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
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
|
/* -*- 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
Copyright (C) 2015 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/indexes/iborindex.hpp>
#include <ql/instruments/overnightindexedswap.hpp>
#include <ql/instruments/vanillaswap.hpp>
#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/pricingengines/swaption/blackswaptionengine.hpp>
#include <ql/pricingengines/swaption/discretizedswaption.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/time/schedule.hpp>
#include <utility>
namespace QuantLib {
SwaptionHelper::SwaptionHelper(const Period& maturity,
const Period& length,
const Handle<Quote>& volatility,
ext::shared_ptr<IborIndex> index,
const Period& fixedLegTenor,
DayCounter fixedLegDayCounter,
DayCounter floatingLegDayCounter,
Handle<YieldTermStructure> termStructure,
CalibrationErrorType errorType,
const Real strike,
const Real nominal,
const VolatilityType type,
const Real shift,
Natural settlementDays,
RateAveraging::Type averagingMethod)
: BlackCalibrationHelper(volatility, errorType, type, shift),
maturity_(maturity), length_(length), fixedLegTenor_(fixedLegTenor),
index_(std::move(index)), termStructure_(std::move(termStructure)),
fixedLegDayCounter_(std::move(fixedLegDayCounter)),
floatingLegDayCounter_(std::move(floatingLegDayCounter)), strike_(strike), nominal_(nominal),
settlementDays_(settlementDays), averagingMethod_(averagingMethod) {
registerWith(index_);
registerWith(termStructure_);
}
SwaptionHelper::SwaptionHelper(const Date& exerciseDate,
const Period& length,
const Handle<Quote>& volatility,
ext::shared_ptr<IborIndex> index,
const Period& fixedLegTenor,
DayCounter fixedLegDayCounter,
DayCounter floatingLegDayCounter,
Handle<YieldTermStructure> termStructure,
CalibrationErrorType errorType,
const Real strike,
const Real nominal,
const VolatilityType type,
const Real shift,
Natural settlementDays,
RateAveraging::Type averagingMethod)
: BlackCalibrationHelper(volatility, errorType, type, shift), exerciseDate_(exerciseDate),
maturity_(0 * Days), length_(length), fixedLegTenor_(fixedLegTenor),
index_(std::move(index)), termStructure_(std::move(termStructure)),
fixedLegDayCounter_(std::move(fixedLegDayCounter)),
floatingLegDayCounter_(std::move(floatingLegDayCounter)), strike_(strike), nominal_(nominal),
settlementDays_(settlementDays), averagingMethod_(averagingMethod) {
registerWith(index_);
registerWith(termStructure_);
}
SwaptionHelper::SwaptionHelper(const Date& exerciseDate,
const Date& endDate,
const Handle<Quote>& volatility,
ext::shared_ptr<IborIndex> index,
const Period& fixedLegTenor,
DayCounter fixedLegDayCounter,
DayCounter floatingLegDayCounter,
Handle<YieldTermStructure> termStructure,
CalibrationErrorType errorType,
const Real strike,
const Real nominal,
const VolatilityType type,
const Real shift,
Natural settlementDays,
RateAveraging::Type averagingMethod)
: BlackCalibrationHelper(volatility, errorType, type, shift), exerciseDate_(exerciseDate),
endDate_(endDate), maturity_(0 * Days), length_(0 * Days), fixedLegTenor_(fixedLegTenor),
index_(std::move(index)), termStructure_(std::move(termStructure)),
fixedLegDayCounter_(std::move(fixedLegDayCounter)),
floatingLegDayCounter_(std::move(floatingLegDayCounter)), strike_(strike), nominal_(nominal),
settlementDays_(settlementDays), averagingMethod_(averagingMethod) {
registerWith(index_);
registerWith(termStructure_);
}
void SwaptionHelper::addTimesTo(std::list<Time>& times) const {
calculate();
Swaption::arguments args;
swaption_->setupArguments(&args);
std::vector<Time> swaptionTimes =
DiscretizedSwaption(args,
termStructure_->referenceDate(),
termStructure_->dayCounter()).mandatoryTimes();
times.insert(times.end(),
swaptionTimes.begin(), swaptionTimes.end());
}
Real SwaptionHelper::modelValue() const {
calculate();
swaption_->setPricingEngine(engine_);
return swaption_->NPV();
}
Real SwaptionHelper::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<BlackSwaptionEngine>(
termStructure_, vol, Actual365Fixed(), shift_);
break;
case Normal:
engine = ext::make_shared<BachelierSwaptionEngine>(
termStructure_, vol, Actual365Fixed());
break;
default:
QL_FAIL("can not construct engine: " << volatilityType_);
break;
}
swaption_->setPricingEngine(engine);
Real value = swaption_->NPV();
swaption_->setPricingEngine(engine_);
return value;
}
void SwaptionHelper::performCalculations() const {
Calendar calendar = index_->fixingCalendar();
Date exerciseDate = exerciseDate_;
if (exerciseDate == Date())
exerciseDate = calendar.advance(termStructure_->referenceDate(),
maturity_,
index_->businessDayConvention());
Date startDate;
if (settlementDays_ == Null<Size>()) {
startDate = index_->valueDate(index_->fixingCalendar().adjust(exerciseDate));
} else {
startDate = calendar.advance(exerciseDate,
index_->fixingDays(), Days,
index_->businessDayConvention());
}
Date endDate = endDate_;
if (endDate == Date())
endDate = calendar.advance(startDate, length_,
index_->businessDayConvention());
Schedule fixedSchedule(startDate, endDate, fixedLegTenor_, calendar,
index_->businessDayConvention(),
index_->businessDayConvention(),
DateGeneration::Forward, false);
Schedule floatSchedule(startDate, endDate, index_->tenor(), calendar,
index_->businessDayConvention(),
index_->businessDayConvention(),
DateGeneration::Forward, false);
auto swapEngine = ext::make_shared<DiscountingSwapEngine>(termStructure_, false);
Swap::Type type = Swap::Receiver;
ext::shared_ptr<Exercise> exercise(new EuropeanExercise(exerciseDate));
auto temp = makeSwap(fixedSchedule, floatSchedule, 0.0, type);
temp->setPricingEngine(swapEngine);
Real forward = temp->fairRate();
if (strike_ == Null<Real>()) {
exerciseRate_ = forward;
} else {
exerciseRate_ = strike_;
type = strike_ <= forward ? Swap::Receiver : Swap::Payer;
}
swap_ = makeSwap(fixedSchedule, floatSchedule, exerciseRate_, type);
swap_->setPricingEngine(swapEngine);
swaption_ = ext::make_shared<Swaption>(swap_, exercise);
BlackCalibrationHelper::performCalculations();
}
ext::shared_ptr<FixedVsFloatingSwap> SwaptionHelper::makeSwap(Schedule fixedSchedule,
Schedule floatSchedule,
Rate exerciseRate,
Swap::Type type) const {
auto onIndex = ext::dynamic_pointer_cast<OvernightIndex>(index_);
if (onIndex) {
return ext::make_shared<OvernightIndexedSwap>(
type, nominal_, std::move(fixedSchedule), exerciseRate, fixedLegDayCounter_,
std::move(floatSchedule), onIndex, 0.0, 0, Following,
Calendar(), true, averagingMethod_);
} else {
return ext::make_shared<VanillaSwap>(type, nominal_, std::move(fixedSchedule), exerciseRate,
fixedLegDayCounter_, std::move(floatSchedule), index_, 0.0,
floatingLegDayCounter_);
}
}
}
|
