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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2023 Marcin Rybacki
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/equitycashflow.hpp>
#include <ql/cashflows/indexedcashflow.hpp>
#include <ql/indexes/equityindex.hpp>
#include <ql/termstructures/yield/quantotermstructure.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
namespace QuantLib {
namespace {
Handle<YieldTermStructure>
configureDividendHandle(const Handle<YieldTermStructure>& dividendHandle) {
if (dividendHandle.empty()) {
ext::shared_ptr<YieldTermStructure> flatTs(ext::make_shared<FlatForward>(
0, NullCalendar(), Handle<Quote>(ext::make_shared<SimpleQuote>(0.0)),
Actual365Fixed()));
return Handle<YieldTermStructure>(flatTs);
}
return dividendHandle;
}
}
void setCouponPricer(const Leg& leg, const ext::shared_ptr<EquityCashFlowPricer>& p) {
for (const auto& i : leg) {
ext::shared_ptr<EquityCashFlow> c =
ext::dynamic_pointer_cast<EquityCashFlow>(i);
if (c != nullptr)
c->setPricer(p);
}
}
EquityCashFlow::EquityCashFlow(Real notional,
ext::shared_ptr<EquityIndex> index,
const Date& baseDate,
const Date& fixingDate,
const Date& paymentDate,
bool growthOnly)
: IndexedCashFlow(notional, std::move(index), baseDate, fixingDate, paymentDate, growthOnly) {}
void EquityCashFlow::setPricer(const ext::shared_ptr<EquityCashFlowPricer>& pricer) {
if (pricer_ != nullptr)
unregisterWith(pricer_);
pricer_ = pricer;
if (pricer_ != nullptr)
registerWith(pricer_);
update();
}
Real EquityCashFlow::amount() const {
if (!pricer_)
return IndexedCashFlow::amount();
pricer_->initialize(*this);
return notional() * pricer_->price();
}
EquityQuantoCashFlowPricer::EquityQuantoCashFlowPricer(
Handle<YieldTermStructure> quantoCurrencyTermStructure,
Handle<BlackVolTermStructure> equityVolatility,
Handle<BlackVolTermStructure> fxVolatility,
Handle<Quote> correlation)
: quantoCurrencyTermStructure_(std::move(quantoCurrencyTermStructure)),
equityVolatility_(std::move(equityVolatility)), fxVolatility_(std::move(fxVolatility)),
correlation_(std::move(correlation)){
registerWith(quantoCurrencyTermStructure_);
registerWith(equityVolatility_);
registerWith(fxVolatility_);
registerWith(correlation_);
}
void EquityQuantoCashFlowPricer::initialize(const EquityCashFlow& cashFlow) {
index_ = ext::dynamic_pointer_cast<EquityIndex>(cashFlow.index());
if (!index_) {
QL_FAIL("Equity index required.");
}
baseDate_ = cashFlow.baseDate();
fixingDate_ = cashFlow.fixingDate();
QL_REQUIRE(fixingDate_ >= baseDate_, "Fixing date cannot fall before base date.");
growthOnlyPayoff_ = cashFlow.growthOnly();
QL_REQUIRE(!quantoCurrencyTermStructure_.empty(),
"Quanto currency term structure handle cannot be empty.");
QL_REQUIRE(!equityVolatility_.empty(),
"Equity volatility term structure handle cannot be empty.");
QL_REQUIRE(!fxVolatility_.empty(),
"FX volatility term structure handle cannot be empty.");
QL_REQUIRE(!correlation_.empty(), "Correlation handle cannot be empty.");
QL_REQUIRE(quantoCurrencyTermStructure_->referenceDate() ==
equityVolatility_->referenceDate() &&
equityVolatility_->referenceDate() == fxVolatility_->referenceDate(),
"Quanto currency term structure, equity and FX volatility need to have the same "
"reference date.");
}
Real EquityQuantoCashFlowPricer::price() const {
Real strike = index_->fixing(fixingDate_);
Handle<YieldTermStructure> dividendHandle =
configureDividendHandle(index_->equityDividendCurve());
Handle<YieldTermStructure> quantoTermStructure(ext::make_shared<QuantoTermStructure>(
dividendHandle, quantoCurrencyTermStructure_,
index_->equityInterestRateCurve(), equityVolatility_, strike, fxVolatility_, 1.0,
correlation_->value()));
ext::shared_ptr<EquityIndex> quantoIndex =
index_->clone(quantoCurrencyTermStructure_, quantoTermStructure, index_->spot());
Real I0 = quantoIndex->fixing(baseDate_);
Real I1 = quantoIndex->fixing(fixingDate_);
if (growthOnlyPayoff_)
return I1 / I0 - 1.0;
return I1 / I0;
}
}
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