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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) 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.
*/
#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp>
#include <ql/pricingengines/swaption/blackswaptionengine.hpp>
#include <ql/pricingengines/swaption/discretizedswaption.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/time/schedule.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/indexes/iborindex.hpp>
namespace QuantLib {
SwaptionHelper::SwaptionHelper(const Period& maturity,
const Period& length,
const Handle<Quote>& volatility,
const boost::shared_ptr<IborIndex>& index,
const Period& fixedLegTenor,
const DayCounter& fixedLegDayCounter,
const DayCounter& floatingLegDayCounter,
const Handle<YieldTermStructure>& termStructure,
CalibrationHelper::CalibrationErrorType errorType,
const Real strike, const Real nominal)
: CalibrationHelper(volatility,termStructure, errorType),
exerciseDate_(Null<Date>()), endDate_(Null<Date>()),
maturity_(maturity), length_(length), fixedLegTenor_(fixedLegTenor), index_(index),
fixedLegDayCounter_(fixedLegDayCounter), floatingLegDayCounter_(floatingLegDayCounter),
strike_(strike), nominal_(nominal)
{
registerWith(index_);
}
SwaptionHelper::SwaptionHelper(
const Date& exerciseDate,
const Period& length,
const Handle<Quote>& volatility,
const boost::shared_ptr<IborIndex>& index,
const Period& fixedLegTenor,
const DayCounter& fixedLegDayCounter,
const DayCounter& floatingLegDayCounter,
const Handle<YieldTermStructure>& termStructure,
CalibrationHelper::CalibrationErrorType errorType,
const Real strike, const Real nominal)
: CalibrationHelper(volatility,termStructure, errorType),
exerciseDate_(exerciseDate), endDate_(Null<Date>()),
maturity_(0*Days), length_(length), fixedLegTenor_(fixedLegTenor), index_(index),
fixedLegDayCounter_(fixedLegDayCounter), floatingLegDayCounter_(floatingLegDayCounter),
strike_(strike), nominal_(nominal) {
registerWith(index_);
}
SwaptionHelper::SwaptionHelper(
const Date& exerciseDate,
const Date& endDate,
const Handle<Quote>& volatility,
const boost::shared_ptr<IborIndex>& index,
const Period& fixedLegTenor,
const DayCounter& fixedLegDayCounter,
const DayCounter& floatingLegDayCounter,
const Handle<YieldTermStructure>& termStructure,
CalibrationHelper::CalibrationErrorType errorType,
const Real strike, const Real nominal)
: CalibrationHelper(volatility,termStructure, errorType),
exerciseDate_(exerciseDate), endDate_(endDate),
maturity_(0*Days), length_(0*Days), fixedLegTenor_(fixedLegTenor), index_(index),
fixedLegDayCounter_(fixedLegDayCounter), floatingLegDayCounter_(floatingLegDayCounter),
strike_(strike), nominal_(nominal) {
registerWith(index_);
}
void SwaptionHelper::addTimesTo(std::list<Time>& times) const {
calculate();
Swaption::arguments args;
swaption_->setupArguments(&args);
std::vector<Time> swaptionTimes =
DiscretizedSwaption(args,
termStructure_->referenceDate(),
termStructure_->dayCounter()).mandatoryTimes();
times.insert(times.end(),
swaptionTimes.begin(), swaptionTimes.end());
}
Real SwaptionHelper::modelValue() const {
calculate();
swaption_->setPricingEngine(engine_);
return swaption_->NPV();
}
Real SwaptionHelper::blackPrice(Volatility sigma) const {
calculate();
Handle<Quote> vol(boost::shared_ptr<Quote>(new SimpleQuote(sigma)));
boost::shared_ptr<PricingEngine> black(new
BlackSwaptionEngine(termStructure_, vol));
swaption_->setPricingEngine(black);
Real value = swaption_->NPV();
swaption_->setPricingEngine(engine_);
return value;
}
void SwaptionHelper::performCalculations() const {
Calendar calendar = index_->fixingCalendar();
Natural fixingDays = index_->fixingDays();
Date exerciseDate = exerciseDate_;
if (exerciseDate == Null<Date>())
exerciseDate = calendar.advance(termStructure_->referenceDate(),
maturity_,
index_->businessDayConvention());
Date startDate = calendar.advance(exerciseDate,
fixingDays, Days,
index_->businessDayConvention());
Date endDate = endDate_;
if (endDate == Null<Date>())
endDate = calendar.advance(startDate, length_,
index_->businessDayConvention());
Schedule fixedSchedule(startDate, endDate, fixedLegTenor_, calendar,
index_->businessDayConvention(),
index_->businessDayConvention(),
DateGeneration::Forward, false);
Schedule floatSchedule(startDate, endDate, index_->tenor(), calendar,
index_->businessDayConvention(),
index_->businessDayConvention(),
DateGeneration::Forward, false);
boost::shared_ptr<PricingEngine> swapEngine(
new DiscountingSwapEngine(termStructure_, false));
VanillaSwap::Type type = VanillaSwap::Receiver;
VanillaSwap temp(VanillaSwap::Receiver, nominal_,
fixedSchedule, 0.0, fixedLegDayCounter_,
floatSchedule, index_, 0.0, floatingLegDayCounter_);
temp.setPricingEngine(swapEngine);
Real forward = temp.fairRate();
if(strike_ == Null<Real>()) {
exerciseRate_ = forward;
}
else {
exerciseRate_ = strike_;
type = strike_ <= forward ? VanillaSwap::Receiver : VanillaSwap::Payer;
// ensure that calibration instrument is out of the money
}
swap_ = boost::shared_ptr<VanillaSwap>(
new VanillaSwap(type, nominal_,
fixedSchedule, exerciseRate_, fixedLegDayCounter_,
floatSchedule, index_, 0.0, floatingLegDayCounter_));
swap_->setPricingEngine(swapEngine);
boost::shared_ptr<Exercise> exercise(new EuropeanExercise(exerciseDate));
swaption_ = boost::shared_ptr<Swaption>(new Swaption(swap_, exercise));
CalibrationHelper::performCalculations();
}
}
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