1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2007 Giorgio Facchinetti
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/indexes/iborindex.hpp>
#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp>
#include <utility>
using std::vector;
namespace QuantLib {
OptionletStripper::OptionletStripper(
const ext::shared_ptr<CapFloorTermVolSurface>& termVolSurface,
ext::shared_ptr<IborIndex> iborIndex,
Handle<YieldTermStructure> discount,
const VolatilityType type,
const Real displacement,
ext::optional<Period> optionletFrequency
)
: termVolSurface_(termVolSurface), iborIndex_(std::move(iborIndex)),
discount_(std::move(discount)), nStrikes_(termVolSurface->strikes().size()),
volatilityType_(type), displacement_(displacement),
optionletFrequency_(optionletFrequency) {
if (volatilityType_ == Normal) {
QL_REQUIRE(displacement_ == 0.0,
"non-null displacement is not allowed with Normal model");
}
if (ext::dynamic_pointer_cast<OvernightIndex>(iborIndex_)) {
QL_REQUIRE(optionletFrequency_,
"an optionlet frequency is required when using an overnight index");
}
registerWith(termVolSurface);
registerWith(iborIndex_);
registerWith(discount_);
registerWith(Settings::instance().evaluationDate());
Period indexTenor = optionletFrequency_ ? *optionletFrequency_ : iborIndex_->tenor();
Period maxCapFloorTenor = termVolSurface->optionTenors().back();
// optionlet tenors and capFloor lengths
optionletTenors_.push_back(indexTenor);
capFloorLengths_.push_back(optionletTenors_.back()+indexTenor);
QL_REQUIRE(maxCapFloorTenor>=capFloorLengths_.back(),
"too short (" << maxCapFloorTenor <<
") capfloor term vol termVolSurface");
Period nextCapFloorLength = capFloorLengths_.back()+indexTenor;
while (nextCapFloorLength<=maxCapFloorTenor) {
optionletTenors_.push_back(capFloorLengths_.back());
capFloorLengths_.push_back(nextCapFloorLength);
nextCapFloorLength += indexTenor;
}
nOptionletTenors_ = optionletTenors_.size();
optionletVolatilities_ =
vector<vector<Volatility> >(nOptionletTenors_,
vector<Volatility>(nStrikes_));
optionletStrikes_ = vector<vector<Rate> >(nOptionletTenors_,
termVolSurface->strikes());
optionletDates_ = vector<Date>(nOptionletTenors_);
optionletTimes_ = vector<Time>(nOptionletTenors_);
atmOptionletRate_ = vector<Rate>(nOptionletTenors_);
optionletPaymentDates_ = vector<Date>(nOptionletTenors_);
optionletAccrualPeriods_ = vector<Time>(nOptionletTenors_);
}
const vector<Rate>& OptionletStripper::optionletStrikes(Size i) const {
calculate();
QL_REQUIRE(i<optionletStrikes_.size(),
"index (" << i <<
") must be less than optionletStrikes size (" <<
optionletStrikes_.size() << ")");
return optionletStrikes_[i];
}
const vector<Volatility>&
OptionletStripper::optionletVolatilities(Size i) const {
calculate();
QL_REQUIRE(i<optionletVolatilities_.size(),
"index (" << i <<
") must be less than optionletVolatilities size (" <<
optionletVolatilities_.size() << ")");
return optionletVolatilities_[i];
}
const vector<Period>& OptionletStripper::optionletFixingTenors() const {
return optionletTenors_;
}
const vector<Date>& OptionletStripper::optionletFixingDates() const {
calculate();
return optionletDates_;
}
const vector<Time>& OptionletStripper::optionletFixingTimes() const {
calculate();
return optionletTimes_;
}
Size OptionletStripper::optionletMaturities() const {
return optionletTenors_.size();
}
const vector<Date>& OptionletStripper::optionletPaymentDates() const {
calculate();
return optionletPaymentDates_;
}
const vector<Time>& OptionletStripper::optionletAccrualPeriods() const {
calculate();
return optionletAccrualPeriods_;
}
const vector<Rate>& OptionletStripper::atmOptionletRates() const {
calculate();
return atmOptionletRate_;
}
DayCounter OptionletStripper::dayCounter() const {
return termVolSurface_->dayCounter();
}
Calendar OptionletStripper::calendar() const {
return termVolSurface_->calendar();
}
Natural OptionletStripper::settlementDays() const {
return termVolSurface_->settlementDays();
}
BusinessDayConvention OptionletStripper::businessDayConvention() const {
return termVolSurface_->businessDayConvention();
}
ext::shared_ptr<CapFloorTermVolSurface>
OptionletStripper::termVolSurface() const {
return termVolSurface_;
}
ext::shared_ptr<IborIndex> OptionletStripper::iborIndex() const {
return iborIndex_;
}
Real OptionletStripper::displacement() const {
return displacement_;
}
VolatilityType OptionletStripper::volatilityType() const {
return volatilityType_;
}
ext::optional<Period> OptionletStripper::optionletFrequency() const {
return optionletFrequency_;
}
}
|
