public FloatingRateCoupon lastFloatingRateCoupon()
{
CashFlow lastCF = floatingLeg_.Last();
FloatingRateCoupon lastFloatingCoupon = lastCF as FloatingRateCoupon;
return(lastFloatingCoupon);
}
protected override void initializeDates()
{
// dummy ibor index with curve/swap arguments
IborIndex clonedIborIndex = iborIndex_.clone(termStructureHandle_);
// do not pass the spread here, as it might be a Quote i.e. it can dinamically change
swap_ = new MakeVanillaSwap(tenor_, clonedIborIndex, 0.0, fwdStart_)
.withFixedLegDayCount(fixedDayCount_)
.withFixedLegTenor(new Period(fixedFrequency_))
.withFixedLegConvention(fixedConvention_)
.withFixedLegTerminationDateConvention(fixedConvention_)
.withFixedLegCalendar(calendar_)
.withFloatingLegCalendar(calendar_);
earliestDate_ = swap_.startDate();
// Usually...
latestDate_ = swap_.maturityDate();
// ...but due to adjustments, the last floating coupon might
// need a later date for fixing
#if QL_USE_INDEXED_COUPON
FloatingRateCoupon lastFloating = (FloatingRateCoupon)swap_.floatingLeg()[swap_.floatingLeg().Count - 1];
Date fixingValueDate = iborIndex_.valueDate(lastFloating.fixingDate());
Date endValueDate = iborIndex_.maturityDate(fixingValueDate);
latestDate_ = Date.Max(latestDate_, endValueDate);
#endif
}
public override void initialize(FloatingRateCoupon coupon)
{
gearing_ = coupon.gearing();
spread_ = coupon.spread();
accrualPeriod_ = coupon.accrualPeriod();
Utils.QL_REQUIRE(accrualPeriod_.IsNotEqual(0.0), () => "null accrual period");
index_ = coupon.index() as IborIndex;
if (index_ == null)
{
// check if the coupon was right
IborCoupon c = coupon as IborCoupon;
Utils.QL_REQUIRE(c != null, () => "IborCoupon required");
// coupon was right, index is not
Utils.QL_FAIL("IborIndex required");
}
Handle <YieldTermStructure> rateCurve = index_.forwardingTermStructure();
Date paymentDate = coupon.date();
if (paymentDate > rateCurve.link.referenceDate())
{
discount_ = rateCurve.link.discount(paymentDate);
}
else
{
discount_ = 1.0;
}
spreadLegValue_ = spread_ * accrualPeriod_ * discount_;
coupon_ = coupon;
}
public override void initialize(FloatingRateCoupon coupon)
{
coupon_ = coupon as OvernightIndexedCoupon;
if (coupon_ == null)
{
throw new ApplicationException("wrong coupon type");
}
}
public override void initialize(FloatingRateCoupon coupon)
{
coupon_ = coupon as AverageBMACoupon;
if (coupon_ == null)
{
throw new Exception("wrong coupon type");
}
}
//===========================================================================//
// BlackIborCouponPricer //
//===========================================================================//
public override void initialize(FloatingRateCoupon coupon)
{
coupon_ = coupon as IborCoupon;
if (coupon_ == null) throw new ApplicationException("Libor coupon required");
gearing_ = coupon_.gearing();
spread_ = coupon_.spread();
Date paymentDate = coupon_.date();
IborIndex index = coupon_.index() as IborIndex;
Handle<YieldTermStructure> rateCurve = index.forwardingTermStructure();
if (paymentDate > rateCurve.link.referenceDate())
discount_ = rateCurve.link.discount(paymentDate);
else
discount_ = 1.0;
spreadLegValue_ = spread_ * coupon_.accrualPeriod() * discount_;
}
// other
public override void setupArguments(IPricingEngineArguments args)
{
base.setupArguments(args);
AssetSwap.Arguments arguments = args as AssetSwap.Arguments;
if (arguments == null) // it's a swap engine...
{
return;
}
List <CashFlow> fixedCoupons = bondLeg();
arguments.fixedResetDates = arguments.fixedPayDates = new List <Date>(fixedCoupons.Count);
arguments.fixedCoupons = new List <double>(fixedCoupons.Count);
for (int i = 0; i < fixedCoupons.Count; ++i)
{
FixedRateCoupon coupon = fixedCoupons[i] as FixedRateCoupon;
arguments.fixedPayDates[i] = coupon.date();
arguments.fixedResetDates[i] = coupon.accrualStartDate();
arguments.fixedCoupons[i] = coupon.amount();
}
List <CashFlow> floatingCoupons = floatingLeg();
arguments.floatingResetDates = arguments.floatingPayDates =
arguments.floatingFixingDates = new List <Date>(floatingCoupons.Count);
arguments.floatingAccrualTimes = new List <double>(floatingCoupons.Count);
arguments.floatingSpreads = new List <double>(floatingCoupons.Count);
for (int i = 0; i < floatingCoupons.Count; ++i)
{
FloatingRateCoupon coupon = floatingCoupons[i] as FloatingRateCoupon;
arguments.floatingResetDates[i] = coupon.accrualStartDate();
arguments.floatingPayDates[i] = coupon.date();
arguments.floatingFixingDates[i] = coupon.fixingDate();
arguments.floatingAccrualTimes[i] = coupon.accrualPeriod();
arguments.floatingSpreads[i] = coupon.spread();
}
}
public void testAccessViolation()
{
// Testing dynamic cast of coupon in Black pricer...
SavedSettings backup = new SavedSettings();
Date todaysDate = new Date(7, Month.April, 2010);
Date settlementDate = new Date(9, Month.April, 2010);
Settings.setEvaluationDate(todaysDate);
Calendar calendar = new TARGET();
Handle<YieldTermStructure> rhTermStructure = new Handle<YieldTermStructure>(
Utilities.flatRate(settlementDate, 0.04875825, new Actual365Fixed()));
double volatility = 0.10;
Handle<OptionletVolatilityStructure> vol= new Handle<OptionletVolatilityStructure>(
new ConstantOptionletVolatility(2,
calendar,
BusinessDayConvention.ModifiedFollowing,
volatility,
new Actual365Fixed()));
IborIndex index3m =new USDLibor(new Period(3,TimeUnit.Months), rhTermStructure);
Date payDate = new Date(20, Month.December, 2013);
Date startDate = new Date(20, Month.September, 2013);
Date endDate = new Date(20, Month.December, 2013);
double spread = 0.0115;
IborCouponPricer pricer = new BlackIborCouponPricer(vol);
FloatingRateCoupon coupon = new FloatingRateCoupon(100,payDate, startDate, endDate, 2,
index3m, 1.0 , spread / 100);
coupon.setPricer(pricer);
try
{
// this caused an access violation in version 1.0
coupon.amount();
}
catch (Exception )
{
// ok; proper exception thrown
}
}
public CappedFlooredCoupon(FloatingRateCoupon underlying, double?cap = null, double?floor = null)
: base(underlying.nominal(), underlying.date(), underlying.accrualStartDate(), underlying.accrualEndDate(), underlying.fixingDays, underlying.index(), underlying.gearing(), underlying.spread(), underlying.refPeriodStart, underlying.refPeriodEnd, underlying.dayCounter(), underlying.isInArrears())
{
underlying_ = underlying;
isCapped_ = false;
isFloored_ = false;
if (gearing_ > 0)
{
if (cap != null)
{
isCapped_ = true;
cap_ = cap;
}
if (floor != null)
{
floor_ = floor;
isFloored_ = true;
}
}
else
{
if (cap != null)
{
floor_ = cap;
isFloored_ = true;
}
if (floor != null)
{
isCapped_ = true;
cap_ = floor;
}
}
if (isCapped_ && isFloored_)
{
if (!(cap >= floor))
{
throw new ApplicationException("cap level (" + cap + ") less than floor level (" + floor + ")");
}
}
underlying.registerWith(update);
}
public CappedFlooredCoupon(FloatingRateCoupon underlying, double? cap = null, double? floor = null)
: base(underlying.nominal(), underlying.date(), underlying.accrualStartDate(), underlying.accrualEndDate(), underlying.fixingDays, underlying.index(), underlying.gearing(), underlying.spread(), underlying.refPeriodStart, underlying.refPeriodEnd, underlying.dayCounter(), underlying.isInArrears())
{
underlying_ = underlying;
isCapped_ = false;
isFloored_ = false;
if (gearing_ > 0)
{
if (cap != null)
{
isCapped_ = true;
cap_ = cap;
}
if (floor != null)
{
floor_ = floor;
isFloored_ = true;
}
}
else
{
if (cap != null)
{
floor_ = cap;
isFloored_ = true;
}
if (floor != null)
{
isCapped_ = true;
cap_ = floor;
}
}
if (isCapped_ && isFloored_)
if (!(cap >= floor))
throw new ApplicationException("cap level (" + cap + ") less than floor level (" + floor + ")");
underlying.registerWith(update);
}
public override void initialize(FloatingRateCoupon coupon)
{
coupon_ = coupon as RangeAccrualFloatersCoupon;
Utils.QL_REQUIRE(coupon_ != null, () => "range-accrual coupon required");
gearing_ = coupon_.gearing();
spread_ = coupon_.spread();
Date paymentDate = coupon_.date();
IborIndex index = coupon_.index() as IborIndex;
Utils.QL_REQUIRE(index != null, () => "invalid index");
Handle <YieldTermStructure> rateCurve = index.forwardingTermStructure();
discount_ = rateCurve.link.discount(paymentDate);
accrualFactor_ = coupon_.accrualPeriod();
spreadLegValue_ = spread_ * accrualFactor_ * discount_;
startTime_ = coupon_.startTime();
endTime_ = coupon_.endTime();
observationTimes_ = coupon_.observationTimes();
lowerTrigger_ = coupon_.lowerTrigger();
upperTrigger_ = coupon_.upperTrigger();
observationsNo_ = coupon_.observationsNo();
List <Date> observationDates = coupon_.observationsSchedule().dates();
Utils.QL_REQUIRE(observationDates.Count == observationsNo_ + 2, () => "incompatible size of initialValues vector");
initialValues_ = new InitializedList <double>(observationDates.Count, 0.0);
Calendar calendar = index.fixingCalendar();
for (int i = 0; i < observationDates.Count; i++)
{
initialValues_[i] = index.fixing(
calendar.advance(observationDates[i], -coupon_.fixingDays, TimeUnit.Days));
}
}
//===========================================================================//
// BlackIborCouponPricer //
//===========================================================================//
public override void initialize(FloatingRateCoupon coupon)
{
coupon_ = coupon as IborCoupon;
if (coupon_ == null)
{
throw new ApplicationException("Libor coupon required");
}
gearing_ = coupon_.gearing();
spread_ = coupon_.spread();
Date paymentDate = coupon_.date();
IborIndex index = coupon_.index() as IborIndex;
Handle <YieldTermStructure> rateCurve = index.forwardingTermStructure();
if (paymentDate > rateCurve.link.referenceDate())
{
discount_ = rateCurve.link.discount(paymentDate);
}
else
{
discount_ = 1.0;
}
spreadLegValue_ = spread_ * coupon_.accrualPeriod() * discount_;
}
public override void setupArguments(IPricingEngineArguments args)
{
CapFloor.Arguments arguments = args as CapFloor.Arguments;
if (arguments == null)
{
throw new ArgumentException("wrong argument type");
}
int n = floatingLeg_.Count;
arguments.startDates = new InitializedList <Date>(n);
arguments.fixingDates = new InitializedList <Date>(n);
arguments.endDates = new InitializedList <Date>(n);
arguments.accrualTimes = new InitializedList <double>(n);
arguments.forwards = new InitializedList <double?>(n);
arguments.nominals = new InitializedList <double>(n);
arguments.gearings = new InitializedList <double>(n);
arguments.capRates = new InitializedList <double?>(n);
arguments.floorRates = new InitializedList <double?>(n);
arguments.spreads = new InitializedList <double>(n);
arguments.type = type_;
Date today = Settings.evaluationDate();
for (int i = 0; i < n; ++i)
{
FloatingRateCoupon coupon = floatingLeg_[i] as FloatingRateCoupon;
if (coupon == null)
{
throw new ArgumentException("non-FloatingRateCoupon given");
}
arguments.startDates[i] = coupon.accrualStartDate();
arguments.fixingDates[i] = coupon.fixingDate();
arguments.endDates[i] = coupon.date();
// this is passed explicitly for precision
arguments.accrualTimes[i] = coupon.accrualPeriod();
// this is passed explicitly for precision...
if (arguments.endDates[i] >= today)
{
// ...but only if needed
arguments.forwards[i] = coupon.adjustedFixing;
}
else
{
arguments.forwards[i] = null;
}
arguments.nominals[i] = coupon.nominal();
double spread = coupon.spread();
double gearing = coupon.gearing();
arguments.gearings[i] = gearing;
arguments.spreads[i] = spread;
if (type_ == CapFloorType.Cap || type_ == CapFloorType.Collar)
{
arguments.capRates[i] = (capRates_[i] - spread) / gearing;
}
else
{
arguments.capRates[i] = null;
}
if (type_ == CapFloorType.Floor || type_ == CapFloorType.Collar)
{
arguments.floorRates[i] = (floorRates_[i] - spread) / gearing;
}
else
{
arguments.floorRates[i] = null;
}
}
}
//! \name LazyObject interface
//@{
protected override void performCalculations()
{
// update dates
Date referenceDate = termVolSurface_.referenceDate();
DayCounter dc = termVolSurface_.dayCounter();
BlackCapFloorEngine dummy = new BlackCapFloorEngine( // discounting does not matter here
iborIndex_.forwardingTermStructure(), 0.20, dc);
for (int i = 0; i < nOptionletTenors_; ++i)
{
CapFloor temp = new MakeCapFloor(CapFloorType.Cap,
capFloorLengths_[i],
iborIndex_,
0.04, // dummy strike
new Period(0, TimeUnit.Days))
.withPricingEngine(dummy);
FloatingRateCoupon lFRC = temp.lastFloatingRateCoupon();
optionletDates_[i] = lFRC.fixingDate();
optionletPaymentDates_[i] = lFRC.date();
optionletAccrualPeriods_[i] = lFRC.accrualPeriod();
optionletTimes_[i] = dc.yearFraction(referenceDate,
optionletDates_[i]);
atmOptionletRate_[i] = lFRC.indexFixing();
}
if (floatingSwitchStrike_ && capFlooMatrixNotInitialized_)
{
double averageAtmOptionletRate = 0.0;
for (int i = 0; i < nOptionletTenors_; ++i)
{
averageAtmOptionletRate += atmOptionletRate_[i];
}
switchStrike_ = averageAtmOptionletRate / nOptionletTenors_;
}
Handle <YieldTermStructure> discountCurve = discount_.empty()
? iborIndex_.forwardingTermStructure()
: discount_;
List <double> strikes = new List <double>(termVolSurface_.strikes());
// initialize CapFloorMatrix
if (capFlooMatrixNotInitialized_)
{
for (int i = 0; i < nOptionletTenors_; ++i)
{
capFloors_[i] = new List <CapFloor>(nStrikes_);
}
// construction might go here
for (int j = 0; j < nStrikes_; ++j)
{
// using out-of-the-money options
CapFloorType capFloorType = strikes[j] < switchStrike_
? CapFloorType.Floor
: CapFloorType.Cap;
for (int i = 0; i < nOptionletTenors_; ++i)
{
//volQuotes_[i][j] = new SimpleQuote();
if (volatilityType_ == VolatilityType.ShiftedLognormal)
{
BlackCapFloorEngine engine = new BlackCapFloorEngine(discountCurve,
new Handle <Quote>(volQuotes_[i][j]), dc, displacement_);
capFloors_[i].Add(new MakeCapFloor(capFloorType, capFloorLengths_[i], iborIndex_, strikes[j],
new Period(0, TimeUnit.Days)).withPricingEngine(engine));
}
else if (volatilityType_ == VolatilityType.Normal)
{
BachelierCapFloorEngine engine = new BachelierCapFloorEngine(discountCurve,
new Handle <Quote>(volQuotes_[i][j]), dc);
capFloors_[i].Add(new MakeCapFloor(capFloorType, capFloorLengths_[i], iborIndex_, strikes[j],
new Period(0, TimeUnit.Days)).withPricingEngine(engine));
}
else
{
Utils.QL_FAIL("unknown volatility type: " + volatilityType_);
}
}
}
capFlooMatrixNotInitialized_ = false;
}
for (int j = 0; j < nStrikes_; ++j)
{
Option.Type optionletType = strikes[j] < switchStrike_ ? Option.Type.Put : Option.Type.Call;
double previousCapFloorPrice = 0.0;
for (int i = 0; i < nOptionletTenors_; ++i)
{
capFloorVols_[i, j] = termVolSurface_.volatility(capFloorLengths_[i], strikes[j], true);
volQuotes_[i][j].setValue(capFloorVols_[i, j]);
capFloorPrices_[i, j] = capFloors_[i][j].NPV();
optionletPrices_[i, j] = capFloorPrices_[i, j] - previousCapFloorPrice;
previousCapFloorPrice = capFloorPrices_[i, j];
double d = discountCurve.link.discount(optionletPaymentDates_[i]);
double optionletAnnuity = optionletAccrualPeriods_[i] * d;
try
{
if (volatilityType_ == VolatilityType.ShiftedLognormal)
{
optionletStDevs_[i, j] = Utils.blackFormulaImpliedStdDev(optionletType, strikes[j], atmOptionletRate_[i],
optionletPrices_[i, j], optionletAnnuity, displacement_, optionletStDevs_[i, j], accuracy_,
maxIter_);
}
else if (volatilityType_ == VolatilityType.Normal)
{
optionletStDevs_[i, j] = Math.Sqrt(optionletTimes_[i]) *
Utils.bachelierBlackFormulaImpliedVol(
optionletType, strikes[j], atmOptionletRate_[i],
optionletTimes_[i], optionletPrices_[i, j],
optionletAnnuity);
}
else
{
Utils.QL_FAIL("Unknown volatility type: " + volatilityType_);
}
}
catch (Exception e)
{
if (dontThrow_)
{
optionletStDevs_[i, j] = 0.0;
}
else
{
Utils.QL_FAIL("could not bootstrap optionlet:" +
"\n type: " + optionletType +
"\n strike: " + (strikes[j]) +
"\n atm: " + (atmOptionletRate_[i]) +
"\n price: " + optionletPrices_[i, j] +
"\n annuity: " + optionletAnnuity +
"\n expiry: " + optionletDates_[i] +
"\n error: " + e.Message);
}
}
optionletVolatilities_[i][j] = optionletStDevs_[i, j] / Math.Sqrt(optionletTimes_[i]);
}
}
}
//! \name 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.nominal(), underlying.Date, underlying.accrualStartDate(), underlying.accrualEndDate(), underlying.fixingDays, underlying.index(), underlying.gearing(), underlying.spread(), underlying.refPeriodStart, underlying.refPeriodEnd, 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();
if (!(replication.gap() > 0.0))
throw new ApplicationException("Non positive epsilon not allowed");
if (putStrike == null)
if (!(putDigitalPayoff == null))
throw new ApplicationException("Put Cash rate non allowed if put strike is null");
if (callStrike == null)
if (!(callDigitalPayoff == null))
throw new ApplicationException("Call Cash rate non allowed if call strike is null");
if (callStrike != null)
{
if (!(callStrike >= 0.0))
throw new ApplicationException("negative call strike not allowed");
hasCallStrike_ = true;
callStrike_ = callStrike.GetValueOrDefault();
if (!(callStrike_ >= replication.gap() / 2.0))
throw new ApplicationException("call strike < eps/2");
switch (callPosition)
{
case Position.Type.Long:
callCsi_ = 1.0;
break;
case Position.Type.Short:
callCsi_ = -1.0;
break;
default:
throw new ApplicationException("unsupported position type");
}
if (callDigitalPayoff != null)
{
callDigitalPayoff_ = callDigitalPayoff.GetValueOrDefault();
isCallCashOrNothing_ = true;
}
}
if (putStrike != null)
{
if (!(putStrike >= 0.0))
throw new ApplicationException("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:
throw new ApplicationException("unsupported position type");
}
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:
throw new ApplicationException("unsupported position type");
}
}
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:
throw new ApplicationException("unsupported position type");
}
}
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:
throw new ApplicationException("unsupported position type");
}
}
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:
throw new ApplicationException("unsupported position type");
}
}
break;
default:
throw new ApplicationException("unsupported position type");
}
underlying.registerWith(update);
}
public override void initialize(FloatingRateCoupon coupon) {
coupon_ = coupon as AverageBMACoupon;
if (coupon_ == null)
throw new ApplicationException("wrong coupon type");
}
// other
public override void setupArguments(IPricingEngineArguments args)
{
base.setupArguments(args);
Arguments arguments = args as Arguments;
Utils.QL_REQUIRE(arguments != null, () => "argument type does not match");
arguments.type = type_;
arguments.nominal1 = nominal1_;
arguments.nominal2 = nominal2_;
arguments.index1 = index1_;
arguments.index2 = index2_;
List <CashFlow> leg1Coupons = leg1();
List <CashFlow> leg2Coupons = leg2();
arguments.leg1ResetDates = arguments.leg1PayDates =
arguments.leg1FixingDates = new InitializedList <Date>(leg1Coupons.Count);
arguments.leg2ResetDates = arguments.leg2PayDates =
arguments.leg2FixingDates = new InitializedList <Date>(leg2Coupons.Count);
arguments.leg1Spreads = arguments.leg1AccrualTimes =
arguments.leg1Gearings = new InitializedList <double>(leg1Coupons.Count);
arguments.leg2Spreads = arguments.leg2AccrualTimes =
arguments.leg2Gearings = new InitializedList <double>(leg2Coupons.Count);
arguments.leg1Coupons = new InitializedList <double?>(leg1Coupons.Count, null);
arguments.leg2Coupons = new InitializedList <double?>(leg2Coupons.Count, null);
arguments.leg1IsRedemptionFlow = new InitializedList <bool>(leg1Coupons.Count, false);
arguments.leg2IsRedemptionFlow = new InitializedList <bool>(leg2Coupons.Count, false);
arguments.leg1CappedRates = arguments.leg1FlooredRates =
new InitializedList <double?>(leg1Coupons.Count, null);
arguments.leg2CappedRates = arguments.leg2FlooredRates =
new InitializedList <double?>(leg2Coupons.Count, null);
for (int i = 0; i < leg1Coupons.Count; ++i)
{
FloatingRateCoupon coupon = leg1Coupons[i] as FloatingRateCoupon;
if (coupon != null)
{
arguments.leg1AccrualTimes[i] = coupon.accrualPeriod();
arguments.leg1PayDates[i] = coupon.date();
arguments.leg1ResetDates[i] = coupon.accrualStartDate();
arguments.leg1FixingDates[i] = coupon.fixingDate();
arguments.leg1Spreads[i] = coupon.spread();
arguments.leg1Gearings[i] = coupon.gearing();
try
{
arguments.leg1Coupons[i] = coupon.amount();
}
catch (Exception)
{
arguments.leg1Coupons[i] = null;
}
CappedFlooredCoupon cfcoupon = leg1Coupons[i] as CappedFlooredCoupon;
if (cfcoupon != null)
{
arguments.leg1CappedRates[i] = cfcoupon.cap();
arguments.leg1FlooredRates[i] = cfcoupon.floor();
}
}
else
{
CashFlow cashflow = leg1Coupons[i] as CashFlow;
int j = arguments.leg1PayDates.FindIndex(x => x == cashflow.date());
Utils.QL_REQUIRE(j != -1, () =>
"nominal redemption on " + cashflow.date() + "has no corresponding coupon");
int jIdx = j; // Size jIdx = j - arguments->leg1PayDates.begin();
arguments.leg1IsRedemptionFlow[i] = true;
arguments.leg1Coupons[i] = cashflow.amount();
arguments.leg1ResetDates[i] = arguments.leg1ResetDates[jIdx];
arguments.leg1FixingDates[i] = arguments.leg1FixingDates[jIdx];
arguments.leg1AccrualTimes[i] = 0.0;
arguments.leg1Spreads[i] = 0.0;
arguments.leg1Gearings[i] = 1.0;
arguments.leg1PayDates[i] = cashflow.date();
}
}
for (int i = 0; i < leg2Coupons.Count; ++i)
{
FloatingRateCoupon coupon = leg2Coupons[i] as FloatingRateCoupon;
if (coupon != null)
{
arguments.leg2AccrualTimes[i] = coupon.accrualPeriod();
arguments.leg2PayDates[i] = coupon.date();
arguments.leg2ResetDates[i] = coupon.accrualStartDate();
arguments.leg2FixingDates[i] = coupon.fixingDate();
arguments.leg2Spreads[i] = coupon.spread();
arguments.leg2Gearings[i] = coupon.gearing();
try
{
arguments.leg2Coupons[i] = coupon.amount();
}
catch (Exception)
{
arguments.leg2Coupons[i] = null;
}
CappedFlooredCoupon cfcoupon = leg2Coupons[i] as CappedFlooredCoupon;
if (cfcoupon != null)
{
arguments.leg2CappedRates[i] = cfcoupon.cap();
arguments.leg2FlooredRates[i] = cfcoupon.floor();
}
}
else
{
CashFlow cashflow = leg2Coupons[i] as CashFlow;
int j = arguments.leg2PayDates.FindIndex(x => x == cashflow.date());
Utils.QL_REQUIRE(j != -1, () =>
"nominal redemption on " + cashflow.date() + "has no corresponding coupon");
int jIdx = j; // j - arguments->leg2PayDates.begin();
arguments.leg2IsRedemptionFlow[i] = true;
arguments.leg2Coupons[i] = cashflow.amount();
arguments.leg2ResetDates[i] = arguments.leg2ResetDates[jIdx];
arguments.leg2FixingDates[i] =
arguments.leg2FixingDates[jIdx];
arguments.leg2AccrualTimes[i] = 0.0;
arguments.leg2Spreads[i] = 0.0;
arguments.leg2Gearings[i] = 1.0;
arguments.leg2PayDates[i] = cashflow.date();
}
}
}
// Factory - for Leg generators
public virtual CashFlow factory(FloatingRateCoupon underlying, double? callStrike, Position.Type callPosition, bool isCallATMIncluded, double? callDigitalPayoff, double? putStrike, Position.Type putPosition, bool isPutATMIncluded, double? putDigitalPayoff, DigitalReplication replication)
{
return new DigitalCoupon(underlying, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, putStrike, putPosition, isPutATMIncluded, putDigitalPayoff, replication);
}
public abstract void initialize(FloatingRateCoupon coupon);
public override void initialize(FloatingRateCoupon coupon)
{
coupon_ = coupon as OvernightIndexedCoupon;
if (coupon_ == null)
throw new ApplicationException("wrong coupon type");
}
public override void initialize(FloatingRateCoupon coupon)
{
coupon_ = coupon as OvernightIndexedCoupon;
Utils.QL_REQUIRE(coupon_ != null, () => "wrong coupon type");
}
public override void initialize(FloatingRateCoupon coupon)
{
coupon_ = coupon as AverageBMACoupon;
Utils.QL_REQUIRE(coupon_ != null, () => "wrong coupon type");
}
// Factory - for Leg generators
public virtual CashFlow factory(FloatingRateCoupon underlying, double?callStrike, Position.Type callPosition, bool isCallATMIncluded, double?callDigitalPayoff, double?putStrike, Position.Type putPosition, bool isPutATMIncluded, double?putDigitalPayoff, DigitalReplication replication)
{
return(new DigitalCoupon(underlying, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, putStrike, putPosition, isPutATMIncluded, putDigitalPayoff, replication));
}
//! \name 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.nominal(), underlying.date(), underlying.accrualStartDate(), underlying.accrualEndDate(), underlying.fixingDays, underlying.index(), underlying.gearing(), underlying.spread(), underlying.refPeriodStart, underlying.refPeriodEnd, 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();
if (!(replication.gap() > 0.0))
{
throw new ApplicationException("Non positive epsilon not allowed");
}
if (putStrike == null)
{
if (!(putDigitalPayoff == null))
{
throw new ApplicationException("Put Cash rate non allowed if put strike is null");
}
}
if (callStrike == null)
{
if (!(callDigitalPayoff == null))
{
throw new ApplicationException("Call Cash rate non allowed if call strike is null");
}
}
if (callStrike != null)
{
if (!(callStrike >= 0.0))
{
throw new ApplicationException("negative call strike not allowed");
}
hasCallStrike_ = true;
callStrike_ = callStrike.GetValueOrDefault();
if (!(callStrike_ >= replication.gap() / 2.0))
{
throw new ApplicationException("call strike < eps/2");
}
switch (callPosition)
{
case Position.Type.Long:
callCsi_ = 1.0;
break;
case Position.Type.Short:
callCsi_ = -1.0;
break;
default:
throw new ApplicationException("unsupported position type");
}
if (callDigitalPayoff != null)
{
callDigitalPayoff_ = callDigitalPayoff.GetValueOrDefault();
isCallCashOrNothing_ = true;
}
}
if (putStrike != null)
{
if (!(putStrike >= 0.0))
{
throw new ApplicationException("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:
throw new ApplicationException("unsupported position type");
}
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:
throw new ApplicationException("unsupported position type");
}
}
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:
throw new ApplicationException("unsupported position type");
}
}
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:
throw new ApplicationException("unsupported position type");
}
}
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:
throw new ApplicationException("unsupported position type");
}
}
break;
default:
throw new ApplicationException("unsupported position type");
}
underlying.registerWith(update);
}
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 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 swapIndex = coupon_.swapIndex();
rateCurve_ = swapIndex.forwardingTermStructure().link;
Date today = Settings.evaluationDate();
if (paymentDate_ > today)
discount_ = rateCurve_.discount(paymentDate_);
else
discount_ = 1.0;
spreadLegValue_ = spread_ * coupon_.accrualPeriod() * discount_;
if (fixingDate_ > today) {
swapTenor_ = swapIndex.tenor();
VanillaSwap swap = swapIndex.underlyingSwap(fixingDate_);
swapRateValue_ = swap.fairRate();
double bp = 1.0e-4;
annuity_ = (swap.floatingLegBPS() / bp);
int q = (int)swapIndex.fixedLegTenor().frequency();
Schedule schedule = swap.fixedSchedule();
DayCounter dc = swapIndex.dayCounter();
//DayCounter dc = coupon.dayCounter();
double startTime = dc.yearFraction(rateCurve_.referenceDate(), swap.startDate());
double swapFirstPaymentTime = dc.yearFraction(rateCurve_.referenceDate(), schedule.date(1));
double paymentTime = dc.yearFraction(rateCurve_.referenceDate(), paymentDate_);
double delta = (paymentTime - startTime) / (swapFirstPaymentTime - startTime);
switch (modelOfYieldCurve_) {
case GFunctionFactory.YieldCurveModel.Standard:
gFunction_ = GFunctionFactory.newGFunctionStandard(q, delta, swapTenor_.length());
break;
case GFunctionFactory.YieldCurveModel.ExactYield:
gFunction_ = GFunctionFactory.newGFunctionExactYield(coupon_);
break;
case GFunctionFactory.YieldCurveModel.ParallelShifts: {
Handle<Quote> nullMeanReversionQuote = new Handle<Quote>(new SimpleQuote(0.0));
gFunction_ = GFunctionFactory.newGFunctionWithShifts(coupon_, nullMeanReversionQuote);
}
break;
case GFunctionFactory.YieldCurveModel.NonParallelShifts:
gFunction_ = GFunctionFactory.newGFunctionWithShifts(coupon_, meanReversion_);
break;
default:
throw new ApplicationException("unknown/illegal gFunction type");
}
vanillaOptionPricer_ = new BlackVanillaOptionPricer(swapRateValue_, fixingDate_, swapTenor_, swaptionVolatility().link);
}
}
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 swapIndex = coupon_.swapIndex();
rateCurve_ = swapIndex.forwardingTermStructure().link;
Date today = Settings.evaluationDate();
if (paymentDate_ > today)
{
discount_ = rateCurve_.discount(paymentDate_);
}
else
{
discount_ = 1.0;
}
spreadLegValue_ = spread_ * coupon_.accrualPeriod() * discount_;
if (fixingDate_ > today)
{
swapTenor_ = swapIndex.tenor();
VanillaSwap swap = swapIndex.underlyingSwap(fixingDate_);
swapRateValue_ = swap.fairRate();
double bp = 1.0e-4;
annuity_ = (swap.floatingLegBPS() / bp);
int q = (int)swapIndex.fixedLegTenor().frequency();
Schedule schedule = swap.fixedSchedule();
DayCounter dc = swapIndex.dayCounter();
//DayCounter dc = coupon.dayCounter();
double startTime = dc.yearFraction(rateCurve_.referenceDate(), swap.startDate());
double swapFirstPaymentTime = dc.yearFraction(rateCurve_.referenceDate(), schedule.date(1));
double paymentTime = dc.yearFraction(rateCurve_.referenceDate(), paymentDate_);
double delta = (paymentTime - startTime) / (swapFirstPaymentTime - startTime);
switch (modelOfYieldCurve_)
{
case GFunctionFactory.YieldCurveModel.Standard:
gFunction_ = GFunctionFactory.newGFunctionStandard(q, delta, swapTenor_.length());
break;
case GFunctionFactory.YieldCurveModel.ExactYield:
gFunction_ = GFunctionFactory.newGFunctionExactYield(coupon_);
break;
case GFunctionFactory.YieldCurveModel.ParallelShifts: {
Handle <Quote> nullMeanReversionQuote = new Handle <Quote>(new SimpleQuote(0.0));
gFunction_ = GFunctionFactory.newGFunctionWithShifts(coupon_, nullMeanReversionQuote);
}
break;
case GFunctionFactory.YieldCurveModel.NonParallelShifts:
gFunction_ = GFunctionFactory.newGFunctionWithShifts(coupon_, meanReversion_);
break;
default:
throw new ApplicationException("unknown/illegal gFunction type");
}
vanillaOptionPricer_ = new BlackVanillaOptionPricer(swapRateValue_, fixingDate_, swapTenor_, swaptionVolatility().link);
}
}
public abstract void initialize(FloatingRateCoupon coupon);
public void visit(FloatingRateCoupon c)
{
c.setPricer(pricer_);
}
