1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 Chris Kenyon
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/inflation/cpicapfloorengines.hpp>
#include <ql/experimental/inflation/cpicapfloortermpricesurface.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <utility>
namespace QuantLib {
InterpolatingCPICapFloorEngine::InterpolatingCPICapFloorEngine(
Handle<CPICapFloorTermPriceSurface> priceSurf)
: priceSurf_(std::move(priceSurf)) {
registerWith(priceSurf_);
}
void InterpolatingCPICapFloorEngine::calculate() const
{
Real npv = 0.0;
// what is the difference between the observationLag of the surface
// and the observationLag of the cap/floor?
// \TODO next line will fail if units are different
Period lagDiff = arguments_.observationLag - priceSurf_->observationLag();
// next line will fail if units are different if Period() is not well written
QL_REQUIRE(lagDiff >= Period(0, Months), "InterpolatingCPICapFloorEngine: "
"lag difference must be non-negative: " << lagDiff);
// we now need an effective maturity to use in the price surface because this uses
// maturity of calibration instruments as its time axis, N.B. this must also
// use the roll because the surface does
Date effectiveMaturity = arguments_.payDate - lagDiff;
// what interpolation do we use? Index / flat / linear
if (arguments_.observationInterpolation == CPI::AsIndex) {
// same as index means we can just use the price surface
// since this uses the index
if (arguments_.type == Option::Call) {
npv = priceSurf_->capPrice(effectiveMaturity, arguments_.strike);
} else {
npv = priceSurf_->floorPrice(effectiveMaturity, arguments_.strike);
}
} else {
std::pair<Date,Date> dd = inflationPeriod(effectiveMaturity, arguments_.index->frequency());
Real priceStart = 0.0;
if (arguments_.type == Option::Call) {
priceStart = priceSurf_->capPrice(dd.first, arguments_.strike);
} else {
priceStart = priceSurf_->floorPrice(dd.first, arguments_.strike);
}
// if we use a flat index vs the interpolated one ...
if (arguments_.observationInterpolation == CPI::Flat) {
// then use the price for the first day in the period because the value cannot change after then
npv = priceStart;
} else {
// linear interpolation will be very close
Real priceEnd = 0.0;
if (arguments_.type == Option::Call) {
priceEnd = priceSurf_->capPrice((dd.second+Period(1,Days)), arguments_.strike);
} else {
priceEnd = priceSurf_->floorPrice((dd.second+Period(1,Days)), arguments_.strike);
}
npv = priceStart + (priceEnd - priceStart) * (effectiveMaturity - dd.first)
/ ( (dd.second+Period(1,Days)) - dd.first); // can't get to next period'
}
}
results_.value = npv;
}
}
|
