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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Marco Bianchetti
Copyright (C) 2007 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
<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/stickyratchet.hpp>
namespace QuantLib {
// Double Sticky/Ratchet payoffs
Real DoubleStickyRatchetPayoff::operator()(Real forward) const {
QL_REQUIRE((std::fabs(type1_)==1.0 || type1_==0.0),
"unknown/illegal type1 value (only 0.0 and +/-1,0 are allowed))");
QL_REQUIRE((std::fabs(type2_)==1.0 || type2_==0.0),
"unknown/illegal type2 value(only 0.0 and +/-1,0 are allowed)");
Real swaplet = gearing3_ * forward + spread3_;
Real effStrike1 = gearing1_ * initialValue1_ + spread1_;
Real effStrike2 = gearing2_ * initialValue2_ + spread2_;
Real effStrike3 = type1_*type2_*std::max<Real>(type2_*(swaplet-effStrike2),0.0);
Real price = accrualFactor_ * (swaplet -
type1_*std::max<Real>(type1_*(swaplet-effStrike1),effStrike3));
return price;
}
std::string DoubleStickyRatchetPayoff::name() const {
return "DoubleStickyRatchetPayoff";
}
std::string DoubleStickyRatchetPayoff::description() const {
std::ostringstream result;
result << name();
return result.str();
}
void DoubleStickyRatchetPayoff::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<DoubleStickyRatchetPayoff>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
Payoff::accept(v);
}
/*---------------------------------------------------------------------------
// Old code for single sticky/ratchet payoffs,
// superated by DoubleStickyRatchetPayoff class above
// Single Sticky/Ratchet payoffs
Real StickyRatchetPayoff::operator()(Real forward) const {
QL_REQUIRE(abs(type_)==1.0, "unknown/illegal option type");
Real swaplet = gearing2_ * forward + spread2_;
Real effStrike = gearing2_ * initialValue_ + spread2_;
Real price = accrualFactor_ * (swaplet -
type_*std::max<Real>(type_*(swaplet-effStrike),0.0));
return price;
}
std::string StickyRatchetPayoff::description() const {
std::ostringstream result;
result << name();
return result.str();
}
void StickyRatchetPayoff::accept(AcyclicVisitor& v) {
Visitor<StickyRatchetPayoff>* v1 =
dynamic_cast<Visitor<StickyRatchetPayoff>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
Payoff::accept(v);
}
-----------------------------------------------------------------------------*/
}
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