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
77
78
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Giorgio Facchinetti
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/quotes/futuresconvadjustmentquote.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
#include <ql/time/imm.hpp>
namespace QuantLib {
FuturesConvAdjustmentQuote::FuturesConvAdjustmentQuote(
const boost::shared_ptr<IborIndex>& index,
const Date& futuresDate,
const Handle<Quote>& futuresQuote,
const Handle<Quote>& volatility,
const Handle<Quote>& meanReversion)
: dc_(index->dayCounter()),
futuresDate_(futuresDate),
indexMaturityDate_(index->maturityDate(futuresDate_)),
futuresQuote_(futuresQuote),
volatility_(volatility), meanReversion_(meanReversion) {
registerWith(futuresQuote_);
registerWith(volatility_);
registerWith(meanReversion_);
}
FuturesConvAdjustmentQuote::FuturesConvAdjustmentQuote(
const boost::shared_ptr<IborIndex>& index,
const std::string& immCode,
const Handle<Quote>& futuresQuote,
const Handle<Quote>& volatility,
const Handle<Quote>& meanReversion)
: dc_(index->dayCounter()),
futuresDate_(IMM::date(immCode)),
indexMaturityDate_(index->maturityDate(futuresDate_)),
futuresQuote_(futuresQuote),
volatility_(volatility), meanReversion_(meanReversion) {
registerWith(futuresQuote_);
registerWith(volatility_);
registerWith(meanReversion_);
}
Real FuturesConvAdjustmentQuote::value() const {
Date settlementDate = Settings::instance().evaluationDate();
Time startTime = dc_.yearFraction(settlementDate, futuresDate_);
Time indexMaturity = dc_.yearFraction(settlementDate,
indexMaturityDate_);
return HullWhite::convexityBias(futuresQuote_->value(),
startTime,
indexMaturity,
volatility_->value(),
meanReversion_->value());
}
bool FuturesConvAdjustmentQuote::isValid() const {
return !futuresQuote_.empty() && !volatility_.empty() &&
!meanReversion_.empty() && futuresQuote_->isValid() &&
volatility_->isValid() && meanReversion_->isValid();
}
}
|
