public double weight(double strike, double forward, double stdDev, List <double?> addParams)
{
if (Convert.ToDouble(addParams[1]) == 0.0)
{
return(Utils.blackFormulaStdDevDerivative(strike, forward, stdDev, 1.0, addParams[0].Value));
}
else
{
return(Utils.bachelierBlackFormulaStdDevDerivative(strike, forward, stdDev, 1.0));
}
}
public double vega(double strike, double atmForward, double stdDev, double exerciseTime, double annuity,
double displacement = 0.0)
{
return(Math.Sqrt(exerciseTime) *
Utils.bachelierBlackFormulaStdDevDerivative(strike, atmForward, stdDev, annuity));
}
public override void calculate()
{
double value = 0.0;
double vega = 0.0;
int optionlets = arguments_.startDates.Count;
List <double> values = new InitializedList <double>(optionlets, 0.0);
List <double> vegas = new InitializedList <double>(optionlets, 0.0);
List <double> stdDevs = new InitializedList <double>(optionlets, 0.0);
CapFloorType type = arguments_.type;
Date today = vol_.link.referenceDate();
Date settlement = discountCurve_.link.referenceDate();
for (int i = 0; i < optionlets; ++i)
{
Date paymentDate = arguments_.endDates[i];
// handling of settlementDate, npvDate and includeSettlementFlows
// should be implemented.
// For the double being just discard expired caplets
if (paymentDate > settlement)
{
double d = arguments_.nominals[i] *
arguments_.gearings[i] *
discountCurve_.link.discount(paymentDate) *
arguments_.accrualTimes[i];
double forward = arguments_.forwards[i].Value;
Date fixingDate = arguments_.fixingDates[i];
double sqrtTime = 0.0;
if (fixingDate > today)
{
sqrtTime = Math.Sqrt(vol_.link.timeFromReference(fixingDate));
}
if (type == CapFloorType.Cap || type == CapFloorType.Collar)
{
double strike = arguments_.capRates[i].Value;
if (sqrtTime > 0.0)
{
stdDevs[i] = Math.Sqrt(vol_.link.blackVariance(fixingDate, strike));
vegas[i] = Utils.bachelierBlackFormulaStdDevDerivative(strike, forward, stdDevs[i], d) * sqrtTime;
}
// include caplets with past fixing date
values[i] = Utils.bachelierBlackFormula(Option.Type.Call, strike, forward, stdDevs[i], d);
}
if (type == CapFloorType.Floor || type == CapFloorType.Collar)
{
double strike = arguments_.floorRates[i].Value;
double floorletVega = 0.0;
if (sqrtTime > 0.0)
{
stdDevs[i] = Math.Sqrt(vol_.link.blackVariance(fixingDate, strike));
floorletVega = Utils.bachelierBlackFormulaStdDevDerivative(strike, forward, stdDevs[i], d) * sqrtTime;
}
double floorlet = Utils.bachelierBlackFormula(Option.Type.Put, strike, forward, stdDevs[i], d);
if (type == CapFloorType.Floor)
{
values[i] = floorlet;
vegas[i] = floorletVega;
}
else
{
// a collar is long a cap and short a floor
values[i] -= floorlet;
vegas[i] -= floorletVega;
}
}
value += values[i];
vega += vegas[i];
}
}
results_.value = value;
results_.additionalResults["vega"] = vega;
results_.additionalResults["optionletsPrice"] = values;
results_.additionalResults["optionletsVega"] = vegas;
results_.additionalResults["optionletsAtmForward"] = arguments_.forwards;
if (type != CapFloorType.Collar)
{
results_.additionalResults["optionletsStdDev"] = stdDevs;
}
}
