protected override void performCalculations()
{
Period indexTenor = index_.tenor();
double fixedRate = 0.04; // dummy value
Date startDate, maturity;
if (includeFirstSwaplet_)
{
startDate = termStructure_.link.referenceDate();
maturity = termStructure_.link.referenceDate() + length_;
}
else
{
startDate = termStructure_.link.referenceDate() + indexTenor;
maturity = termStructure_.link.referenceDate() + length_;
}
IborIndex dummyIndex = new IborIndex("dummy",
indexTenor,
index_.fixingDays(),
index_.currency(),
index_.fixingCalendar(),
index_.businessDayConvention(),
index_.endOfMonth(),
termStructure_.link.dayCounter(),
termStructure_);
InitializedList <double> nominals = new InitializedList <double>(1, 1.0);
Schedule floatSchedule = new Schedule(startDate, maturity,
index_.tenor(), index_.fixingCalendar(),
index_.businessDayConvention(),
index_.businessDayConvention(),
DateGeneration.Rule.Forward, false);
List <CashFlow> floatingLeg = new IborLeg(floatSchedule, index_)
.withFixingDays(0)
.withNotionals(nominals)
.withPaymentAdjustment(index_.businessDayConvention());
Schedule fixedSchedule = new Schedule(startDate, maturity, new Period(fixedLegFrequency_),
index_.fixingCalendar(),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Forward, false);
List <CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedLegDayCounter_)
.withNotionals(nominals)
.withPaymentAdjustment(index_.businessDayConvention());
Swap swap = new Swap(floatingLeg, fixedLeg);
swap.setPricingEngine(new DiscountingSwapEngine(termStructure_, false));
double fairRate = fixedRate - (double)(swap.NPV() / (swap.legBPS(1) / 1.0e-4));
cap_ = new Cap(floatingLeg, new InitializedList <double>(1, fairRate));
base.performCalculations();
}
public Swap value()
{
Date startDate;
if (effectiveDate_ != null)
{
startDate = effectiveDate_;
}
else
{
int fixingDays = iborIndex_.fixingDays();
Date refDate = Settings.evaluationDate();
// if the evaluation date is not a business day
// then move to the next business day
refDate = floatCalendar_.adjust(refDate);
Date spotDate = floatCalendar_.advance(refDate, new Period(fixingDays, TimeUnit.Days));
startDate = spotDate + forwardStart_;
}
Date terminationDate = maturityDate_ == null ? startDate + swapTenor_ : maturityDate_;
Schedule cmsSchedule = new Schedule(startDate, terminationDate,
cmsTenor_, cmsCalendar_,
cmsConvention_,
cmsTerminationDateConvention_,
cmsRule_, cmsEndOfMonth_,
cmsFirstDate_, cmsNextToLastDate_);
Schedule floatSchedule = new Schedule(startDate, terminationDate,
floatTenor_, floatCalendar_,
floatConvention_,
floatTerminationDateConvention_,
floatRule_, floatEndOfMonth_,
floatFirstDate_, floatNextToLastDate_);
List <CashFlow> cmsLeg = new CmsLeg(cmsSchedule, swapIndex_)
.withPaymentDayCounter(cmsDayCount_)
.withFixingDays(swapIndex_.fixingDays())
.withGearings(cmsGearing_)
.withSpreads(cmsSpread_)
.withCaps(cmsCap_)
.withFloors(cmsFloor_)
.withNotionals(nominal_)
.withPaymentAdjustment(cmsConvention_);
if (couponPricer_ != null)
{
Utils.setCouponPricer(cmsLeg, couponPricer_);
}
double?usedSpread = iborSpread_;
if (useAtmSpread_)
{
Utils.QL_REQUIRE(!iborIndex_.forwardingTermStructure().empty(), () =>
"null term structure set to this instance of " + iborIndex_.name());
Utils.QL_REQUIRE(!swapIndex_.forwardingTermStructure().empty(), () =>
"null term structure set to this instance of " + swapIndex_.name());
Utils.QL_REQUIRE(couponPricer_ != null, () => "no CmsCouponPricer set (yet)");
List <CashFlow> fLeg = new IborLeg(floatSchedule, iborIndex_)
.withPaymentDayCounter(floatDayCount_)
.withFixingDays(iborIndex_.fixingDays())
.withCaps(iborCap_)
.withFloors(iborFloor_)
.withNotionals(nominal_)
.withPaymentAdjustment(floatConvention_);
if (iborCouponPricer_ != null)
{
Utils.setCouponPricer(fLeg, iborCouponPricer_);
}
Swap temp = new Swap(cmsLeg, fLeg);
temp.setPricingEngine(engine_);
double?npv = temp.legNPV(0) + temp.legNPV(1);
usedSpread = -npv / temp.legBPS(1) * 1e-4;
}
else
{
Utils.QL_REQUIRE(usedSpread.HasValue, () => "null spread set");
}
List <CashFlow> floatLeg = new IborLeg(floatSchedule, iborIndex_)
.withSpreads(usedSpread.Value)
.withPaymentDayCounter(floatDayCount_)
.withFixingDays(iborIndex_.fixingDays())
.withGearings(iborGearing_)
.withCaps(iborCap_)
.withFloors(iborFloor_)
.withPaymentAdjustment(floatConvention_)
.withNotionals(nominal_);
if (iborCouponPricer_ != null)
{
Utils.setCouponPricer(floatLeg, iborCouponPricer_);
}
Swap swap;
if (payCms_)
{
swap = new Swap(cmsLeg, floatLeg);
}
else
{
swap = new Swap(floatLeg, cmsLeg);
}
swap.setPricingEngine(engine_);
return(swap);
}
public CapHelper(Period length,
Handle <Quote> volatility,
IborIndex index,
// data for ATM swap-rate calculation
Frequency fixedLegFrequency,
DayCounter fixedLegDayCounter,
bool includeFirstSwaplet,
Handle <YieldTermStructure> termStructure,
bool calibrateVolatility /*= false*/)
: base(volatility, termStructure, calibrateVolatility)
{
Period indexTenor = index.tenor();
double fixedRate = 0.04; // dummy value
Date startDate, maturity;
if (includeFirstSwaplet)
{
startDate = termStructure.link.referenceDate();
maturity = termStructure.link.referenceDate() + length;
}
else
{
startDate = termStructure.link.referenceDate() + indexTenor;
maturity = termStructure.link.referenceDate() + length;
}
IborIndex dummyIndex = new
IborIndex("dummy",
indexTenor,
index.fixingDays(),
index.currency(),
index.fixingCalendar(),
index.businessDayConvention(),
index.endOfMonth(),
termStructure.link.dayCounter(),
termStructure);
List <double> nominals = new InitializedList <double>(1, 1.0);
Schedule floatSchedule = new Schedule(startDate, maturity,
index.tenor(), index.fixingCalendar(),
index.businessDayConvention(),
index.businessDayConvention(),
DateGeneration.Rule.Forward, false);
List <CashFlow> floatingLeg;
IborLeg iborLeg = (IborLeg) new IborLeg(floatSchedule, index)
.withFixingDays(0)
.withNotionals(nominals)
.withPaymentAdjustment(index.businessDayConvention());
floatingLeg = iborLeg.value();
Schedule fixedSchedule = new Schedule(startDate, maturity, new Period(fixedLegFrequency),
index.fixingCalendar(),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Forward, false);
List <CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedLegDayCounter)
.withNotionals(nominals)
.withPaymentAdjustment(index.businessDayConvention());
Swap swap = new Swap(floatingLeg, fixedLeg);
swap.setPricingEngine(new DiscountingSwapEngine(termStructure));
double bp = 1.0e-4;
double fairRate = fixedRate - (double)(swap.NPV() / (swap.legBPS(1) / bp));
List <double> exerciceRate = new InitializedList <double>(1, fairRate);
cap_ = new Cap(floatingLeg, exerciceRate);
marketValue_ = blackPrice(volatility_.link.value());
}
