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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014, 2015 Michael von den Driesch
Copyright (C) 2019 Wojciech Ślusarski
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/pricingengines/blackformula.hpp>
#include <ql/pricingengines/capfloor/bacheliercapfloorengine.hpp>
#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>
#include <ql/termstructures/volatility/optionlet/strippedoptionletadapter.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <utility>
namespace QuantLib {
BachelierCapFloorEngine::BachelierCapFloorEngine(Handle<YieldTermStructure> discountCurve,
Volatility v,
const DayCounter& dc)
: discountCurve_(std::move(discountCurve)),
vol_(ext::shared_ptr<OptionletVolatilityStructure>(
new ConstantOptionletVolatility(0, NullCalendar(), Following, v, dc))) {
registerWith(discountCurve_);
}
BachelierCapFloorEngine::BachelierCapFloorEngine(Handle<YieldTermStructure> discountCurve,
const Handle<Quote>& v,
const DayCounter& dc)
: discountCurve_(std::move(discountCurve)),
vol_(ext::shared_ptr<OptionletVolatilityStructure>(
new ConstantOptionletVolatility(0, NullCalendar(), Following, v, dc))) {
registerWith(discountCurve_);
registerWith(vol_);
}
BachelierCapFloorEngine::BachelierCapFloorEngine(
Handle<YieldTermStructure> discountCurve, Handle<OptionletVolatilityStructure> volatility)
: discountCurve_(std::move(discountCurve)), vol_(std::move(volatility)) {
QL_REQUIRE(vol_->volatilityType() == Normal,
"BachelierCapFloorEngine should only be used for vol "
"surfaces stripped with normal model. Options were stripped "
"with model "
<< vol_->volatilityType());
registerWith(discountCurve_);
registerWith(vol_);
}
void BachelierCapFloorEngine::calculate() const {
Real value = 0.0;
Real vega = 0.0;
Size optionlets = arguments_.startDates.size();
std::vector<Real> values(optionlets, 0.0);
std::vector<Real> deltas(optionlets, 0.0);
std::vector<Real> vegas(optionlets, 0.0);
std::vector<Real> stdDevs(optionlets, 0.0);
std::vector<DiscountFactor> discountFactors(optionlets, 0.0);
CapFloor::Type type = arguments_.type;
Date today = vol_->referenceDate();
Date settlement = discountCurve_->referenceDate();
for (Size i=0; i<optionlets; ++i) {
Date paymentDate = arguments_.endDates[i];
// handling of settlementDate, npvDate and includeSettlementFlows
// should be implemented.
// For the time being just discard expired caplets
if (paymentDate > settlement) {
DiscountFactor d = discountCurve_->discount(paymentDate);
discountFactors[i] = d;
Real accrualFactor = arguments_.nominals[i] *
arguments_.gearings[i] *
arguments_.accrualTimes[i];
Real discountedAccrual = d * accrualFactor;
Rate forward = arguments_.forwards[i];
Date fixingDate = arguments_.fixingDates[i];
Time sqrtTime = 0.0;
if (fixingDate > today)
sqrtTime = std::sqrt(vol_->timeFromReference(fixingDate));
if (type == CapFloor::Cap || type == CapFloor::Collar) {
Rate strike = arguments_.capRates[i];
if (sqrtTime>0.0) {
stdDevs[i] = std::sqrt(vol_->blackVariance(fixingDate,
strike));
vegas[i] = bachelierBlackFormulaStdDevDerivative(strike,
forward, stdDevs[i], discountedAccrual) * sqrtTime;
deltas[i] = bachelierBlackFormulaAssetItmProbability(Option::Call,
strike, forward, stdDevs[i]);
}
// include caplets with past fixing date
values[i] = bachelierBlackFormula(Option::Call,
strike, forward, stdDevs[i], discountedAccrual);
}
if (type == CapFloor::Floor || type == CapFloor::Collar) {
Rate strike = arguments_.floorRates[i];
Real floorletVega = 0.0;
Real floorletDelta = 0.0;
if (sqrtTime>0.0) {
stdDevs[i] = std::sqrt(vol_->blackVariance(fixingDate,
strike));
floorletVega = bachelierBlackFormulaStdDevDerivative(strike,
forward, stdDevs[i], discountedAccrual) * sqrtTime;
floorletDelta = Integer(Option::Put) * bachelierBlackFormulaAssetItmProbability(
Option::Put, strike, forward,
stdDevs[i]);
}
Real floorlet = bachelierBlackFormula(Option::Put,
strike, forward, stdDevs[i], discountedAccrual);
if (type == CapFloor::Floor) {
values[i] = floorlet;
vegas[i] = floorletVega;
deltas[i] = floorletDelta;
} else {
// a collar is long a cap and short a floor
values[i] -= floorlet;
vegas[i] -= floorletVega;
deltas[i] -= floorletDelta;
}
}
value += values[i];
vega += vegas[i];
}
}
results_.value = value;
results_.additionalResults["vega"] = vega;
results_.additionalResults["optionletsPrice"] = values;
results_.additionalResults["optionletsVega"] = vegas;
results_.additionalResults["optionletsDelta"] = deltas;
results_.additionalResults["optionletsDiscountFactor"] = discountFactors;
results_.additionalResults["optionletsAtmForward"] = arguments_.forwards;
if (type != CapFloor::Collar)
results_.additionalResults["optionletsStdDev"] = stdDevs;
}
}
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