yearFraction(referenceDate,
arguments_.fixedResetDates[0]);
Option::Type w = arguments_.type==VanillaSwap::Payer ?
Option::Call : Option::Put;
Volatility vol = volatility->volatility(exercise, swapLength,
fairRate, true);
results_.value = (swap.fixedLegBPS()/basisPoint) *
blackFormula(w, fixedRate, fairRate, vol*std::sqrt(exercise));
}
}
|
