public override void validate()
{
PercentageStrikePayoff moneyness = payoff as PercentageStrikePayoff;
Utils.QL_REQUIRE(moneyness != null, () => "wrong payoff type");
Utils.QL_REQUIRE(moneyness.strike() > 0.0, () => "negative or zero moneyness given");
Utils.QL_REQUIRE(accruedCoupon == null || accruedCoupon >= 0.0, () => "negative accrued coupon");
Utils.QL_REQUIRE(localCap == null || localCap >= 0.0, () => "negative local cap");
Utils.QL_REQUIRE(localFloor == null || localFloor >= 0.0, () => "negative local floor");
Utils.QL_REQUIRE(globalCap == null || globalCap >= 0.0, () => "negative global cap");
Utils.QL_REQUIRE(globalFloor == null || globalFloor >= 0.0, () => "negative global floor");
Utils.QL_REQUIRE(!resetDates.empty(), () => "no reset dates given");
for (int i = 0; i < resetDates.Count; ++i)
{
Utils.QL_REQUIRE(exercise.lastDate() > resetDates[i], () => "reset date greater or equal to maturity");
Utils.QL_REQUIRE(i == 0 || resetDates[i] > resetDates[i - 1], () => "unsorted reset dates");
}
}
public CliquetOption(PercentageStrikePayoff payoff, EuropeanExercise maturity, List <Date> resetDates)
: base(payoff, maturity)
{
resetDates_ = new List <Date>(resetDates);
}
public override void calculate()
{
Utils.QL_REQUIRE(arguments_.accruedCoupon == null &&
arguments_.lastFixing == null, () =>
"this engine cannot price options already started");
Utils.QL_REQUIRE(arguments_.localCap == null &&
arguments_.localFloor == null &&
arguments_.globalCap == null &&
arguments_.globalFloor == null, () =>
"this engine cannot price capped/floored options");
Utils.QL_REQUIRE(arguments_.exercise.type() == Exercise.Type.European, () => "not an European option");
PercentageStrikePayoff moneyness = arguments_.payoff as PercentageStrikePayoff;
Utils.QL_REQUIRE(moneyness != null, () => "wrong payoff given");
List <Date> resetDates = arguments_.resetDates;
resetDates.Add(arguments_.exercise.lastDate());
double underlying = process_.stateVariable().link.value();
Utils.QL_REQUIRE(underlying > 0.0, () => "negative or null underlying");
StrikedTypePayoff payoff = new PlainVanillaPayoff(moneyness.optionType(), 1.0);
results_.value = 0.0;
results_.delta = results_.gamma = 0.0;
results_.theta = 0.0;
results_.rho = results_.dividendRho = 0.0;
results_.vega = 0.0;
for (int i = 1; i < resetDates.Count; i++)
{
double discount = process_.riskFreeRate().link.discount(resetDates[i - 1]);
double rDiscount = process_.riskFreeRate().link.discount(resetDates[i]) /
process_.riskFreeRate().link.discount(resetDates[i - 1]);
double qDiscount = process_.dividendYield().link.discount(resetDates[i]) /
process_.dividendYield().link.discount(resetDates[i - 1]);
double forward = (1.0 / moneyness.strike()) * qDiscount / rDiscount;
double variance = process_.blackVolatility().link.blackForwardVariance(
resetDates[i - 1], resetDates[i],
underlying * moneyness.strike());
BlackCalculator black = new BlackCalculator(payoff, forward, Math.Sqrt(variance), rDiscount);
DayCounter rfdc = process_.riskFreeRate().link.dayCounter();
DayCounter divdc = process_.dividendYield().link.dayCounter();
DayCounter voldc = process_.blackVolatility().link.dayCounter();
results_.value += discount * moneyness.strike() * black.value();
results_.delta += 0.0;
results_.gamma += 0.0;
results_.theta += process_.riskFreeRate().link.forwardRate(
resetDates[i - 1], resetDates[i], rfdc, Compounding.Continuous, Frequency.NoFrequency).value() *
discount * moneyness.strike() * black.value();
double dt = rfdc.yearFraction(resetDates[i - 1], resetDates[i]);
double t = rfdc.yearFraction(process_.riskFreeRate().link.referenceDate(), resetDates[i - 1]);
results_.rho += discount * moneyness.strike() * (black.rho(dt) - t * black.value());
dt = divdc.yearFraction(resetDates[i - 1], resetDates[i]);
results_.dividendRho += discount * moneyness.strike() * black.dividendRho(dt);
dt = voldc.yearFraction(resetDates[i - 1], resetDates[i]);
results_.vega += discount * moneyness.strike() * black.vega(dt);
}
}