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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) 2013 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/math/solvers1d/brent.hpp>
#include <ql/pricingengines/swaption/gaussian1djamshidianswaptionengine.hpp>
#include <utility>
namespace QuantLib {
class Gaussian1dJamshidianSwaptionEngine::rStarFinder {
public:
rStarFinder(const ext::shared_ptr<Gaussian1dModel>& model,
Real nominal,
const Date& maturityDate,
const Date& valueDate,
std::vector<Date> fixedPayDates,
const std::vector<Real>& amounts,
const Size startIndex)
: strike_(nominal), maturityDate_(maturityDate), valueDate_(valueDate),
startIndex_(startIndex), times_(std::move(fixedPayDates)), amounts_(amounts),
model_(model) {}
Real operator()(Rate y) const {
Real value = strike_;
Size size = times_.size();
for (Size i = startIndex_; i < size; i++) {
Real dbValue = model_->zerobond(times_[i], maturityDate_, y) /
model_->zerobond(valueDate_, maturityDate_, y);
value -= amounts_[i] * dbValue;
}
return value;
}
private:
Real strike_;
Date maturityDate_, valueDate_;
Size startIndex_;
std::vector<Date> times_;
const std::vector<Real> &amounts_;
const ext::shared_ptr<Gaussian1dModel> &model_;
};
void Gaussian1dJamshidianSwaptionEngine::calculate() const {
QL_REQUIRE(arguments_.settlementMethod != Settlement::ParYieldCurve,
"cash settled (ParYieldCurve) swaptions not priced with "
"Gaussian1dJamshidianSwaptionEngine");
QL_REQUIRE(arguments_.exercise->type() == Exercise::European,
"cannot use the Jamshidian decomposition "
"on exotic swaptions");
QL_REQUIRE(arguments_.swap->spread() == 0.0,
"non zero spread (" << arguments_.swap->spread()
<< ") not allowed"); // PC
QL_REQUIRE(arguments_.nominal != Null<Real>(),
"non-constant nominals are not supported yet");
Date referenceDate;
DayCounter dayCounter;
referenceDate = model_->termStructure()->referenceDate();
dayCounter = model_->termStructure()->dayCounter();
std::vector<Real> amounts(arguments_.fixedCoupons);
amounts.back() += arguments_.nominal;
Size startIndex = std::upper_bound(arguments_.fixedResetDates.begin(),
arguments_.fixedResetDates.end(),
arguments_.exercise->date(0) - 1) -
arguments_.fixedResetDates.begin();
// only consider coupons with start date >= exercise dates
rStarFinder finder(*model_, arguments_.nominal,
arguments_.exercise->date(0),
arguments_.fixedResetDates[startIndex],
arguments_.fixedPayDates, amounts, startIndex);
Brent s1d;
Rate minStrike = -8.0;
Rate maxStrike = 8.0;
s1d.setMaxEvaluations(10000);
s1d.setLowerBound(minStrike);
s1d.setUpperBound(maxStrike);
Rate rStar = s1d.solve(finder, 1e-8, 0.00, minStrike,
maxStrike); // this is actually yStar
Option::Type w =
arguments_.type == Swap::Payer ? Option::Put : Option::Call;
Size size = arguments_.fixedCoupons.size();
Real value = 0.0;
for (Size i = startIndex; i < size; i++) {
// Real fixedPayTime =
// dayCounter.yearFraction(referenceDate,arguments_.fixedPayDates[i]);
Real strike =
model_->zerobond(arguments_.fixedPayDates[i],
arguments_.exercise->date(0), rStar) /
model_->zerobond(arguments_.fixedResetDates[startIndex],
arguments_.exercise->date(0), rStar);
Real dboValue =
model_->zerobondOption(w, arguments_.exercise->date(0),
arguments_.fixedResetDates[startIndex],
arguments_.fixedPayDates[i], strike);
value += amounts[i] * dboValue;
}
results_.value = value;
}
}
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