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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2007 Ferdinando Ametrano
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
<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/instruments/makecapfloor.hpp>
#include <ql/cashflows/cashflows.hpp>
#include <ql/pricingengines/capfloor/blackcapfloorengine.hpp>
namespace QuantLib {
MakeCapFloor::MakeCapFloor(CapFloor::Type capFloorType,
const Period& tenor,
const ext::shared_ptr<IborIndex>& iborIndex,
Rate strike,
const Period& forwardStart)
: capFloorType_(capFloorType), strike_(strike), firstCapletExcluded_(forwardStart == 0 * Days),
// setting the fixed leg tenor avoids that MakeVanillaSwap throws
// because of an unknown fixed leg default tenor for a currency,
// notice that only the floating leg of the swap is used anyway
makeVanillaSwap_(MakeVanillaSwap(tenor, iborIndex, 0.0, forwardStart)
.withFixedLegTenor(1 * Years)
.withFixedLegDayCount(Actual365Fixed())) {}
MakeCapFloor::operator CapFloor() const {
ext::shared_ptr<CapFloor> capfloor = *this;
return *capfloor;
}
MakeCapFloor::operator ext::shared_ptr<CapFloor>() const {
VanillaSwap swap = makeVanillaSwap_;
Leg leg = swap.floatingLeg();
if (firstCapletExcluded_)
leg.erase(leg.begin());
// only leaves the last coupon
if (asOptionlet_ && leg.size() > 1) {
auto end = leg.end(); // Sun Studio needs an lvalue
leg.erase(leg.begin(), --end);
}
std::vector<Rate> strikeVector(1, strike_);
if (strike_ == Null<Rate>()) {
// temporary patch...
// should be fixed for every CapFloor::Engine
ext::shared_ptr<BlackCapFloorEngine> temp =
ext::dynamic_pointer_cast<BlackCapFloorEngine>(engine_);
QL_REQUIRE(temp,
"cannot calculate ATM without a BlackCapFloorEngine");
Handle<YieldTermStructure> discountCurve = temp->termStructure();
strikeVector[0] = CashFlows::atmRate(leg,
**discountCurve,
false,
discountCurve->referenceDate());
}
ext::shared_ptr<CapFloor> capFloor(new
CapFloor(capFloorType_, leg, strikeVector));
capFloor->setPricingEngine(engine_);
return capFloor;
}
MakeCapFloor& MakeCapFloor::withNominal(Real n) {
makeVanillaSwap_.withNominal(n);
return *this;
}
MakeCapFloor& MakeCapFloor::withEffectiveDate(const Date& effectiveDate,
bool firstCapletExcluded) {
makeVanillaSwap_.withEffectiveDate(effectiveDate);
firstCapletExcluded_ = firstCapletExcluded;
return *this;
}
MakeCapFloor& MakeCapFloor::withTenor(const Period& t) {
makeVanillaSwap_.withFloatingLegTenor(t);
return *this;
}
MakeCapFloor& MakeCapFloor::withCalendar(const Calendar& cal) {
makeVanillaSwap_.withFloatingLegCalendar(cal);
return *this;
}
MakeCapFloor& MakeCapFloor::withConvention(BusinessDayConvention bdc) {
makeVanillaSwap_.withFloatingLegConvention(bdc);
return *this;
}
MakeCapFloor&
MakeCapFloor::withTerminationDateConvention(BusinessDayConvention bdc) {
makeVanillaSwap_.withFloatingLegTerminationDateConvention(bdc);
return *this;
}
MakeCapFloor& MakeCapFloor::withRule(DateGeneration::Rule r) {
makeVanillaSwap_.withFloatingLegRule(r);
return *this;
}
MakeCapFloor& MakeCapFloor::withEndOfMonth(bool flag) {
makeVanillaSwap_.withFloatingLegEndOfMonth(flag);
return *this;
}
MakeCapFloor& MakeCapFloor::withFirstDate(const Date& d) {
makeVanillaSwap_.withFloatingLegFirstDate(d);
return *this;
}
MakeCapFloor& MakeCapFloor::withNextToLastDate(const Date& d) {
makeVanillaSwap_.withFloatingLegNextToLastDate(d);
return *this;
}
MakeCapFloor& MakeCapFloor::withDayCount(const DayCounter& dc) {
makeVanillaSwap_.withFloatingLegDayCount(dc);
return *this;
}
MakeCapFloor& MakeCapFloor::asOptionlet(bool b) {
asOptionlet_ = b;
return *this;
}
MakeCapFloor& MakeCapFloor::withPricingEngine(
const ext::shared_ptr<PricingEngine>& engine) {
engine_ = engine;
return *this;
}
}
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