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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) 2007 StatPro Italia srl
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/cashflowvectors.hpp>
#include <ql/models/shortrate/calibrationhelpers/caphelper.hpp>
#include <ql/pricingengines/capfloor/bacheliercapfloorengine.hpp>
#include <ql/pricingengines/capfloor/blackcapfloorengine.hpp>
#include <ql/pricingengines/capfloor/discretizedcapfloor.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/time/schedule.hpp>
#include <utility>
namespace QuantLib {
CapHelper::CapHelper(const Period& length,
const Handle<Quote>& volatility,
ext::shared_ptr<IborIndex> index,
Frequency fixedLegFrequency,
DayCounter fixedLegDayCounter,
bool includeFirstSwaplet,
Handle<YieldTermStructure> termStructure,
BlackCalibrationHelper::CalibrationErrorType errorType,
const VolatilityType type,
const Real shift)
: BlackCalibrationHelper(volatility, errorType, type, shift), length_(length),
index_(std::move(index)), termStructure_(std::move(termStructure)),
fixedLegFrequency_(fixedLegFrequency), fixedLegDayCounter_(std::move(fixedLegDayCounter)),
includeFirstSwaplet_(includeFirstSwaplet) {
registerWith(index_);
registerWith(termStructure_);
}
void CapHelper::addTimesTo(std::list<Time>& times) const {
calculate();
CapFloor::arguments args;
cap_->setupArguments(&args);
std::vector<Time> capTimes =
DiscretizedCapFloor(args,
termStructure_->referenceDate(),
termStructure_->dayCounter()).mandatoryTimes();
times.insert(times.end(),
capTimes.begin(), capTimes.end());
}
Real CapHelper::modelValue() const {
calculate();
cap_->setPricingEngine(engine_);
return cap_->NPV();
}
Real CapHelper::blackPrice(Volatility sigma) const {
calculate();
Handle<Quote> vol(ext::shared_ptr<Quote>(new SimpleQuote(sigma)));
ext::shared_ptr<PricingEngine> engine;
switch(volatilityType_) {
case ShiftedLognormal:
engine = ext::make_shared<BlackCapFloorEngine>(
termStructure_, vol, Actual365Fixed(), shift_);
break;
case Normal:
engine = ext::make_shared<BachelierCapFloorEngine>(
termStructure_, vol, Actual365Fixed());
break;
default:
QL_FAIL("unknown volatility type: " << volatilityType_);
}
cap_->setPricingEngine(engine);
Real value = cap_->NPV();
cap_->setPricingEngine(engine_);
return value;
}
void CapHelper::performCalculations() const {
Period indexTenor = index_->tenor();
Rate fixedRate = 0.04; // dummy value
Date startDate, maturity;
if (includeFirstSwaplet_) {
startDate = termStructure_->referenceDate();
maturity = termStructure_->referenceDate() + length_;
} else {
startDate = termStructure_->referenceDate() + indexTenor;
maturity = termStructure_->referenceDate() + length_;
}
ext::shared_ptr<IborIndex> dummyIndex(new
IborIndex("dummy",
indexTenor,
index_->fixingDays(),
index_->currency(),
index_->fixingCalendar(),
index_->businessDayConvention(),
index_->endOfMonth(),
termStructure_->dayCounter(),
termStructure_));
std::vector<Real> nominals(1,1.0);
Schedule floatSchedule(startDate, maturity,
index_->tenor(), index_->fixingCalendar(),
index_->businessDayConvention(),
index_->businessDayConvention(),
DateGeneration::Forward, false);
Leg floatingLeg = IborLeg(floatSchedule, index_)
.withNotionals(nominals)
.withPaymentAdjustment(index_->businessDayConvention())
.withFixingDays(0);
Schedule fixedSchedule(startDate, maturity, Period(fixedLegFrequency_),
index_->fixingCalendar(),
Unadjusted, Unadjusted,
DateGeneration::Forward, false);
Leg fixedLeg = FixedRateLeg(fixedSchedule)
.withNotionals(nominals)
.withCouponRates(fixedRate, fixedLegDayCounter_)
.withPaymentAdjustment(index_->businessDayConvention());
Swap swap(floatingLeg, fixedLeg);
swap.setPricingEngine(ext::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(termStructure_, false)));
Rate fairRate = fixedRate - swap.NPV()/(swap.legBPS(1)/1.0e-4);
cap_ = ext::make_shared<Cap>(floatingLeg,
std::vector<Rate>(1, fairRate));
BlackCalibrationHelper::performCalculations();
}
}
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