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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2013, 2018 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/exercise.hpp>
#include <ql/instruments/nonstandardswaption.hpp>
#include <utility>
namespace QuantLib {
NonstandardSwaption::NonstandardSwaption(const Swaption &fromSwaption)
: Option(ext::shared_ptr<Payoff>(),
const_cast<Swaption &>(fromSwaption).exercise()),
swap_(ext::make_shared<NonstandardSwap>(
*fromSwaption.underlying())),
settlementType_(fromSwaption.settlementType()),
settlementMethod_(fromSwaption.settlementMethod()) {
registerWith(swap_);
// When we ask for the NPV of an expired swaption, the
// swap is not recalculated and thus wouldn't forward
// later notifications according to the default behavior of
// LazyObject instances. This means that even if the
// evaluation date changes so that the swaption is no longer
// expired, the instrument wouldn't be notified and thus it
// wouldn't recalculate. To avoid this, we override the
// default behavior of the underlying swap.
swap_->alwaysForwardNotifications();
}
NonstandardSwaption::NonstandardSwaption(ext::shared_ptr<NonstandardSwap> swap,
const ext::shared_ptr<Exercise>& exercise,
Settlement::Type delivery,
Settlement::Method settlementMethod)
: Option(ext::shared_ptr<Payoff>(), exercise), swap_(std::move(swap)),
settlementType_(delivery), settlementMethod_(settlementMethod) {
registerWith(swap_);
swap_->alwaysForwardNotifications();
}
bool NonstandardSwaption::isExpired() const {
return detail::simple_event(exercise_->dates().back()).hasOccurred();
}
void
NonstandardSwaption::setupArguments(PricingEngine::arguments *args) const {
swap_->setupArguments(args);
auto* arguments = dynamic_cast<NonstandardSwaption::arguments*>(args);
QL_REQUIRE(arguments != nullptr, "argument types do not match");
arguments->swap = swap_;
arguments->exercise = exercise_;
arguments->settlementType = settlementType_;
arguments->settlementMethod = settlementMethod_;
}
void NonstandardSwaption::arguments::validate() const {
NonstandardSwap::arguments::validate();
QL_REQUIRE(swap, "underlying non standard swap not set");
QL_REQUIRE(exercise, "exercise not set");
Settlement::checkTypeAndMethodConsistency(settlementType,
settlementMethod);
}
std::vector<ext::shared_ptr<BlackCalibrationHelper>>
NonstandardSwaption::calibrationBasket(
const ext::shared_ptr<SwapIndex>& standardSwapBase,
const ext::shared_ptr<SwaptionVolatilityStructure>& swaptionVolatility,
const BasketGeneratingEngine::CalibrationBasketType basketType) const {
ext::shared_ptr<BasketGeneratingEngine> engine =
ext::dynamic_pointer_cast<BasketGeneratingEngine>(engine_);
QL_REQUIRE(engine, "engine is not a basket generating engine");
engine_->reset();
setupArguments(engine_->getArguments());
engine_->getArguments()->validate();
return engine->calibrationBasket(exercise_, standardSwapBase,
swaptionVolatility, basketType);
}
}
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