// LazyObject interface
protected override void performCalculations()
{
//// optionletStripper data
optionletDates_ = new List <Date>(stripper1_.optionletFixingDates());
optionletPaymentDates_ = new List <Date>(stripper1_.optionletPaymentDates());
optionletAccrualPeriods_ = new List <double>(stripper1_.optionletAccrualPeriods());
optionletTimes_ = new List <double>(stripper1_.optionletFixingTimes());
atmOptionletRate_ = new List <double>(stripper1_.atmOptionletRates());
for (int i = 0; i < optionletTimes_.Count; ++i)
{
optionletStrikes_[i] = new List <double>(stripper1_.optionletStrikes(i));
optionletVolatilities_[i] = new List <double>(stripper1_.optionletVolatilities(i));
}
// atmCapFloorTermVolCurve data
List <Period> optionExpiriesTenors = new List <Period>(atmCapFloorTermVolCurve_.link.optionTenors());
List <double> optionExpiriesTimes = new List <double>(atmCapFloorTermVolCurve_.link.optionTimes());
for (int j = 0; j < nOptionExpiries_; ++j)
{
double atmOptionVol = atmCapFloorTermVolCurve_.link.volatility(optionExpiriesTimes[j], 33.3333); // dummy strike
BlackCapFloorEngine engine = new BlackCapFloorEngine(iborIndex_.forwardingTermStructure(), atmOptionVol, dc_);
CapFloor test = new MakeCapFloor(CapFloorType.Cap, optionExpiriesTenors[j], iborIndex_, null,
new Period(0, TimeUnit.Days)).withPricingEngine(engine).value();
caps_.Add(test);
atmCapFloorStrikes_[j] = caps_[j].atmRate(iborIndex_.forwardingTermStructure());
atmCapFloorPrices_[j] = caps_[j].NPV();
}
spreadsVolImplied_ = spreadsVolImplied();
StrippedOptionletAdapter adapter = new StrippedOptionletAdapter(stripper1_);
double unadjustedVol, adjustedVol;
for (int j = 0; j < nOptionExpiries_; ++j)
{
for (int i = 0; i < optionletVolatilities_.Count; ++i)
{
if (i <= caps_[j].floatingLeg().Count)
{
unadjustedVol = adapter.volatility(optionletTimes_[i], atmCapFloorStrikes_[j]);
adjustedVol = unadjustedVol + spreadsVolImplied_[j];
var previous = optionletStrikes_[i].FindIndex(x => x >= atmCapFloorStrikes_[j]);
int insertIndex = previous;
optionletStrikes_[i].Insert(insertIndex, atmCapFloorStrikes_[j]);
optionletVolatilities_[i].Insert(insertIndex, adjustedVol);
}
}
}
}
public ObjectiveFunction(OptionletStripper1 optionletStripper1, CapFloor cap, double targetValue)
{
cap_ = cap;
targetValue_ = targetValue;
OptionletVolatilityStructure adapter = new StrippedOptionletAdapter(optionletStripper1);
// set an implausible value, so that calculation is forced
// at first operator()(Volatility x) call
spreadQuote_ = new SimpleQuote(-1.0);
OptionletVolatilityStructure spreadedAdapter = new SpreadedOptionletVolatility(
new Handle <OptionletVolatilityStructure>(adapter), new Handle <Quote>(spreadQuote_));
BlackCapFloorEngine engine = new BlackCapFloorEngine(optionletStripper1.iborIndex().forwardingTermStructure(),
new Handle <OptionletVolatilityStructure>(spreadedAdapter));
cap_.setPricingEngine(engine);
}
