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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 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/cashflows/couponpricer.hpp>
#include <ql/experimental/coupons/strippedcapflooredcoupon.hpp>
#include <utility>
namespace QuantLib {
StrippedCappedFlooredCoupon::StrippedCappedFlooredCoupon(
const ext::shared_ptr<CappedFlooredCoupon> &underlying)
: FloatingRateCoupon(
underlying->date(), underlying->nominal(),
underlying->accrualStartDate(), underlying->accrualEndDate(),
underlying->fixingDays(), underlying->index(),
underlying->gearing(), underlying->spread(),
underlying->referencePeriodStart(),
underlying->referencePeriodEnd(), underlying->dayCounter(),
underlying->isInArrears()),
underlying_(underlying) {
registerWith(underlying_);
}
void StrippedCappedFlooredCoupon::deepUpdate() {
update();
underlying_->deepUpdate();
}
void StrippedCappedFlooredCoupon::performCalculations() const {
QL_REQUIRE(underlying_->underlying()->pricer() != nullptr, "pricer not set");
underlying_->underlying()->pricer()->initialize(*underlying_->underlying());
Rate floorletRate = 0.0;
if (underlying_->isFloored())
floorletRate = underlying_->underlying()->pricer()->floorletRate(
underlying_->effectiveFloor());
Rate capletRate = 0.0;
if (underlying_->isCapped())
capletRate =
underlying_->underlying()->pricer()->capletRate(underlying_->effectiveCap());
// if the underlying is collared we return the value of the embedded
// collar, otherwise the value of a long floor or a long cap respectively
rate_ = (underlying_->isFloored() && underlying_->isCapped()) ?
Real(floorletRate - capletRate) :
Real(floorletRate + capletRate);
}
Rate StrippedCappedFlooredCoupon::rate() const {
calculate();
return rate_;
}
Rate StrippedCappedFlooredCoupon::convexityAdjustment() const {
return underlying_->convexityAdjustment();
}
Rate StrippedCappedFlooredCoupon::cap() const { return underlying_->cap(); }
Rate StrippedCappedFlooredCoupon::floor() const {
return underlying_->floor();
}
Rate StrippedCappedFlooredCoupon::effectiveCap() const {
return underlying_->effectiveCap();
}
Rate StrippedCappedFlooredCoupon::effectiveFloor() const {
return underlying_->effectiveFloor();
}
void StrippedCappedFlooredCoupon::accept(AcyclicVisitor &v) {
underlying_->accept(v);
auto* v1 = dynamic_cast<Visitor<StrippedCappedFlooredCoupon>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
FloatingRateCoupon::accept(v);
}
bool StrippedCappedFlooredCoupon::isCap() const {
return underlying_->isCapped();
}
bool StrippedCappedFlooredCoupon::isFloor() const {
return underlying_->isFloored();
}
bool StrippedCappedFlooredCoupon::isCollar() const {
return isCap() && isFloor();
}
void StrippedCappedFlooredCoupon::setPricer(
const ext::shared_ptr<FloatingRateCouponPricer> &pricer) {
FloatingRateCoupon::setPricer(pricer);
underlying_->setPricer(pricer);
}
StrippedCappedFlooredCouponLeg::StrippedCappedFlooredCouponLeg(Leg underlyingLeg)
: underlyingLeg_(std::move(underlyingLeg)) {}
StrippedCappedFlooredCouponLeg::operator Leg() const {
Leg resultLeg;
resultLeg.reserve(underlyingLeg_.size());
ext::shared_ptr<CappedFlooredCoupon> c;
for (const auto& i : underlyingLeg_) {
if ((c = ext::dynamic_pointer_cast<CappedFlooredCoupon>(i)) != nullptr) {
resultLeg.push_back(
ext::make_shared<StrippedCappedFlooredCoupon>(c));
} else {
resultLeg.push_back(i);
}
}
return resultLeg;
}
}
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