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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Giorgio Facchinetti
Copyright (C) 2007 Cristina Duminuco
Copyright (C) 2011 Ferdinando Ametrano
Copyright (C) 2015 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
<https://www.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/cashflows/capflooredcoupon.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/cashflows/digitalcmscoupon.hpp>
#include <ql/cashflows/digitalcoupon.hpp>
#include <ql/cashflows/digitaliborcoupon.hpp>
#include <ql/cashflows/rangeaccrual.hpp>
#include <ql/cashflows/multipleresetscoupon.hpp>
#include <ql/experimental/coupons/cmsspreadcoupon.hpp> /* internal */
#include <ql/experimental/coupons/digitalcmsspreadcoupon.hpp> /* internal */
#include <ql/pricingengines/blackformula.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/optional.hpp>
#include <utility>
namespace QuantLib {
//===========================================================================//
// IborCouponPricer //
//===========================================================================//
IborCouponPricer::IborCouponPricer(
Handle<OptionletVolatilityStructure> v,
ext::optional<bool> useIndexedCoupon)
: capletVol_(std::move(v)),
useIndexedCoupon_(useIndexedCoupon ?
*useIndexedCoupon :
!IborCoupon::Settings::instance().usingAtParCoupons()) {
registerWith(capletVol_);
}
void IborCouponPricer::initializeCachedData(const IborCoupon& coupon) const {
if(coupon.cachedDataIsInitialized_)
return;
coupon.fixingValueDate_ = coupon.iborIndex()->fixingCalendar().advance(
coupon.fixingDate_, coupon.iborIndex()->fixingDays(), Days);
coupon.fixingMaturityDate_ = coupon.iborIndex()->maturityDate(coupon.fixingValueDate_);
if (useIndexedCoupon_) {
coupon.fixingEndDate_ = coupon.fixingMaturityDate_;
} else {
if (coupon.isInArrears_)
coupon.fixingEndDate_ = coupon.fixingMaturityDate_;
else { // par coupon approximation
Date nextFixingDate = coupon.iborIndex()->fixingCalendar().advance(
coupon.accrualEndDate(), -static_cast<Integer>(coupon.fixingDays_), Days);
coupon.fixingEndDate_ = coupon.iborIndex()->fixingCalendar().advance(
nextFixingDate, coupon.iborIndex()->fixingDays(), Days);
// make sure the estimation period contains at least one day
coupon.fixingEndDate_ =
std::max(coupon.fixingEndDate_, coupon.fixingValueDate_ + 1);
}
}
coupon.spanningTime_ = coupon.iborIndex()->dayCounter().yearFraction(
coupon.fixingValueDate_, coupon.fixingEndDate_);
QL_REQUIRE(coupon.spanningTime_ > 0.0,
"\n cannot calculate forward rate between "
<< coupon.fixingValueDate_ << " and " << coupon.fixingEndDate_
<< ":\n non positive time (" << coupon.spanningTime_ << ") using "
<< coupon.iborIndex()->dayCounter().name() << " daycounter");
coupon.spanningTimeIndexMaturity_ = coupon.iborIndex()->dayCounter().yearFraction(
coupon.fixingValueDate_, coupon.fixingMaturityDate_);
coupon.cachedDataIsInitialized_ = true;
}
void IborCouponPricer::initialize(const FloatingRateCoupon& coupon) {
coupon_ = dynamic_cast<const IborCoupon *>(&coupon);
QL_REQUIRE(coupon_, "IborCouponPricer: expected IborCoupon");
initializeCachedData(*coupon_);
index_ = coupon_->iborIndex();
gearing_ = coupon_->gearing();
spread_ = coupon_->spread();
accrualPeriod_ = coupon_->accrualPeriod();
QL_REQUIRE(accrualPeriod_ != 0.0, "null accrual period");
fixingDate_ = coupon_->fixingDate_;
fixingValueDate_ = coupon_->fixingValueDate_;
fixingMaturityDate_ = coupon_->fixingMaturityDate_;
spanningTime_ = coupon_->spanningTime_;
spanningTimeIndexMaturity_ = coupon_->spanningTimeIndexMaturity_;
}
//===========================================================================//
// BlackIborCouponPricer //
//===========================================================================//
void BlackIborCouponPricer::initialize(const FloatingRateCoupon& coupon) {
IborCouponPricer::initialize(coupon);
const Handle<YieldTermStructure>& rateCurve = index_->forwardingTermStructure();
if (rateCurve.empty()) {
discount_ = Null<Real>(); // might not be needed, will be checked later
} else {
Date paymentDate = coupon_->date();
if (paymentDate > rateCurve->referenceDate())
discount_ = rateCurve->discount(paymentDate);
else
discount_ = 1.0;
}
}
Real BlackIborCouponPricer::optionletRate(Option::Type optionType, Real effStrike) const {
if (fixingDate_ <= Settings::instance().evaluationDate()) {
// the amount is determined
Real a, b;
if (optionType==Option::Call) {
a = coupon_->indexFixing();
b = effStrike;
} else {
a = effStrike;
b = coupon_->indexFixing();
}
return std::max(a - b, 0.0);
} else {
// not yet determined, use Black model
QL_REQUIRE(!capletVolatility().empty(),
"missing optionlet volatility");
Real stdDev =
std::sqrt(capletVolatility()->blackVariance(fixingDate_,
effStrike));
Real shift = capletVolatility()->displacement();
bool shiftedLn =
capletVolatility()->volatilityType() == ShiftedLognormal;
Rate fixing =
shiftedLn
? blackFormula(optionType, effStrike, adjustedFixing(),
stdDev, 1.0, shift)
: bachelierBlackFormula(optionType, effStrike,
adjustedFixing(), stdDev, 1.0);
return fixing;
}
}
Real BlackIborCouponPricer::optionletPrice(Option::Type optionType,
Real effStrike) const {
QL_REQUIRE(discount_ != Null<Rate>(), "no forecast curve provided");
return optionletRate(optionType, effStrike) * accrualPeriod_ * discount_;
}
Rate BlackIborCouponPricer::adjustedFixing(Rate fixing) const {
if (fixing == Null<Rate>())
fixing = coupon_->indexFixing();
// if the pay date is equal to the index estimation end date
// there is no convexity; in all other cases in principle an
// adjustment has to be applied, but the Black76 method only
// applies the standard in arrears adjustment; the bivariate
// lognormal method is more accurate in this regard.
if ((!coupon_->isInArrears() && timingAdjustment_ == Black76))
return fixing;
const Date& d1 = fixingDate_;
const Date& d2 = fixingValueDate_;
const Date& d3 = fixingMaturityDate_;
if (coupon_->date() == d3)
return fixing;
QL_REQUIRE(!capletVolatility().empty(),
"missing optionlet volatility");
Date referenceDate = capletVolatility()->referenceDate();
// no variance has accumulated, so the convexity is zero
if (d1 <= referenceDate)
return fixing;
const Time& tau = spanningTimeIndexMaturity_;
Real variance = capletVolatility()->blackVariance(d1, fixing);
Real shift = capletVolatility()->displacement();
bool shiftedLn =
capletVolatility()->volatilityType() == ShiftedLognormal;
Spread adjustment = shiftedLn
? Real((fixing + shift) * (fixing + shift) *
variance * tau / (1.0 + fixing * tau))
: Real(variance * tau / (1.0 + fixing * tau));
if (timingAdjustment_ == BivariateLognormal) {
QL_REQUIRE(!correlation_.empty(), "no correlation given");
const Date& d4 = coupon_->date();
const Date& d5 = d4 >= d3 ? d3 : d2;
Time tau2 = index_->dayCounter().yearFraction(d5, d4);
if (d4 >= d3)
adjustment = 0.0;
// if d4 < d2 (payment before index start) we just apply the
// Black76 in arrears adjustment
if (tau2 > 0.0) {
Real fixing2 =
(index_->forwardingTermStructure()->discount(d5) /
index_->forwardingTermStructure()->discount(d4) -
1.0) /
tau2;
adjustment -= shiftedLn
? Real(correlation_->value() * tau2 * variance *
(fixing + shift) * (fixing2 + shift) /
(1.0 + fixing2 * tau2))
: Real(correlation_->value() * tau2 * variance /
(1.0 + fixing2 * tau2));
}
}
return fixing + adjustment;
}
//===========================================================================//
// CouponSelectorToSetPricer //
//===========================================================================//
namespace {
class PricerSetter : public AcyclicVisitor,
public Visitor<CashFlow>,
public Visitor<Coupon>,
public Visitor<FloatingRateCoupon>,
public Visitor<CappedFlooredCoupon>,
public Visitor<IborCoupon>,
public Visitor<CmsCoupon>,
public Visitor<CmsSpreadCoupon>,
public Visitor<CappedFlooredIborCoupon>,
public Visitor<CappedFlooredCmsCoupon>,
public Visitor<CappedFlooredCmsSpreadCoupon>,
public Visitor<DigitalIborCoupon>,
public Visitor<DigitalCmsCoupon>,
public Visitor<DigitalCmsSpreadCoupon>,
public Visitor<RangeAccrualFloatersCoupon>,
public Visitor<MultipleResetsCoupon> {
private:
ext::shared_ptr<FloatingRateCouponPricer> pricer_;
public:
explicit PricerSetter(ext::shared_ptr<FloatingRateCouponPricer> pricer)
: pricer_(std::move(pricer)) {}
void visit(CashFlow& c) override;
void visit(Coupon& c) override;
void visit(FloatingRateCoupon& c) override;
void visit(CappedFlooredCoupon& c) override;
void visit(IborCoupon& c) override;
void visit(CappedFlooredIborCoupon& c) override;
void visit(DigitalIborCoupon& c) override;
void visit(CmsCoupon& c) override;
void visit(CmsSpreadCoupon& c) override;
void visit(CappedFlooredCmsCoupon& c) override;
void visit(CappedFlooredCmsSpreadCoupon& c) override;
void visit(DigitalCmsCoupon& c) override;
void visit(DigitalCmsSpreadCoupon& c) override;
void visit(RangeAccrualFloatersCoupon& c) override;
void visit(MultipleResetsCoupon& c) override;
};
void PricerSetter::visit(CashFlow&) {
// nothing to do
}
void PricerSetter::visit(Coupon&) {
// nothing to do
}
void PricerSetter::visit(FloatingRateCoupon& c) {
c.setPricer(pricer_);
}
void PricerSetter::visit(CappedFlooredCoupon& c) {
// we might end up here because a CappedFlooredCoupon
// was directly constructed; we should then check
// the underlying for consistency with the pricer
if (ext::dynamic_pointer_cast<IborCoupon>(c.underlying()) != nullptr) {
QL_REQUIRE(ext::dynamic_pointer_cast<IborCouponPricer>(pricer_),
"pricer not compatible with Ibor Coupon");
} else if (ext::dynamic_pointer_cast<CmsCoupon>(c.underlying()) != nullptr) {
QL_REQUIRE(ext::dynamic_pointer_cast<CmsCouponPricer>(pricer_),
"pricer not compatible with CMS Coupon");
} else if (ext::dynamic_pointer_cast<CmsSpreadCoupon>(c.underlying()) != nullptr) {
QL_REQUIRE(ext::dynamic_pointer_cast<CmsSpreadCouponPricer>(pricer_),
"pricer not compatible with CMS spread Coupon");
}
c.setPricer(pricer_);
}
void PricerSetter::visit(IborCoupon& c) {
const ext::shared_ptr<IborCouponPricer> iborCouponPricer =
ext::dynamic_pointer_cast<IborCouponPricer>(pricer_);
QL_REQUIRE(iborCouponPricer,
"pricer not compatible with Ibor coupon");
c.setPricer(iborCouponPricer);
}
void PricerSetter::visit(DigitalIborCoupon& c) {
const ext::shared_ptr<IborCouponPricer> iborCouponPricer =
ext::dynamic_pointer_cast<IborCouponPricer>(pricer_);
QL_REQUIRE(iborCouponPricer,
"pricer not compatible with Ibor coupon");
c.setPricer(iborCouponPricer);
}
void PricerSetter::visit(CappedFlooredIborCoupon& c) {
const ext::shared_ptr<IborCouponPricer> iborCouponPricer =
ext::dynamic_pointer_cast<IborCouponPricer>(pricer_);
QL_REQUIRE(iborCouponPricer,
"pricer not compatible with Ibor coupon");
c.setPricer(iborCouponPricer);
}
void PricerSetter::visit(CmsCoupon& c) {
const ext::shared_ptr<CmsCouponPricer> cmsCouponPricer =
ext::dynamic_pointer_cast<CmsCouponPricer>(pricer_);
QL_REQUIRE(cmsCouponPricer,
"pricer not compatible with CMS coupon");
c.setPricer(cmsCouponPricer);
}
void PricerSetter::visit(CmsSpreadCoupon& c) {
const ext::shared_ptr<CmsSpreadCouponPricer> cmsSpreadCouponPricer =
ext::dynamic_pointer_cast<CmsSpreadCouponPricer>(pricer_);
QL_REQUIRE(cmsSpreadCouponPricer,
"pricer not compatible with CMS spread coupon");
c.setPricer(cmsSpreadCouponPricer);
}
void PricerSetter::visit(CappedFlooredCmsCoupon& c) {
const ext::shared_ptr<CmsCouponPricer> cmsCouponPricer =
ext::dynamic_pointer_cast<CmsCouponPricer>(pricer_);
QL_REQUIRE(cmsCouponPricer,
"pricer not compatible with CMS coupon");
c.setPricer(cmsCouponPricer);
}
void PricerSetter::visit(CappedFlooredCmsSpreadCoupon& c) {
const ext::shared_ptr<CmsSpreadCouponPricer> cmsSpreadCouponPricer =
ext::dynamic_pointer_cast<CmsSpreadCouponPricer>(pricer_);
QL_REQUIRE(cmsSpreadCouponPricer,
"pricer not compatible with CMS spread coupon");
c.setPricer(cmsSpreadCouponPricer);
}
void PricerSetter::visit(DigitalCmsCoupon& c) {
const ext::shared_ptr<CmsCouponPricer> cmsCouponPricer =
ext::dynamic_pointer_cast<CmsCouponPricer>(pricer_);
QL_REQUIRE(cmsCouponPricer,
"pricer not compatible with CMS coupon");
c.setPricer(cmsCouponPricer);
}
void PricerSetter::visit(DigitalCmsSpreadCoupon& c) {
const ext::shared_ptr<CmsSpreadCouponPricer> cmsSpreadCouponPricer =
ext::dynamic_pointer_cast<CmsSpreadCouponPricer>(pricer_);
QL_REQUIRE(cmsSpreadCouponPricer,
"pricer not compatible with CMS spread coupon");
c.setPricer(cmsSpreadCouponPricer);
}
void PricerSetter::visit(RangeAccrualFloatersCoupon& c) {
const ext::shared_ptr<RangeAccrualPricer> rangeAccrualPricer =
ext::dynamic_pointer_cast<RangeAccrualPricer>(pricer_);
QL_REQUIRE(rangeAccrualPricer,
"pricer not compatible with range-accrual coupon");
c.setPricer(rangeAccrualPricer);
}
void PricerSetter::visit(MultipleResetsCoupon& c) {
const ext::shared_ptr<MultipleResetsPricer> pricer =
ext::dynamic_pointer_cast<MultipleResetsPricer>(pricer_);
QL_REQUIRE(pricer, "pricer not compatible with multiple-resets coupon");
c.setPricer(pricer);
}
void setCouponPricersFirstMatching(const Leg& leg,
const std::vector<ext::shared_ptr<FloatingRateCouponPricer> >& p) {
std::vector<PricerSetter> setter;
setter.reserve(p.size());
for (const auto& i : p) {
setter.emplace_back(i);
}
for (const auto& i : leg) {
Size j = 0;
do {
try {
i->accept(setter[j]);
j = p.size();
} catch (...) {
++j;
}
} while (j < p.size());
}
}
} // anonymous namespace
void setCouponPricer(const Leg& leg, const ext::shared_ptr<FloatingRateCouponPricer>& pricer) {
PricerSetter setter(pricer);
for (const auto& i : leg) {
i->accept(setter);
}
}
void setCouponPricers(
const Leg& leg,
const std::vector<ext::shared_ptr<FloatingRateCouponPricer> >&
pricers) {
Size nCashFlows = leg.size();
QL_REQUIRE(nCashFlows>0, "no cashflows");
Size nPricers = pricers.size();
QL_REQUIRE(nCashFlows >= nPricers,
"mismatch between leg size (" << nCashFlows <<
") and number of pricers (" << nPricers << ")");
for (Size i=0; i<nCashFlows; ++i) {
PricerSetter setter(i<nPricers ? pricers[i] : pricers[nPricers-1]);
leg[i]->accept(setter);
}
}
void setCouponPricers(
const Leg& leg,
const ext::shared_ptr<FloatingRateCouponPricer>& p1,
const ext::shared_ptr<FloatingRateCouponPricer>& p2) {
std::vector<ext::shared_ptr<FloatingRateCouponPricer> > p;
p.push_back(p1);
p.push_back(p2);
setCouponPricersFirstMatching(leg, p);
}
void setCouponPricers(
const Leg& leg,
const ext::shared_ptr<FloatingRateCouponPricer>& p1,
const ext::shared_ptr<FloatingRateCouponPricer>& p2,
const ext::shared_ptr<FloatingRateCouponPricer>& p3) {
std::vector<ext::shared_ptr<FloatingRateCouponPricer> > p;
p.push_back(p1);
p.push_back(p2);
p.push_back(p3);
setCouponPricersFirstMatching(leg, p);
}
void setCouponPricers(
const Leg& leg,
const ext::shared_ptr<FloatingRateCouponPricer>& p1,
const ext::shared_ptr<FloatingRateCouponPricer>& p2,
const ext::shared_ptr<FloatingRateCouponPricer>& p3,
const ext::shared_ptr<FloatingRateCouponPricer>& p4) {
std::vector<ext::shared_ptr<FloatingRateCouponPricer> > p;
p.push_back(p1);
p.push_back(p2);
p.push_back(p3);
p.push_back(p4);
setCouponPricersFirstMatching(leg, p);
}
}
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