public SwapRateHelper(double rate, Period tenor, Calendar calendar,
Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount,
IborIndex iborIndex)
: this(rate, tenor, calendar, fixedFrequency, fixedConvention, fixedDayCount, iborIndex,
new Handle<Quote>(), new Period(0, TimeUnit.Days))
{
}
//! fixed-rate bond
/*! \ingroup instruments
\test calculations are tested by checking results against
cached values.
*/
//! simple annual compounding coupon rates
public FixedRateBond(int settlementDays, double faceAmount, Schedule schedule,List<double> coupons,
DayCounter accrualDayCounter, BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
double redemption = 100, Date issueDate = null,Calendar paymentCalendar = null,
Period exCouponPeriod = null,
Calendar exCouponCalendar = null,
BusinessDayConvention exCouponConvention = BusinessDayConvention.Unadjusted,
bool exCouponEndOfMonth = false)
: base(settlementDays, paymentCalendar == null ? schedule.calendar() : paymentCalendar,
issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
maturityDate_ = schedule.endDate();
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth)
.withPaymentCalendar(calendar_)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List<double>() { redemption });
if (cashflows().Count == 0)
throw new ApplicationException("bond with no cashflows!");
if (redemptions_.Count != 1)
throw new ApplicationException("multiple redemptions created");
}
public void BuildDates(QLNet.Calendar calendar, QLNet.DayCounter dc)
{
_dates.Resize(_tenors.Count);
Date today = Settings.evaluationDate();
for (int i = 0; i < _tenors.Count; i++)
{
if (_tenors[i].units() == TimeUnit.Days)
{
_dates[i] = calendar.adjust(today + _tenors[i]);
}
else
{
_dates[i] = calendar.advance(today, _tenors[i], BusinessDayConvention.Following, true);
}
}
QLNet.Utils.QL_REQUIRE(_dates.Count == _tenors.Count, () => "Date/Tenor mismatch");
// Build times
_times.Resize(_dates.Count);
for (int i = 0; i < _dates.Count; i++)
{
_times[i] = dc.yearFraction(today, _dates[i]);
}
_timeGrid = new TimeGrid(_times, _times.Count);
// Log the date grid
//log();
}
// setup
public CommonVars()
{
calendar = new TARGET();
today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
faceAmount = 1000000.0;
}
// setup
public CommonVars()
{
// force garbage collection
// garbage collection in .NET is rather weird and we do need when we run several tests in a row
GC.Collect();
// data
calendar = new TARGET();
settlementDays = 2;
today = new Date(9, Month.June, 2009);
compounding = Compounding.Continuous;
dayCount = new Actual360();
settlementDate = calendar.advance(today, settlementDays, TimeUnit.Days);
Settings.setEvaluationDate(today);
int[] ts = new int[] { 13, 41, 75, 165, 256, 345, 524, 703 };
double[] r = new double[] { 0.035, 0.033, 0.034, 0.034, 0.036, 0.037, 0.039, 0.040 };
List<double> rates = new List<double>() { 0.035 };
List<Date> dates = new List<Date>() { settlementDate };
for (int i = 0; i < 8; ++i)
{
dates.Add(calendar.advance(today, ts[i], TimeUnit.Days));
rates.Add(r[i]);
}
termStructure = new InterpolatedZeroCurve<Linear>(dates, rates, dayCount);
}
public SwaptionVolatilityDiscrete(List<Period> optionTenors,
List<Period> swapTenors,
Date referenceDate,
Calendar cal,
BusinessDayConvention bdc,
DayCounter dc)
: base(referenceDate, cal, bdc, dc)
{
nOptionTenors_ = optionTenors.Count;
optionTenors_ = optionTenors;
optionDates_ = new InitializedList<Date>(nOptionTenors_);
optionTimes_ = new InitializedList<double>(nOptionTenors_);
optionDatesAsReal_ = new InitializedList<double>(nOptionTenors_);
nSwapTenors_ = swapTenors.Count;
swapTenors_ = swapTenors;
swapLengths_ = new InitializedList<double>(nSwapTenors_);
checkOptionTenors();
initializeOptionDatesAndTimes();
checkSwapTenors();
initializeSwapLengths();
optionInterpolator_ = new LinearInterpolation(optionTimes_,
optionTimes_.Count,
optionDatesAsReal_);
optionInterpolator_.update();
optionInterpolator_.enableExtrapolation();
}
public BlackConstantVol(Date referenceDate, Calendar cal, Handle<Quote> volatility, DayCounter dc)
: base(referenceDate, cal, BusinessDayConvention.Following, dc)
{
volatility_ = volatility;
volatility_.registerWith(update);
}
public BlackConstantVol(int settlementDays, Calendar cal, Handle<Quote> volatility, DayCounter dc)
: base(settlementDays, cal, BusinessDayConvention.Following, dc)
{
volatility_ = volatility;
volatility_.registerWith(update);
}
// todo
// cleanup
// SavedSettings backup;
// setup
public CommonVars()
{
calendar = new TARGET();
today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
faceAmount = 1000000.0;
}
public CallableBondConstantVolatility(int settlementDays, Calendar calendar, double volatility, DayCounter dayCounter)
:base(settlementDays, calendar)
{
volatility_ = new Handle<Quote>(new SimpleQuote(volatility));
dayCounter_ = dayCounter;
maxBondTenor_ = new Period(100,TimeUnit.Years);
}
public AmortizingFixedRateBond(
int settlementDays,
Calendar calendar,
double faceAmount,
Date startDate,
Period bondTenor,
Frequency sinkingFrequency,
double coupon,
DayCounter accrualDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
Date issueDate = null)
:base(settlementDays, calendar, issueDate)
{
frequency_ = sinkingFrequency;
dayCounter_ = accrualDayCounter;
Utils.QL_REQUIRE( bondTenor.length() > 0,() =>
"bond tenor must be positive. "
+ bondTenor + " is not allowed." );
maturityDate_ = startDate + bondTenor;
maturityDate_ = startDate + bondTenor;
schedule_ = sinkingSchedule(startDate, bondTenor, sinkingFrequency, calendar);
cashflows_ = new FixedRateLeg(schedule_)
.withCouponRates(coupon, accrualDayCounter)
.withNotionals(sinkingNotionals(bondTenor, sinkingFrequency, coupon, faceAmount))
.withPaymentAdjustment(paymentConvention).value();
addRedemptionsToCashflows();
}
public static void CheckHolidayList(IEnumerable<Date> expected, Calendar calendar, int year)
{
IEnumerable<Date> calculated = Calendar.holidayList(calendar, new Date(1, Month.January, year), new Date(31, Month.December, year), false);
int error = 0;
StringBuilder sb = new StringBuilder();
sb.Append("Holidays do not match\n");
foreach (Date date in expected)
{
if (!calculated.Contains(date))
{
sb.Append(" >> Holiday expected but not calculated: ")
.Append(date.DayOfWeek)
.Append(", ")
.Append(date)
.Append('\n');
error++;
}
}
foreach (Date date in calculated)
{
if (!expected.Contains(date))
{
sb.Append(" >> Holiday calculated but not expected: ").Append(date.DayOfWeek).Append(", ").Append(date).Append('\n');
error++;
}
}
Assert.IsFalse(error > 0, sb.ToString());
}
public SwaptionVolatilityDiscrete(List<Period> optionTenors,
List<Period> swapTenors,
int settlementDays,
Calendar cal,
BusinessDayConvention bdc,
DayCounter dc)
: base(settlementDays, cal, bdc, dc)
{
nOptionTenors_ = optionTenors.Count;
optionTenors_ = optionTenors;
optionDates_ = new InitializedList<Date>(nOptionTenors_);
optionTimes_ = new InitializedList<double>(nOptionTenors_);
optionDatesAsReal_ = new InitializedList<double>(nOptionTenors_);
nSwapTenors_ = swapTenors.Count;
swapTenors_ = swapTenors;
swapLengths_ = new InitializedList<double>(nSwapTenors_);
checkOptionTenors();
initializeOptionDatesAndTimes();
checkSwapTenors();
initializeSwapLengths();
optionInterpolator_ = new LinearInterpolation(optionTimes_,
optionTimes_.Count,
optionDatesAsReal_);
optionInterpolator_.update();
optionInterpolator_.enableExtrapolation();
evaluationDate_ = Settings.evaluationDate();
Settings.registerWith(update);
}
public IborIndex(string familyName, Period tenor, int settlementDays, Currency currency,
Calendar fixingCalendar, BusinessDayConvention convention, bool endOfMonth,
DayCounter dayCounter)
: this(familyName, tenor, settlementDays, currency,
fixingCalendar, convention, endOfMonth,
dayCounter, new Handle<YieldTermStructure>())
{
}
//! fixed reference date, floating market data
public ConstantOptionletVolatility(Date referenceDate, Calendar cal, BusinessDayConvention bdc,
Handle<Quote> vol, DayCounter dc)
: base(referenceDate, cal, bdc, dc)
{
volatility_ = vol;
volatility_.registerWith(update);
}
public CPILegBase withExCouponPeriod(Period period, Calendar cal, BusinessDayConvention convention, bool endOfMonth = false)
{
exCouponPeriod_ = period;
exCouponCalendar_ = cal;
exCouponAdjustment_ = convention;
exCouponEndOfMonth_ = endOfMonth;
return this;
}
public LocalConstantVol(int settlementDays, Calendar calendar, Handle<Quote> volatility, DayCounter dayCounter)
: base(settlementDays,calendar)
{
volatility_ = volatility;
dayCounter_ = dayCounter;
volatility_.registerWith(update);
}
//! floating reference date, floating market data
public ConstantOptionletVolatility(int settlementDays, Calendar cal, BusinessDayConvention bdc,
Handle<Quote> vol, DayCounter dc)
: base(settlementDays, cal, bdc, dc)
{
volatility_ = vol;
volatility_.registerWith(update);
}
public DailyTenorLibor(string familyName, int settlementDays, Currency currency, Calendar financialCenterCalendar, DayCounter dayCounter, Handle<YieldTermStructure> h)
: base(familyName, new Period(1, TimeUnit.Days), settlementDays, currency, new JointCalendar(new UnitedKingdom(UnitedKingdom.Market.Exchange), financialCenterCalendar, JointCalendar.JointCalendarRule.JoinHolidays), Utils.liborConvention(new Period(1, TimeUnit.Days)), Utils.liborEOM(new Period(1, TimeUnit.Days)), dayCounter, h)
{
if (!(currency != new EURCurrency()))
{
throw new ApplicationException("for EUR Libor dedicated EurLibor constructor must be used");
}
}
public EURLibor(Period tenor, Handle<YieldTermStructure> h)
: base("EURLibor", tenor, 2, new EURCurrency(), new JointCalendar(new UnitedKingdom(UnitedKingdom.Market.Exchange), new TARGET(),
JointCalendar.JointCalendarRule.JoinHolidays),
Utils.eurliborConvention(tenor), Utils.eurliborEOM(tenor), new Actual360(), h) {
target_ = new TARGET();
if (!(this.tenor().units() != TimeUnit.Days))
throw new ApplicationException("for daily tenors (" + this.tenor() + ") dedicated DailyTenor constructor must be used");
}
//public ZeroCouponBond(int settlementDays, Calendar calendar, double faceAmount, Date maturityDate,
// BusinessDayConvention paymentConvention = Following,
// double redemption = 100.0,
// Date issueDate = Date());
public ZeroCouponBond(int settlementDays, Calendar calendar, double faceAmount, Date maturityDate,
BusinessDayConvention paymentConvention, double redemption, Date issueDate)
: base(settlementDays, calendar, issueDate)
{
maturityDate_ = maturityDate;
Date redemptionDate = calendar_.adjust(maturityDate, paymentConvention);
setSingleRedemption(faceAmount, redemption, redemptionDate);
}
public DepositRateHelper(double rate, Period tenor, int fixingDays, Calendar calendar,
BusinessDayConvention convention, bool endOfMonth, DayCounter dayCounter)
: base(rate)
{
iborIndex_ = new IborIndex("no-fix", tenor, fixingDays, new Currency(), calendar, convention,
endOfMonth, dayCounter, termStructureHandle_);
initializeDates();
}
public CallableBondConstantVolatility(int settlementDays, Calendar calendar, Handle<Quote> volatility,DayCounter dayCounter)
:base(settlementDays, calendar)
{
volatility_ = volatility;
dayCounter_ = dayCounter;
maxBondTenor_ = new Period(100,TimeUnit.Years);
volatility_.registerWith(update);
}
//! initialize with a fixed reference date
public TermStructure(Date referenceDate,Calendar calendar = null,DayCounter dc = null)
{
moving_ = false;
updated_ = true;
calendar_ = calendar;
referenceDate_ = referenceDate;
settlementDays_= null;
dayCounter_ = dc;
}
//! floating reference date, fixed market data
public ConstantCapFloorTermVolatility(int settlementDays,
Calendar cal,
BusinessDayConvention bdc,
double volatility,
DayCounter dc)
: base(settlementDays, cal, bdc, dc)
{
volatility_ = new Handle<Quote>(new SimpleQuote(volatility));
}
// fixed reference date, fixed market data
public ConstantCapFloorTermVolatility(Date referenceDate,
Calendar cal,
BusinessDayConvention bdc,
double volatility,
DayCounter dc)
: base(referenceDate, cal, bdc, dc)
{
volatility_ = new Handle<Quote>(new SimpleQuote(volatility));
}
//! calculate the reference date based on the global evaluation date
public TermStructure(int settlementDays, Calendar cal, DayCounter dc = null)
{
moving_ = true;
updated_ = false;
calendar_ = cal;
settlementDays_ = settlementDays;
dayCounter_ = dc;
Settings.registerWith(update);
}
//! fixed reference date, fixed market data
public ConstantSwaptionVolatility( Date referenceDate,
Calendar cal,
BusinessDayConvention bdc,
double vol,
DayCounter dc)
: base(referenceDate, cal, bdc, dc)
{
volatility_ = new Handle<Quote>(new SimpleQuote(vol));
maxSwapTenor_ = new Period(100, TimeUnit.Years);
}
public yoyInflationLeg(Schedule schedule,Calendar cal,
YoYInflationIndex index,
Period observationLag)
{
schedule_ = schedule;
index_ = index;
observationLag_ = observationLag;
paymentAdjustment_ = BusinessDayConvention.ModifiedFollowing;
paymentCalendar_ = cal;
}
//! \name Constructors
/*! If strike is given in the constructor, can calculate the
NPV of the contract via NPV().
If strike/forward price is desired, it can be obtained via
forwardPrice(). In this case, the strike variable in the
constructor is irrelevant and will be ignored.
*/
//@{
//Handle<YieldTermStructure> discountCurve = Handle<YieldTermStructure>(),
//Handle<YieldTermStructure> incomeDiscountCurve = Handle<YieldTermStructure>());
public FixedRateBondForward(Date valueDate, Date maturityDate, Position.Type type, double strike, int settlementDays,
DayCounter dayCounter, Calendar calendar, BusinessDayConvention businessDayConvention,
FixedRateBond fixedCouponBond,
Handle<YieldTermStructure> discountCurve,
Handle<YieldTermStructure> incomeDiscountCurve)
: base(dayCounter, calendar, businessDayConvention, settlementDays, new ForwardTypePayoff(type, strike),
valueDate, maturityDate, discountCurve) {
fixedCouponBond_ = fixedCouponBond;
incomeDiscountCurve_ = incomeDiscountCurve;
incomeDiscountCurve_.registerWith(update);
}
public FRARateHelper(double rate, int monthsToStart, int monthsToEnd, int fixingDays, Calendar calendar,
BusinessDayConvention convention, bool endOfMonth, DayCounter dayCounter)
: base(rate)
{
periodToStart_ = new Period(monthsToStart, TimeUnit.Months);
if (!(monthsToEnd > monthsToStart)) throw new ArgumentException("monthsToEnd must be grater than monthsToStart");
iborIndex_ = new IborIndex("no-fix", new Period(monthsToEnd - monthsToStart, TimeUnit.Months), fixingDays,
new Currency(), calendar, convention, endOfMonth, dayCounter, termStructureHandle_);
initializeDates();
}
//! fixed reference date, floating market data
public ConstantSwaptionVolatility(Date referenceDate,
Calendar cal,
BusinessDayConvention bdc,
Handle<Quote> vol,
DayCounter dc)
: base(referenceDate, cal, bdc, dc)
{
volatility_ = vol;
maxSwapTenor_ = new Period(100, TimeUnit.Years);
volatility_.registerWith(update);
}
public static object TestCalendars(string CalendarName, DateTime StartDate, DateTime EndDate)
{
Type tt = CommonTypes.Utils.FindType(CalendarName, null);
ql.Calendar cal = (ql.Calendar)Activator.CreateInstance(tt);
int nDays = (int)(EndDate - StartDate).TotalDays;
object[,] ret = new object[nDays, 2];
for (int i = 0; i < nDays; ++i)
{
DateTime date = StartDate.AddDays(i);
ret[i, 0] = date.ToOADate();
ret[i, 1] = cal.isHoliday(new ql.Date(date));
}
return(ret);
}
protected HazardRateStructure(int settlementDays, Calendar cal, DayCounter dc = null,
List <Handle <Quote> > jumps = null, List <Date> jumpDates = null)
: base(settlementDays, cal, dc, jumps, jumpDates)
{
}
public ZeroYieldStructure(Date referenceDate, Calendar calendar = null, DayCounter dc = null,
List <Handle <Quote> > jumps = null, List <Date> jumpDates = null)
: base(referenceDate, calendar, dc, jumps, jumpDates)
{
}
public static List <CashFlow> FloatingLeg <InterestRateIndexType, FloatingCouponType, CappedFlooredCouponType>(List <double> nominals,
Schedule schedule,
InterestRateIndexType index,
DayCounter paymentDayCounter,
BusinessDayConvention paymentAdj,
List <int> fixingDays,
List <double> gearings,
List <double> spreads,
List <double> caps,
List <double> floors,
bool isInArrears,
bool isZero)
where InterestRateIndexType : InterestRateIndex, new()
where FloatingCouponType : FloatingRateCoupon, new()
where CappedFlooredCouponType : CappedFlooredCoupon, new()
{
int n = schedule.Count;
if (nominals.Count == 0)
{
throw new ArgumentException("no notional given");
}
if (nominals.Count > n)
{
throw new ArgumentException(
"too many nominals (" + nominals.Count + "), only " + n + " required");
}
if (gearings != null && gearings.Count > n)
{
throw new ArgumentException(
"too many gearings (" + gearings.Count + "), only " + n + " required");
}
if (spreads != null && spreads.Count > n)
{
throw new ArgumentException(
"too many spreads (" + spreads.Count + "), only " + n + " required");
}
if (caps != null && caps.Count > n)
{
throw new ArgumentException(
"too many caps (" + caps.Count + "), only " + n + " required");
}
if (floors != null && floors.Count > n)
{
throw new ArgumentException(
"too many floors (" + floors.Count + "), only " + n + " required");
}
if (isZero && isInArrears)
{
throw new ArgumentException("in-arrears and zero features are not compatible");
}
List <CashFlow> leg = new List <CashFlow>();
// the following is not always correct
Calendar calendar = schedule.calendar();
Date refStart, start, refEnd, end;
Date lastPaymentDate = calendar.adjust(schedule[n - 1], paymentAdj);
for (int i = 0; i < n - 1; ++i)
{
refStart = start = schedule[i];
refEnd = end = schedule[i + 1];
Date paymentDate = isZero ? lastPaymentDate : calendar.adjust(end, paymentAdj);
if (i == 0 && !schedule.isRegular(i + 1))
{
refStart = calendar.adjust(end - schedule.tenor(), schedule.businessDayConvention());
}
if (i == n - 1 && !schedule.isRegular(i + 1))
{
refEnd = calendar.adjust(start + schedule.tenor(), schedule.businessDayConvention());
}
if (Utils.Get(gearings, i, 1) == 0) // fixed coupon
{
leg.Add(new FixedRateCoupon(Utils.Get(nominals, i),
paymentDate,
Utils.effectiveFixedRate(spreads, caps, floors, i),
paymentDayCounter,
start, end, refStart, refEnd));
}
else
{
if (Utils.noOption(caps, floors, i))
{
leg.Add(new FloatingCouponType().factory(Utils.Get(nominals, i),
paymentDate, start, end,
Utils.Get(fixingDays, i, index.fixingDays()),
index,
Utils.Get(gearings, i, 1),
Utils.Get(spreads, i),
refStart, refEnd, paymentDayCounter,
isInArrears));
}
else
{
leg.Add(new CappedFlooredCouponType().factory(Utils.Get(nominals, i),
paymentDate, start, end,
Utils.Get(fixingDays, i, index.fixingDays()),
index,
Utils.Get(gearings, i, 1),
Utils.Get(spreads, i),
Utils.toNullable(Utils.Get(caps, i, Double.MinValue)),
Utils.toNullable(Utils.Get(floors, i, Double.MinValue)),
refStart, refEnd, paymentDayCounter,
isInArrears));
}
}
}
return(leg);
}
public static List <CashFlow> yoyInflationLeg(List <double> notionals_,
Schedule schedule_,
BusinessDayConvention paymentAdjustment_,
YoYInflationIndex index_,
List <double> gearings_,
List <double> spreads_,
DayCounter paymentDayCounter_,
List <double> caps_,
List <double> floors_,
Calendar paymentCalendar_,
List <int> fixingDays_,
Period observationLag_)
{
int n = schedule_.Count - 1;
if (notionals_.empty())
{
throw new ApplicationException("no notional given");
}
if (notionals_.Count > n)
{
throw new ApplicationException("too many nominals (" + notionals_.Count +
"), only " + n + " required");
}
if (gearings_ != null && gearings_.Count > n)
{
throw new ApplicationException("too many gearings (" + gearings_.Count +
"), only " + n + " required");
}
if (spreads_ != null && spreads_.Count > n)
{
throw new ApplicationException("too many spreads (" + spreads_.Count +
"), only " + n + " required");
}
if (caps_ != null && caps_.Count > n)
{
throw new ApplicationException("too many caps (" + caps_.Count +
"), only " + n + " required");
}
if (floors_ != null && floors_.Count > n)
{
throw new ApplicationException("too many floors (" + floors_.Count +
"), only " + n + " required");
}
List <CashFlow> leg = new List <CashFlow>(n);
Calendar calendar = paymentCalendar_;
Date refStart, start, refEnd, end;
//Date lastPaymentDate = calendar.adjust(schedule_.date(n), paymentAdjustment_);
for (int i = 0; i < n; ++i)
{
refStart = start = schedule_.date(i);
refEnd = end = schedule_.date(i + 1);
Date paymentDate = calendar.adjust(end, paymentAdjustment_);
if (i == 0 && !schedule_.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule_.businessDayConvention();
refStart = schedule_.calendar().adjust(end - schedule_.tenor(), bdc);
}
if (i == n - 1 && !schedule_.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule_.businessDayConvention();
refEnd = schedule_.calendar().adjust(start + schedule_.tenor(), bdc);
}
if (Utils.Get(gearings_, i, 1.0) == 0.0)
{
// fixed coupon
leg.Add(new FixedRateCoupon(Utils.Get(notionals_, i, 1.0),
paymentDate,
Utils.effectiveFixedRate(spreads_, caps_,
floors_, i),
paymentDayCounter_,
start, end, refStart, refEnd));
}
else
{
// yoy inflation coupon
if (Utils.noOption(caps_, floors_, i))
{
// just swaplet
YoYInflationCoupon coup = new YoYInflationCoupon(paymentDate,
Utils.Get(notionals_, i, 1.0),
start, end,
Utils.Get(fixingDays_, i, 0),
index_,
observationLag_,
paymentDayCounter_,
Utils.Get(gearings_, i, 1.0),
Utils.Get(spreads_, i, 0.0),
refStart, refEnd);
// in this case you can set a pricer
// straight away because it only provides computation - not data
YoYInflationCouponPricer pricer = new YoYInflationCouponPricer();
coup.setPricer(pricer);
leg.Add(coup);
}
else
{
// cap/floorlet
leg.Add(new CappedFlooredYoYInflationCoupon(
paymentDate,
Utils.Get(notionals_, i, 1.0),
start, end,
Utils.Get(fixingDays_, i, 0),
index_,
observationLag_,
paymentDayCounter_,
Utils.Get(gearings_, i, 1.0),
Utils.Get(spreads_, i, 0.0),
Utils.toNullable(Utils.Get(caps_, i, Double.MinValue)),
Utils.toNullable(Utils.Get(floors_, i, Double.MinValue)),
refStart, refEnd));
}
}
}
return(leg);
}
public DateGrid(string grid, QLNet.Calendar gridCalendar, DayCounter dayCounter)
{
if (grid == "ALPHA")
{
// ALPHA is
// quarterly up to 10Y,
// annual up to 30Y,
// quinquennial up to 100Y
for (int i = 1; i < 40; i++)
{ // 3M up to 39*3M = 117M = 9Y9M
Period p = new Period(i * 3, TimeUnit.Months);
p.normalize();
_tenors.Add(p);
}
for (int i = 10; i < 30; i++) // 10Y up to 29Y
{
_tenors.Add(new Period(i, TimeUnit.Years));
}
for (int i = 30; i < 105; i += 5) // 30Y up to 100Y
{
_tenors.Add(new Period(i, TimeUnit.Years));
}
}
else if (grid == "BETA")
{
// BETA is
// monthly up to 10Y,
// quarterly up to 20Y,
// annually up to 50Y,
// quinquennial up to 100Y
for (int i = 1; i < 119; i++)
{
Period p = new Period(i, TimeUnit.Months);
p.normalize();
_tenors.Add(p);
}
for (int i = 40; i < 80; i++)
{
Period p = new Period(3 * i, TimeUnit.Months);
p.normalize();
_tenors.Add(p);
}
for (int i = 20; i < 50; i++)
{
_tenors.Add(new Period(i, TimeUnit.Years));
}
for (int i = 50; i <= 100; i += 5)
{
_tenors.Add(new Period(i, TimeUnit.Years));
}
}
else
{ // uniform grid of format "numPillars,spacing" (e.g. 40,1M)
List <string> tokens = new List <string>();
//boost::split(tokens, grid, boost::is_any_of(","));
if (tokens.Count <= 2)
{
// uniform grid of format "numPillars,spacing" (e.g. 40,1M)
Period gridTenor = new Period(1, TimeUnit.Years); // default
int gridSize = 1; // atoi(tokens[0].c_str());
QLNet.Utils.QL_REQUIRE(gridSize > 0, () => "Invalid DateGrid string " + grid);
if (tokens.Count == 2)
{
//gridTenor = data::parsePeriod(tokens[1]);
}
if (gridTenor == new Period(1, TimeUnit.Days))
{
// we have a daily grid. Period and Calendar are not consistant with
// working & actual days, so we set the tenor grid
Date today = Settings.evaluationDate();
Date d = today;
for (int i = 0; i < gridSize; i++)
{
d = gridCalendar.advance(d, new Period(1, TimeUnit.Days), BusinessDayConvention.Following); // next working day
int n = d - today;
_tenors.Add(new Period(n, TimeUnit.Days));
}
}
else
{
for (int i = 0; i < gridSize; i++)
{
_tenors.Add((i + 1) * gridTenor);
}
}
}
else
{
// New style : 1D,2D,1W,2W,3Y,5Y,....
for (int i = 0; i < tokens.Count; i++)
{
//_tenors.Add(parsePeriod(tokens[i]));
}
}
}
BuildDates(gridCalendar, dayCounter);
}
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;
if (nominals.Count == 0)
{
throw new ArgumentException("no nominal given");
}
if (nominals.Count > n)
{
throw new ArgumentException(
"too many nominals (" + nominals.Count + "), only " + n + " required");
}
if (gearings != null && gearings.Count > n)
{
throw new ArgumentException(
"too many gearings (" + gearings.Count + "), only " + n + " required");
}
if (spreads != null && spreads.Count > n)
{
throw new ArgumentException(
"too many spreads (" + spreads.Count + "), only " + n + " required");
}
if (callStrikes.Count > n)
{
throw new ArgumentException(
"too many nominals (" + callStrikes.Count + "), only " + n + " required");
}
if (putStrikes.Count > n)
{
throw new ArgumentException(
"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) == 0.0) // fixed coupon
{
leg.Add(new
FixedRateCoupon(Utils.Get(nominals, i, 1.0),
paymentDate,
Utils.Get(spreads, i, 1.0),
paymentDayCounter,
start, end, refStart, refEnd));
}
else // floating digital coupon
{
FloatingCouponType underlying = new FloatingCouponType().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 = new DigitalCouponType().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);
}
protected HazardRateStructure(Date referenceDate, Calendar cal = null, DayCounter dc = null,
List <Handle <Quote> > jumps = null, List <Date> jumpDates = null)
: base(referenceDate, cal, dc, jumps, jumpDates)
{
}
//! constructor for amortizing or non-amortizing bonds.
/*! Redemptions and maturity are calculated from the coupon
* data, if available. Therefore, redemptions must not be
* included in the passed cash flows.
*/
//public Bond(int settlementDays, Calendar calendar, Date issueDate = Date(), List<CashFlow> coupons = Leg());
public Bond(int settlementDays, Calendar calendar, Date issueDate)
: this(settlementDays, calendar, issueDate, new List <CashFlow>())
{
}
public ZeroYieldStructure(int settlementDays, Calendar calendar, DayCounter dc = null,
List <Handle <Quote> > jumps = null, List <Date> jumpDates = null)
: base(settlementDays, calendar, dc, jumps, jumpDates)
{
}
//! old constructor for non amortizing bonds.
/*! \warning The last passed cash flow must be the bond
* redemption. No other cash flow can have a date
* later than the redemption date.
*/
public Bond(int settlementDays, Calendar calendar, double faceAmount, Date maturityDate, Date issueDate)
: this(settlementDays, calendar, faceAmount, maturityDate, issueDate, new List <CashFlow>())
{
}
public override void calculate()
{
DayCounter rfdc = process_.riskFreeRate().link.dayCounter();
DayCounter divdc = process_.dividendYield().link.dayCounter();
DayCounter voldc = process_.blackVolatility().link.dayCounter();
Calendar volcal = process_.blackVolatility().link.calendar();
double s0 = process_.stateVariable().link.value();
Utils.QL_REQUIRE(s0 > 0.0, () => "negative or null underlying given");
double v = process_.blackVolatility().link.blackVol(arguments_.exercise.lastDate(), s0);
Date maturityDate = arguments_.exercise.lastDate();
double r = process_.riskFreeRate().link.zeroRate(maturityDate, rfdc, Compounding.Continuous, Frequency.NoFrequency).value();
double q = process_.dividendYield().link.zeroRate(maturityDate, divdc, Compounding.Continuous, Frequency.NoFrequency).value();
Date referenceDate = process_.riskFreeRate().link.referenceDate();
// binomial trees with constant coefficient
Handle <YieldTermStructure> flatRiskFree = new Handle <YieldTermStructure>(new FlatForward(referenceDate, r, rfdc));
Handle <YieldTermStructure> flatDividends = new Handle <YieldTermStructure>(new FlatForward(referenceDate, q, divdc));
Handle <BlackVolTermStructure> flatVol = new Handle <BlackVolTermStructure>(new BlackConstantVol(referenceDate, volcal, v, voldc));
StrikedTypePayoff payoff = arguments_.payoff as StrikedTypePayoff;
Utils.QL_REQUIRE(payoff != null, () => "non-striked payoff given");
double maturity = rfdc.yearFraction(referenceDate, maturityDate);
StochasticProcess1D bs = new GeneralizedBlackScholesProcess(process_.stateVariable(),
flatDividends, flatRiskFree, flatVol);
// correct timesteps to ensure a (local) minimum, using Boyle and Lau
// approach. See Journal of Derivatives, 1/1994,
// "Bumping up against the barrier with the binomial method"
// Note: this approach works only for CoxRossRubinstein lattices, so
// is disabled if T is not a CoxRossRubinstein or derived from it.
int optimum_steps = timeSteps_;
if (maxTimeSteps_ > timeSteps_ && s0 > 0 && arguments_.barrier > 0) // boost::is_base_of<CoxRossRubinstein, T>::value &&
{
double divisor;
if (s0 > arguments_.barrier)
{
divisor = Math.Pow(Math.Log(s0 / arguments_.barrier.Value), 2);
}
else
{
divisor = Math.Pow(Math.Log(arguments_.barrier.Value / s0), 2);
}
if (!Utils.close(divisor, 0))
{
for (int i = 1; i < timeSteps_; ++i)
{
int optimum = (int)((i * i * v * v * maturity) / divisor);
if (timeSteps_ < optimum)
{
optimum_steps = optimum;
break; // found first minimum with iterations>=timesteps
}
}
}
if (optimum_steps > maxTimeSteps_)
{
optimum_steps = maxTimeSteps_; // too high, limit
}
}
TimeGrid grid = new TimeGrid(maturity, optimum_steps);
ITree tree = getTree_(bs, maturity, optimum_steps, payoff.strike());
BlackScholesLattice <ITree> lattice = new BlackScholesLattice <ITree>(tree, r, maturity, optimum_steps);
DiscretizedAsset option = getAsset_(arguments_, process_, grid);
option.initialize(lattice, maturity);
// Partial derivatives calculated from various points in the
// binomial tree
// (see J.C.Hull, "Options, Futures and other derivatives", 6th edition, pp 397/398)
// Rollback to third-last step, and get underlying prices (s2) &
// option values (p2) at this point
option.rollback(grid[2]);
Vector va2 = new Vector(option.values());
Utils.QL_REQUIRE(va2.size() == 3, () => "Expect 3 nodes in grid at second step");
double p2u = va2[2]; // up
double p2m = va2[1]; // mid
double p2d = va2[0]; // down (low)
double s2u = lattice.underlying(2, 2); // up price
double s2m = lattice.underlying(2, 1); // middle price
double s2d = lattice.underlying(2, 0); // down (low) price
// calculate gamma by taking the first derivate of the two deltas
double delta2u = (p2u - p2m) / (s2u - s2m);
double delta2d = (p2m - p2d) / (s2m - s2d);
double gamma = (delta2u - delta2d) / ((s2u - s2d) / 2);
// Rollback to second-last step, and get option values (p1) at
// this point
option.rollback(grid[1]);
Vector va = new Vector(option.values());
Utils.QL_REQUIRE(va.size() == 2, () => "Expect 2 nodes in grid at first step");
double p1u = va[1];
double p1d = va[0];
double s1u = lattice.underlying(1, 1); // up (high) price
double s1d = lattice.underlying(1, 0); // down (low) price
double delta = (p1u - p1d) / (s1u - s1d);
// Finally, rollback to t=0
option.rollback(0.0);
double p0 = option.presentValue();
// Store results
results_.value = p0;
results_.delta = delta;
results_.gamma = gamma;
// theta can be approximated by calculating the numerical derivative
// between mid value at third-last step and at t0. The underlying price
// is the same, only time varies.
results_.theta = (p2m - p0) / grid[2];
}
