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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 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/pricingengines/blackformula.hpp>
#include <ql/pricingengines/inflation/inflationcapfloorengines.hpp>
#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>
#include <utility>
namespace QuantLib {
YoYInflationCapFloorEngine::YoYInflationCapFloorEngine(
ext::shared_ptr<YoYInflationIndex> index,
Handle<YoYOptionletVolatilitySurface> volatility,
Handle<YieldTermStructure> nominalTermStructure)
: index_(std::move(index)), volatility_(std::move(volatility)),
nominalTermStructure_(std::move(nominalTermStructure)) {
registerWith(index_);
registerWith(volatility_);
registerWith(nominalTermStructure_);
}
void YoYInflationCapFloorEngine::setVolatility(
const Handle<YoYOptionletVolatilitySurface> &v) {
if (!volatility_.empty())
unregisterWith(volatility_);
volatility_ = v;
registerWith(volatility_);
update();
}
void YoYInflationCapFloorEngine::calculate() const {
// copy black version then adapt to others
Real value = 0.0;
Size optionlets = arguments_.startDates.size();
std::vector<Real> values(optionlets, 0.0);
std::vector<Real> stdDevs(optionlets, 0.0);
std::vector<Real> forwards(optionlets, 0.0);
YoYInflationCapFloor::Type type = arguments_.type;
auto yoyTS = index()->yoyInflationTermStructure();
Date settlement = nominalTermStructure_->referenceDate();
for (Size i=0; i<optionlets; ++i) {
Date paymentDate = arguments_.payDates[i];
if (paymentDate > settlement) { // discard expired caplets
DiscountFactor d = arguments_.nominals[i] *
arguments_.gearings[i] *
nominalTermStructure_->discount(paymentDate) *
arguments_.accrualTimes[i];
// We explicitly have the index and assume that
// the fixing is natural, i.e. no convexity adjustment.
// If that was required then we would also need
// nominal vols in the pricing engine, i.e. a different engine.
// This also means that we do not need the coupon to have
// a pricing engine to return the swaplet rate and then
// the adjusted fixing in the instrument.
forwards[i] = yoyTS->yoyRate(arguments_.fixingDates[i]);
Rate forward = forwards[i];
Date fixingDate = arguments_.fixingDates[i];
Time sqrtTime = 0.0;
if (fixingDate > volatility_->baseDate()){
sqrtTime = std::sqrt(
volatility_->timeFromBase(fixingDate));
}
if (type == YoYInflationCapFloor::Cap || type == YoYInflationCapFloor::Collar) {
Rate strike = arguments_.capRates[i];
if (sqrtTime>0.0) {
stdDevs[i] = std::sqrt(
volatility_->totalVariance(fixingDate, strike, Period(0,Days)));
}
// sttDev=0 for already-fixed dates so everything on forward
values[i] = optionletImpl(Option::Call, strike,
forward, stdDevs[i], d);
}
if (type == YoYInflationCapFloor::Floor || type == YoYInflationCapFloor::Collar) {
Rate strike = arguments_.floorRates[i];
if (sqrtTime>0.0) {
stdDevs[i] = std::sqrt(
volatility_->totalVariance(fixingDate, strike, Period(0,Days)));
}
Real floorlet = optionletImpl(Option::Put, strike,
forward, stdDevs[i], d);
if (type == YoYInflationCapFloor::Floor) {
values[i] = floorlet;
} else {
// a collar is long a cap and short a floor
values[i] -= floorlet;
}
}
value += values[i];
}
}
results_.value = value;
results_.additionalResults["optionletsPrice"] = values;
results_.additionalResults["optionletsAtmForward"] = forwards;
if (type != YoYInflationCapFloor::Collar)
results_.additionalResults["optionletsStdDev"] = stdDevs;
}
//======================================================================
// pricer implementations
//======================================================================
YoYInflationBlackCapFloorEngine::YoYInflationBlackCapFloorEngine(
const ext::shared_ptr<YoYInflationIndex>& index,
const Handle<YoYOptionletVolatilitySurface>& volatility,
const Handle<YieldTermStructure>& nominalTermStructure)
: YoYInflationCapFloorEngine(index, volatility, nominalTermStructure) {}
Real YoYInflationBlackCapFloorEngine::optionletImpl(Option::Type type, Rate strike,
Rate forward, Real stdDev,
Real d) const
{
return blackFormula(type, strike,
forward, stdDev, d);
}
YoYInflationUnitDisplacedBlackCapFloorEngine
::YoYInflationUnitDisplacedBlackCapFloorEngine(
const ext::shared_ptr<YoYInflationIndex>& index,
const Handle<YoYOptionletVolatilitySurface>& volatility,
const Handle<YieldTermStructure>& nominalTermStructure)
: YoYInflationCapFloorEngine(index, volatility, nominalTermStructure) {}
Real YoYInflationUnitDisplacedBlackCapFloorEngine::optionletImpl(
Option::Type type, Rate strike,
Rate forward, Real stdDev,
Real d) const
{
// could use displacement parameter in blackFormula but this is clearer
return blackFormula(type, strike+1.0,
forward+1.0, stdDev, d);
}
YoYInflationBachelierCapFloorEngine::YoYInflationBachelierCapFloorEngine(
const ext::shared_ptr<YoYInflationIndex>& index,
const Handle<YoYOptionletVolatilitySurface>& volatility,
const Handle<YieldTermStructure>& nominalTermStructure)
: YoYInflationCapFloorEngine(index, volatility, nominalTermStructure) {}
Real YoYInflationBachelierCapFloorEngine::optionletImpl(Option::Type type, Rate strike,
Rate forward, Real stdDev,
Real d) const
{
return bachelierBlackFormula(type, strike,
forward, stdDev, d);
}
}
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