Ejemplo n.º 1
0
 public DigitalIborCoupon(IborCoupon underlying,
                          double?callStrike              = null,
                          Position.Type callPosition     = Position.Type.Long,
                          bool isCallATMIncluded         = false,
                          double?callDigitalPayoff       = null,
                          double?putStrike               = null,
                          Position.Type putPosition      = Position.Type.Long,
                          bool isPutATMIncluded          = false,
                          double?putDigitalPayoff        = null,
                          DigitalReplication replication = null)
     : base(underlying, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, putStrike, putPosition, isPutATMIncluded, putDigitalPayoff, replication)
 {
 }
Ejemplo n.º 2
0
        public static List <CashFlow> FloatingDigitalLeg <InterestRateIndexType, FloatingCouponType, DigitalCouponType>(
            List <double> nominals,
            Schedule schedule,
            InterestRateIndexType index,
            DayCounter paymentDayCounter,
            BusinessDayConvention paymentAdj,
            List <int> fixingDays,
            List <double> gearings,
            List <double> spreads,
            bool isInArrears,
            List <double> callStrikes,
            Position.Type callPosition,
            bool isCallATMIncluded,
            List <double> callDigitalPayoffs,
            List <double> putStrikes,
            Position.Type putPosition,
            bool isPutATMIncluded,
            List <double> putDigitalPayoffs,
            DigitalReplication replication)
            where InterestRateIndexType : InterestRateIndex, new ()
            where FloatingCouponType : FloatingRateCoupon, new ()
            where DigitalCouponType : DigitalCoupon, new ()
        {
            int n = schedule.Count;

            Utils.QL_REQUIRE(!nominals.empty(), () => "no notional given");
            Utils.QL_REQUIRE(nominals.Count <= n, () => "too many nominals (" + nominals.Count + "), only " + n + " required");
            if (gearings != null)
            {
                Utils.QL_REQUIRE(gearings.Count <= n, () => "too many gearings (" + gearings.Count + "), only " + n + " required");
            }
            if (spreads != null)
            {
                Utils.QL_REQUIRE(spreads.Count <= n, () => "too many spreads (" + spreads.Count + "), only " + n + " required");
            }
            if (callStrikes != null)
            {
                Utils.QL_REQUIRE(callStrikes.Count <= n, () => "too many nominals (" + callStrikes.Count + "), only " + n + " required");
            }
            if (putStrikes != null)
            {
                Utils.QL_REQUIRE(putStrikes.Count <= n, () => "too many nominals (" + putStrikes.Count + "), only " + n + " required");
            }

            List <CashFlow> leg = new List <CashFlow>();

            // the following is not always correct
            Calendar calendar = schedule.calendar();

            Date refStart, start, refEnd, end;
            Date paymentDate;

            for (int i = 0; i < n; ++i)
            {
                refStart    = start = schedule.date(i);
                refEnd      = end = schedule.date(i + 1);
                paymentDate = calendar.adjust(end, paymentAdj);
                if (i == 0 && !schedule.isRegular(i + 1))
                {
                    BusinessDayConvention bdc = schedule.businessDayConvention();
                    refStart = calendar.adjust(end - schedule.tenor(), bdc);
                }
                if (i == n - 1 && !schedule.isRegular(i + 1))
                {
                    BusinessDayConvention bdc = schedule.businessDayConvention();
                    refEnd = calendar.adjust(start + schedule.tenor(), bdc);
                }
                if (Utils.Get(gearings, i, 1.0).IsEqual(0.0))
                {
                    // fixed coupon
                    leg.Add(new FixedRateCoupon(paymentDate, Utils.Get(nominals, i, 1.0),
                                                Utils.Get(spreads, i, 1.0),
                                                paymentDayCounter,
                                                start, end, refStart, refEnd));
                }
                else
                {
                    // floating digital coupon
                    FloatingCouponType underlying = FastActivator <FloatingCouponType> .Create().factory(
                        Utils.Get(nominals, i, 1.0),
                        paymentDate, start, end,
                        Utils.Get(fixingDays, i, index.fixingDays()),
                        index,
                        Utils.Get(gearings, i, 1.0),
                        Utils.Get(spreads, i, 0.0),
                        refStart, refEnd,
                        paymentDayCounter, isInArrears) as FloatingCouponType;

                    DigitalCouponType digitalCoupon = FastActivator <DigitalCouponType> .Create().factory(
                        underlying,
                        Utils.toNullable(Utils.Get(callStrikes, i, Double.MinValue)),
                        callPosition,
                        isCallATMIncluded,
                        Utils.toNullable(Utils.Get(callDigitalPayoffs, i, Double.MinValue)),
                        Utils.toNullable(Utils.Get(putStrikes, i, Double.MinValue)),
                        putPosition,
                        isPutATMIncluded,
                        Utils.toNullable(Utils.Get(putDigitalPayoffs, i, Double.MinValue)),
                        replication) as DigitalCouponType;

                    leg.Add(digitalCoupon);
                }
            }
            return(leg);
        }
Ejemplo n.º 3
0
 // Factory - for Leg generators
 public virtual CashFlow factory(CmsCoupon underlying, double?callStrike, Position.Type callPosition, bool isCallATMIncluded, double?callDigitalPayoff, double?putStrike, Position.Type putPosition, bool isPutATMIncluded, double?putDigitalPayoff, DigitalReplication replication)
 {
     return(new DigitalCmsCoupon(underlying, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, putStrike, putPosition, isPutATMIncluded, putDigitalPayoff, replication));
 }
Ejemplo n.º 4
0
 public DigitalCmsLeg withReplication(DigitalReplication replication)
 {
     replication_ = replication;
     return(this);
 }
Ejemplo n.º 5
0
        //! Constructors
        //! general constructor
        public DigitalCoupon(FloatingRateCoupon underlying,
                             double?callStrike              = null,
                             Position.Type callPosition     = Position.Type.Long,
                             bool isCallATMIncluded         = false,
                             double?callDigitalPayoff       = null,
                             double?putStrike               = null,
                             Position.Type putPosition      = Position.Type.Long,
                             bool isPutATMIncluded          = false,
                             double?putDigitalPayoff        = null,
                             DigitalReplication replication = null)
            : base(underlying.date(), underlying.nominal(), underlying.accrualStartDate(), underlying.accrualEndDate(), underlying.fixingDays, underlying.index(), underlying.gearing(), underlying.spread(), underlying.referencePeriodStart, underlying.referencePeriodEnd, underlying.dayCounter(), underlying.isInArrears())
        {
            if (replication == null)
            {
                replication = new DigitalReplication();
            }

            underlying_          = underlying;
            callCsi_             = 0.0;
            putCsi_              = 0.0;
            isCallATMIncluded_   = isCallATMIncluded;
            isPutATMIncluded_    = isPutATMIncluded;
            isCallCashOrNothing_ = false;
            isPutCashOrNothing_  = false;
            callLeftEps_         = replication.gap() / 2.0;
            callRightEps_        = replication.gap() / 2.0;
            putLeftEps_          = replication.gap() / 2.0;
            putRightEps_         = replication.gap() / 2.0;
            hasPutStrike_        = false;
            hasCallStrike_       = false;
            replicationType_     = replication.replicationType();


            Utils.QL_REQUIRE(replication.gap() > 0.0, () => "Non positive epsilon not allowed");

            if (putStrike == null)
            {
                Utils.QL_REQUIRE(putDigitalPayoff == null, () => "Put Cash rate non allowed if put strike is null");
            }

            if (callStrike == null)
            {
                Utils.QL_REQUIRE(callDigitalPayoff == null, () => "Call Cash rate non allowed if call strike is null");
            }

            if (callStrike != null)
            {
                Utils.QL_REQUIRE(callStrike >= 0.0, () => "negative call strike not allowed");

                hasCallStrike_ = true;
                callStrike_    = callStrike.GetValueOrDefault();
                Utils.QL_REQUIRE(callStrike_ >= replication.gap() / 2.0, () => "call strike < eps/2");

                switch (callPosition)
                {
                case Position.Type.Long:
                    callCsi_ = 1.0;
                    break;

                case Position.Type.Short:
                    callCsi_ = -1.0;
                    break;

                default:
                    Utils.QL_FAIL("unsupported position type");
                    break;
                }
                if (callDigitalPayoff != null)
                {
                    callDigitalPayoff_   = callDigitalPayoff.GetValueOrDefault();
                    isCallCashOrNothing_ = true;
                }
            }
            if (putStrike != null)
            {
                Utils.QL_REQUIRE(putStrike >= 0.0, () => "negative put strike not allowed");
                hasPutStrike_ = true;
                putStrike_    = putStrike.GetValueOrDefault();
                switch (putPosition)
                {
                case Position.Type.Long:
                    putCsi_ = 1.0;
                    break;

                case Position.Type.Short:
                    putCsi_ = -1.0;
                    break;

                default:
                    Utils.QL_FAIL("unsupported position type");
                    break;
                }
                if (putDigitalPayoff != null)
                {
                    putDigitalPayoff_   = putDigitalPayoff.GetValueOrDefault();
                    isPutCashOrNothing_ = true;
                }
            }

            switch (replicationType_)
            {
            case Replication.Type.Central:
                // do nothing
                break;

            case Replication.Type.Sub:
                if (hasCallStrike_)
                {
                    switch (callPosition)
                    {
                    case Position.Type.Long:
                        callLeftEps_  = 0.0;
                        callRightEps_ = replication.gap();
                        break;

                    case Position.Type.Short:
                        callLeftEps_  = replication.gap();
                        callRightEps_ = 0.0;
                        break;

                    default:
                        Utils.QL_FAIL("unsupported position type");
                        break;
                    }
                }
                if (hasPutStrike_)
                {
                    switch (putPosition)
                    {
                    case Position.Type.Long:
                        putLeftEps_  = replication.gap();
                        putRightEps_ = 0.0;
                        break;

                    case Position.Type.Short:
                        putLeftEps_  = 0.0;
                        putRightEps_ = replication.gap();
                        break;

                    default:
                        Utils.QL_FAIL("unsupported position type");
                        break;
                    }
                }
                break;

            case Replication.Type.Super:
                if (hasCallStrike_)
                {
                    switch (callPosition)
                    {
                    case Position.Type.Long:
                        callLeftEps_  = replication.gap();
                        callRightEps_ = 0.0;
                        break;

                    case Position.Type.Short:
                        callLeftEps_  = 0.0;
                        callRightEps_ = replication.gap();
                        break;

                    default:
                        Utils.QL_FAIL("unsupported position type");
                        break;
                    }
                }
                if (hasPutStrike_)
                {
                    switch (putPosition)
                    {
                    case Position.Type.Long:
                        putLeftEps_  = 0.0;
                        putRightEps_ = replication.gap();
                        break;

                    case Position.Type.Short:
                        putLeftEps_  = replication.gap();
                        putRightEps_ = 0.0;
                        break;

                    default:
                        Utils.QL_FAIL("unsupported position type");
                        break;
                    }
                }
                break;

            default:
                Utils.QL_FAIL("unsupported position type");
                break;
            }

            underlying.registerWith(update);
        }