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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Klaus Spanderen
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/legacy/libormarketmodels/lfmswaptionengine.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <utility>
namespace QuantLib {
LfmSwaptionEngine::LfmSwaptionEngine(const ext::shared_ptr<LiborForwardModel>& model,
Handle<YieldTermStructure> discountCurve)
: GenericModelEngine<LiborForwardModel, Swaption::arguments, Swaption::results>(model),
discountCurve_(std::move(discountCurve)) {
registerWith(discountCurve_);
}
void LfmSwaptionEngine::calculate() const {
QL_REQUIRE(arguments_.settlementMethod != Settlement::ParYieldCurve,
"cash settled (ParYieldCurve) swaptions not priced with Lfm engine");
static const Spread basisPoint = 1.0e-4;
auto swap = arguments_.swap;
swap->setPricingEngine(ext::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(discountCurve_, false)));
Spread correction = swap->spread() *
std::fabs(swap->floatingLegBPS()/swap->fixedLegBPS());
Rate fixedRate = swap->fixedRate() - correction;
Rate fairRate = swap->fairRate() - correction;
ext::shared_ptr<SwaptionVolatilityMatrix> volatility =
model_->getSwaptionVolatilityMatrix();
Date referenceDate = volatility->referenceDate();
DayCounter dayCounter = volatility->dayCounter();
Time exercise = dayCounter.yearFraction(referenceDate,
arguments_.exercise->date(0));
Time swapLength =
dayCounter.yearFraction(referenceDate,
arguments_.fixedPayDates.back())
- dayCounter.yearFraction(referenceDate,
arguments_.fixedResetDates[0]);
Option::Type w = arguments_.type==Swap::Payer ? Option::Call : Option::Put;
Volatility vol = volatility->volatility(exercise, swapLength,
fairRate, true);
results_.value = (swap->fixedLegBPS()/basisPoint) *
blackFormula(w, fixedRate, fairRate, vol*std::sqrt(exercise));
}
}
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