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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009, 2011 Chris Kenyon
Copyright (C) 2022 Quaternion Risk Management Ltd
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/cpicouponpricer.hpp>
#include <utility>
namespace QuantLib {
CPICouponPricer::CPICouponPricer(Handle<YieldTermStructure> nominalTermStructure)
: nominalTermStructure_(std::move(nominalTermStructure)) {
registerWith(nominalTermStructure_);
}
CPICouponPricer::CPICouponPricer(Handle<CPIVolatilitySurface> capletVol,
Handle<YieldTermStructure> nominalTermStructure)
: capletVol_(std::move(capletVol)), nominalTermStructure_(std::move(nominalTermStructure)) {
registerWith(capletVol_);
registerWith(nominalTermStructure_);
}
void CPICouponPricer::setCapletVolatility(
const Handle<CPIVolatilitySurface>& capletVol) {
QL_REQUIRE(!capletVol.empty(),"empty capletVol handle");
capletVol_ = capletVol;
registerWith(capletVol_);
}
Real CPICouponPricer::floorletPrice(Rate effectiveFloor) const{
Real floorletPrice = optionletPrice(Option::Put, effectiveFloor);
return gearing_ * floorletPrice;
}
Real CPICouponPricer::capletPrice(Rate effectiveCap) const{
Real capletPrice = optionletPrice(Option::Call, effectiveCap);
return gearing_ * capletPrice;
}
Rate CPICouponPricer::floorletRate(Rate effectiveFloor) const {
return gearing_ * optionletRate(Option::Put, effectiveFloor);
}
Rate CPICouponPricer::capletRate(Rate effectiveCap) const{
return gearing_ * optionletRate(Option::Call, effectiveCap);
}
Real CPICouponPricer::optionletPriceImp(Option::Type,
Real,
Real,
Real) const {
QL_FAIL("you must implement this to get a vol-dependent price");
}
Real CPICouponPricer::optionletPrice(Option::Type optionType,
Real effStrike) const {
QL_REQUIRE(discount_ != Null<Real>(), "no nominal term structure provided");
return optionletRate(optionType, effStrike) * coupon_->accrualPeriod() * discount_;
}
Real CPICouponPricer::optionletRate(Option::Type optionType,
Real effStrike) const {
Date fixingDate = coupon_->fixingDate();
if (fixingDate <= Settings::instance().evaluationDate()) {
// the amount is determined
Real a, b;
if (optionType==Option::Call) {
a = coupon_->indexFixing();
b = effStrike;
} else {
a = effStrike;
b = coupon_->indexFixing();
}
return std::max(a - b, 0.0);
} else {
// not yet determined, use Black/DD1/Bachelier/whatever from Impl
QL_REQUIRE(!capletVolatility().empty(),
"missing optionlet volatility");
Real stdDev =
std::sqrt(capletVolatility()->totalVariance(fixingDate,
effStrike));
return optionletPriceImp(optionType,
effStrike,
coupon_->indexRatio(coupon_->accrualEndDate()),
stdDev);
}
}
void CPICouponPricer::initialize(const InflationCoupon& coupon) {
coupon_ = dynamic_cast<const CPICoupon*>(&coupon);
gearing_ = coupon_->fixedRate();
paymentDate_ = coupon_->date();
// past or future fixing is managed in YoYInflationIndex::fixing()
// use yield curve from index (which sets discount)
discount_ = 1.0;
if (nominalTermStructure_.empty()) {
// allow to extract rates, but mark the discount as invalid for prices
discount_ = Null<Real>();
} else {
if (paymentDate_ > nominalTermStructure_->referenceDate())
discount_ = nominalTermStructure_->discount(paymentDate_);
}
}
Real CPICouponPricer::swapletPrice() const {
QL_REQUIRE(discount_ != Null<Real>(), "no nominal term structure provided");
return swapletRate() * coupon_->accrualPeriod() * discount_;
}
Rate CPICouponPricer::swapletRate() const {
return accruedRate(coupon_->accrualEndDate());
}
Rate CPICouponPricer::accruedRate(Date settlementDate) const {
return gearing_ * coupon_->indexRatio(settlementDate);
}
}
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