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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2004, 2007 StatPro Italia srl
Copyright (C) 2021, 2022 Ralf Konrad Eckel
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/fixedratecoupon.hpp>
#include <ql/pricingengines/swap/discretizedswap.hpp>
#include <ql/pricingengines/swaption/discretizedswaption.hpp>
namespace QuantLib {
namespace {
bool withinPreviousWeek(const Date& d1, const Date& d2) { return d2 >= d1 - 7 && d2 <= d1; }
bool withinNextWeek(const Date& d1, const Date& d2) { return d2 >= d1 && d2 <= d1 + 7; }
bool withinOneWeek(const Date& d1, const Date& d2) {
return withinPreviousWeek(d1, d2) || withinNextWeek(d1, d2);
}
}
DiscretizedSwaption::DiscretizedSwaption(const Swaption::arguments& args,
const Date& referenceDate,
const DayCounter& dayCounter)
: DiscretizedOption(
ext::shared_ptr<DiscretizedAsset>(), args.exercise->type(), std::vector<Time>()),
arguments_(args) {
// Date adjustments can get time vectors out of synch.
// Here, we try and collapse similar dates which could cause
// a mispricing.
Swaption::arguments snappedArgs;
std::vector<CouponAdjustment> fixedCouponAdjustments;
std::vector<CouponAdjustment> floatingCouponAdjustments;
prepareSwaptionWithSnappedDates(arguments_, referenceDate, dayCounter, snappedArgs,
fixedCouponAdjustments, floatingCouponAdjustments);
exerciseTimes_.resize(snappedArgs.exercise->dates().size());
for (Size i = 0; i < exerciseTimes_.size(); ++i)
exerciseTimes_[i] =
dayCounter.yearFraction(referenceDate, snappedArgs.exercise->date(i));
Time lastFixedPayment =
dayCounter.yearFraction(referenceDate, snappedArgs.fixedPayDates.back());
Time lastFloatingPayment =
dayCounter.yearFraction(referenceDate, snappedArgs.floatingPayDates.back());
lastPayment_ = std::max(lastFixedPayment, lastFloatingPayment);
underlying_ =
ext::make_shared<DiscretizedSwap>(snappedArgs, referenceDate, dayCounter,
fixedCouponAdjustments, floatingCouponAdjustments);
}
void DiscretizedSwaption::reset(Size size) {
underlying_->initialize(method(), lastPayment_);
DiscretizedOption::reset(size);
}
void DiscretizedSwaption::prepareSwaptionWithSnappedDates(
const Swaption::arguments& args,
const Date& referenceDate,
const DayCounter& dayCounter,
PricingEngine::arguments& snappedArgs,
std::vector<CouponAdjustment>& fixedCouponAdjustments,
std::vector<CouponAdjustment>& floatingCouponAdjustments) {
std::vector<Date> fixedDates = args.swap->fixedSchedule().dates();
std::vector<Date> floatDates = args.swap->floatingSchedule().dates();
fixedCouponAdjustments.resize(args.swap->fixedLeg().size(),
CouponAdjustment::pre);
floatingCouponAdjustments.resize(args.swap->floatingLeg().size(),
CouponAdjustment::pre);
for (const auto& exerciseDate : args.exercise->dates()) {
for (Size j = 0; j < fixedDates.size() - 1; j++) {
auto unadjustedDate = fixedDates[j];
if (exerciseDate != unadjustedDate && withinOneWeek(exerciseDate, unadjustedDate)) {
fixedDates[j] = exerciseDate;
if (withinPreviousWeek(exerciseDate, unadjustedDate))
fixedCouponAdjustments[j] = CouponAdjustment::post;
}
}
for (Size j = 0; j < floatDates.size() - 1; j++) {
auto unadjustedDate = floatDates[j];
if (exerciseDate != unadjustedDate && withinOneWeek(exerciseDate, unadjustedDate)) {
floatDates[j] = exerciseDate;
if (withinPreviousWeek(exerciseDate, unadjustedDate))
floatingCouponAdjustments[j] = CouponAdjustment::post;
}
}
}
Schedule snappedFixedSchedule(fixedDates);
Schedule snappedFloatSchedule(floatDates);
auto snappedSwap = ext::make_shared<VanillaSwap>(
args.swap->type(), args.swap->nominal(), snappedFixedSchedule, args.swap->fixedRate(),
args.swap->fixedDayCount(), snappedFloatSchedule, args.swap->iborIndex(),
args.swap->spread(), args.swap->floatingDayCount(), args.swap->paymentConvention());
Swaption snappedSwaption(snappedSwap, args.exercise, args.settlementType,
args.settlementMethod);
snappedSwaption.setupArguments(&snappedArgs);
}
}
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