/*! used internally to collect notional information from the
* coupons. It should not be called by derived classes,
* unless they already provide redemption cash flows (in
* which case they must set up the redemptions_ data member
* independently). It will fill the notionalSchedule_ and
* notionals_ data members.
*/
protected void calculateNotionalsFromCashflows()
{
notionalSchedule_.Clear();
notionals_.Clear();
Date lastPaymentDate = new Date();
notionalSchedule_.Add(new Date());
for (int i = 0; i < cashflows_.Count; ++i)
{
Coupon coupon = cashflows_[i] as Coupon;
if (coupon == null)
{
continue;
}
double notional = coupon.nominal();
// we add the notional only if it is the first one...
if (notionals_.empty())
{
notionals_.Add(coupon.nominal());
lastPaymentDate = coupon.date();
}
else if (!Utils.close(notional, notionals_.Last()))
{
// ...or if it has changed.
Utils.QL_REQUIRE(notional < notionals_.Last(), () => "increasing coupon notionals");
notionals_.Add(coupon.nominal());
// in this case, we also add the last valid date for
// the previous one...
notionalSchedule_.Add(lastPaymentDate);
// ...and store the candidate for this one.
lastPaymentDate = coupon.date();
}
else
{
// otherwise, we just extend the valid range of dates
// for the current notional.
lastPaymentDate = coupon.date();
}
}
Utils.QL_REQUIRE(!notionals_.empty(), () => "no coupons provided");
notionals_.Add(0.0);
notionalSchedule_.Add(lastPaymentDate);
}
//===========================================================================//
// GFunctionWithShifts //
//===========================================================================//
public GFunctionWithShifts(CmsCoupon coupon, Handle <Quote> meanReversion)
{
meanReversion_ = meanReversion;
calibratedShift_ = 0.03;
tmpRs_ = 10000000.0;
accuracy_ = 1.0e-14;
SwapIndex swapIndex = coupon.swapIndex();
VanillaSwap swap = swapIndex.underlyingSwap(coupon.fixingDate());
swapRateValue_ = swap.fairRate();
objectiveFunction_ = new ObjectiveFunction(this, swapRateValue_);
Schedule schedule = swap.fixedSchedule();
Handle <YieldTermStructure> rateCurve = swapIndex.forwardingTermStructure();
DayCounter dc = swapIndex.dayCounter();
swapStartTime_ = dc.yearFraction(rateCurve.link.referenceDate(), schedule.startDate());
discountAtStart_ = rateCurve.link.discount(schedule.startDate());
double paymentTime = dc.yearFraction(rateCurve.link.referenceDate(), coupon.date());
shapedPaymentTime_ = shapeOfShift(paymentTime);
List <CashFlow> fixedLeg = new List <CashFlow>(swap.fixedLeg());
int n = fixedLeg.Count;
shapedSwapPaymentTimes_ = new List <double>();
swapPaymentDiscounts_ = new List <double>();
accruals_ = new List <double>();
for (int i = 0; i < n; ++i)
{
Coupon coupon1 = fixedLeg[i] as Coupon;
accruals_.Add(coupon1.accrualPeriod());
Date paymentDate = new Date(coupon1.date().serialNumber());
double swapPaymentTime = dc.yearFraction(rateCurve.link.referenceDate(), paymentDate);
shapedSwapPaymentTimes_.Add(shapeOfShift(swapPaymentTime));
swapPaymentDiscounts_.Add(rateCurve.link.discount(paymentDate));
}
discountRatio_ = swapPaymentDiscounts_.Last() / discountAtStart_;
}
public void visit(Coupon c)
{
double bps = c.nominal() *
c.accrualPeriod() *
discountCurve_.discount(c.date());
bps_ += bps;
}
public void visit(Coupon c)
{
result_ += c.accrualPeriod() * c.nominal() * termStructure_.discount(c.date());
}
public override void initialize(FloatingRateCoupon coupon)
{
coupon_ = coupon as CmsCoupon;
Utils.QL_REQUIRE(coupon_ != null, () => "CMS coupon needed");
gearing_ = coupon_.gearing();
spread_ = coupon_.spread();
fixingDate_ = coupon_.fixingDate();
paymentDate_ = coupon_.date();
swapIndex_ = coupon_.swapIndex();
forwardCurve_ = swapIndex_.forwardingTermStructure();
if (swapIndex_.exogenousDiscount())
{
discountCurve_ = swapIndex_.discountingTermStructure();
}
else
{
discountCurve_ = forwardCurve_;
}
// if no coupon discount curve is given just use the discounting curve
// from the swap index. for rate calculation this curve cancels out in
// the computation, so e.g. the discounting swap engine will produce
// correct results, even if the couponDiscountCurve is not set here.
// only the price member function in this class will be dependent on the
// coupon discount curve.
today_ = QLNet.Settings.evaluationDate();
if (paymentDate_ > today_ && !couponDiscountCurve_.empty())
{
couponDiscountRatio_ = couponDiscountCurve_.link.discount(paymentDate_) /
discountCurve_.link.discount(paymentDate_);
}
else
{
couponDiscountRatio_ = 1.0;
}
spreadLegValue_ = spread_ * coupon_.accrualPeriod() *
discountCurve_.link.discount(paymentDate_) *
couponDiscountRatio_;
if (fixingDate_ > today_)
{
swapTenor_ = swapIndex_.tenor();
swap_ = swapIndex_.underlyingSwap(fixingDate_);
swapRateValue_ = swap_.fairRate();
annuity_ = 1.0E4 * Math.Abs(swap_.fixedLegBPS());
SmileSection sectionTmp = swaptionVolatility().link.smileSection(fixingDate_, swapTenor_);
// adjust bounds by section's shift
shiftedLowerBound_ = settings_.lowerRateBound_ - sectionTmp.shift();
shiftedUpperBound_ = settings_.upperRateBound_ - sectionTmp.shift();
// if the section does not provide an atm level, we enhance it to
// have one, no need to exit with an exception ...
if (sectionTmp.atmLevel() == null)
{
smileSection_ = new AtmSmileSection(sectionTmp, swapRateValue_);
}
else
{
smileSection_ = sectionTmp;
}
// compute linear model's parameters
double gx = 0.0, gy = 0.0;
for (int i = 0; i < swap_.fixedLeg().Count; i++)
{
Coupon c = swap_.fixedLeg()[i] as Coupon;
double yf = c.accrualPeriod();
Date d = c.date();
double pv = yf * discountCurve_.link.discount(d);
gx += pv * GsrG(d);
gy += pv;
}
double gamma = gx / gy;
Date lastd = swap_.fixedLeg().Last().date();
a_ = discountCurve_.link.discount(paymentDate_) *
(gamma - GsrG(paymentDate_)) /
(discountCurve_.link.discount(lastd) * GsrG(lastd) +
swapRateValue_ * gy * gamma);
b_ = discountCurve_.link.discount(paymentDate_) / gy -
a_ * swapRateValue_;
}
}
public void visit(Coupon c) {
result_ += c.accrualPeriod() * c.nominal() * termStructure_.discount(c.date());
}
