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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Toyin Akin
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/experimental/coupons/quantocouponpricer.hpp>
#include <ql/cashflows/capflooredcoupon.hpp>
#include <ql/cashflows/digitalcoupon.hpp>
#include <ql/cashflows/digitalcmscoupon.hpp>
#include <ql/cashflows/digitaliborcoupon.hpp>
#include <ql/cashflows/rangeaccrual.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/indexes/interestrateindex.hpp>
namespace QuantLib {
Rate BlackIborQuantoCouponPricer::adjustedFixing(Real fixing) const {
if (fixing == Null<Rate>())
fixing = coupon_->indexFixing();
// Here we apply the quanto adjustment first, then delegate to
// the parent class
Date d1 = coupon_->fixingDate(),
referenceDate = capletVolatility()->referenceDate();
if (d1 > referenceDate) {
Time t1 =
capletVolatility()->timeFromReference(d1);
Volatility fxsigma =
fxRateBlackVolatility_->blackVol(d1, fixing, true);
Volatility sigma = capletVolatility()->volatility(d1, fixing);
Real rho = underlyingFxCorrelation_->value();
// Apply Quanto Adjustment.
// Hull 6th Edition, page 642, generalised to
// shifted lognormal and normal volatilities
if(capletVolatility()->volatilityType() == ShiftedLognormal) {
Real dQuantoAdj = std::exp(sigma*fxsigma*rho*t1);
Real shift = capletVolatility()->displacement();
fixing = (fixing+shift)*dQuantoAdj-shift;
}
else {
Real dQuantoAdj = sigma*fxsigma*rho*t1;
fixing += dQuantoAdj;
}
}
return BlackIborCouponPricer::adjustedFixing(fixing);
}
}
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