public ImpliedVolHelper(CapFloor cap,
Handle <YieldTermStructure> discountCurve,
double targetValue,
double displacement,
VolatilityType type)
{
discountCurve_ = discountCurve;
targetValue_ = targetValue;
vol_ = new SimpleQuote(-1.0);
Handle <Quote> h = new Handle <Quote>(vol_);
switch (type)
{
case VolatilityType.ShiftedLognormal:
engine_ = (IPricingEngine) new BlackCapFloorEngine(discountCurve_, h, new Actual365Fixed(), displacement);
break;
case VolatilityType.Normal:
engine_ = (IPricingEngine) new BachelierCapFloorEngine(discountCurve_, h, new Actual365Fixed());
break;
default:
Utils.QL_FAIL("unknown VolatilityType (" + type.ToString() + ")");
break;
}
cap.setupArguments(engine_.getArguments());
results_ = engine_.getResults() as Instrument.Results;
}
public ImpliedVolHelper(CapFloor cap, Handle <YieldTermStructure> discountCurve,
double targetValue)
{
discountCurve_ = discountCurve;
targetValue_ = targetValue;
vol_ = new SimpleQuote(-1.0);
Handle <Quote> h = new Handle <Quote>(vol_);
engine_ = (IPricingEngine) new BlackCapFloorEngine(discountCurve_, h);
cap.setupArguments(engine_.getArguments());
results_ = engine_.getResults() as Instrument.Results;
}
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);
}
public CapFloor value()
{
VanillaSwap swap = makeVanillaSwap_;
List <CashFlow> leg = swap.floatingLeg();
if (firstCapletExcluded_)
{
leg.RemoveAt(0);
}
// only leaves the last coupon
if (asOptionlet_ && leg.Count > 1)
{
leg.RemoveRange(0, leg.Count - 2); // Sun Studio needs an lvalue
}
List <double> strikeVector;
if (strike_ == null)
{
// temporary patch...
// should be fixed for every CapFloor::Engine
BlackCapFloorEngine temp = engine_ as BlackCapFloorEngine;
Utils.QL_REQUIRE(temp != null, () => "cannot calculate ATM without a BlackCapFloorEngine");
Handle <YieldTermStructure> discountCurve = temp.termStructure();
strikeVector = new InitializedList <double>(1, CashFlows.atmRate(leg, discountCurve, false, discountCurve.link.referenceDate()));
//strikeVector[0] = CashFlows.atmRate(leg,discountCurve,false,discountCurve.link.referenceDate());
}
else
{
strikeVector = new InitializedList <double>(1, strike_.Value);
}
CapFloor capFloor = new CapFloor(capFloorType_, leg, strikeVector);
capFloor.setPricingEngine(engine_);
return(capFloor);
}
