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;
Utils.QL_REQUIRE(!nominals.empty(), () => "no notional given");
Utils.QL_REQUIRE(nominals.Count <= n, () => "too many nominals (" + nominals.Count + "), only " + n + " required");
if (gearings != null)
{
Utils.QL_REQUIRE(gearings.Count <= n, () => "too many gearings (" + gearings.Count + "), only " + n + " required");
}
if (spreads != null)
{
Utils.QL_REQUIRE(spreads.Count <= n, () => "too many spreads (" + spreads.Count + "), only " + n + " required");
}
if (callStrikes != null)
{
Utils.QL_REQUIRE(callStrikes.Count <= n, () => "too many nominals (" + callStrikes.Count + "), only " + n + " required");
}
if (putStrikes != null)
{
Utils.QL_REQUIRE(putStrikes.Count <= n, () => "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).IsEqual(0.0))
{
// fixed coupon
leg.Add(new FixedRateCoupon(paymentDate, Utils.Get(nominals, i, 1.0),
Utils.Get(spreads, i, 1.0),
paymentDayCounter,
start, end, refStart, refEnd));
}
else
{
// floating digital coupon
FloatingCouponType underlying = FastActivator <FloatingCouponType> .Create().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 = FastActivator <DigitalCouponType> .Create().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);
}
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;
Utils.QL_REQUIRE(!nominals.empty(), () => "no notional given");
Utils.QL_REQUIRE(nominals.Count <= n, () => "too many nominals (" + nominals.Count + "), only " + n + " required");
if (gearings != null)
{
Utils.QL_REQUIRE(gearings.Count <= n, () => "too many gearings (" + gearings.Count + "), only " + n + " required");
}
if (spreads != null)
{
Utils.QL_REQUIRE(spreads.Count <= n, () => "too many spreads (" + spreads.Count + "), only " + n + " required");
}
if (caps != null)
{
Utils.QL_REQUIRE(caps.Count <= n, () => "too many caps (" + caps.Count + "), only " + n + " required");
}
if (floors != null)
{
Utils.QL_REQUIRE(floors.Count <= n, () => "too many floors (" + floors.Count + "), only " + n + " required");
}
Utils.QL_REQUIRE(!isZero || !isInArrears, () => "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 lastPaymentDate = calendar.adjust(schedule[n - 1], paymentAdj);
for (int i = 0; i < n - 1; ++i)
{
Date refStart, start, refEnd, end;
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).IsEqual(0.0))
{
// fixed coupon
leg.Add(new FixedRateCoupon(paymentDate, Utils.Get(nominals, i),
Utils.effectiveFixedRate(spreads, caps, floors, i),
paymentDayCounter,
start, end, refStart, refEnd));
}
else
{
if (Utils.noOption(caps, floors, i))
{
leg.Add(FastActivator <FloatingCouponType> .Create().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(FastActivator <CappedFlooredCouponType> .Create().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 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).rate();
double q = process_.dividendYield().link.zeroRate(maturityDate, divdc, Compounding.Continuous, Frequency.NoFrequency).rate();
Date referenceDate = process_.riskFreeRate().link.referenceDate();
// binomial trees with constant coefficient
var flatRiskFree = new Handle <YieldTermStructure>(new FlatForward(referenceDate, r, rfdc));
var flatDividends = new Handle <YieldTermStructure>(new FlatForward(referenceDate, q, divdc));
var flatVol = new Handle <BlackVolTermStructure>(new BlackConstantVol(referenceDate, volcal, v, voldc));
PlainVanillaPayoff payoff = arguments_.payoff as PlainVanillaPayoff;
Utils.QL_REQUIRE(payoff != null, () => "non-plain payoff given");
double maturity = rfdc.yearFraction(referenceDate, maturityDate);
StochasticProcess1D bs =
new GeneralizedBlackScholesProcess(process_.stateVariable(), flatDividends, flatRiskFree, flatVol);
TimeGrid grid = new TimeGrid(maturity, timeSteps_);
T tree = FastActivator <T> .Create().factory(bs, maturity, timeSteps_, payoff.strike());
BlackScholesLattice <T> lattice = new BlackScholesLattice <T>(tree, r, maturity, timeSteps_);
DiscretizedVanillaOption option = new DiscretizedVanillaOption(arguments_, process_, grid);
option.initialize(lattice, maturity);
// Partial derivatives calculated from various points in the
// binomial tree (Odegaard)
// Rollback to third-last step, and get underlying price (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 p2h = va2[2]; // high-price
double s2 = lattice.underlying(2, 2); // high price
// Rollback to second-last step, and get option value (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 p1 = va[1];
// Finally, rollback to t=0
option.rollback(0.0);
double p0 = option.presentValue();
double s1 = lattice.underlying(1, 1);
// Calculate partial derivatives
double delta0 = (p1 - p0) / (s1 - s0); // dp/ds
double delta1 = (p2h - p1) / (s2 - s1); // dp/ds
// Store results
results_.value = p0;
results_.delta = delta0;
results_.gamma = 2.0 * (delta1 - delta0) / (s2 - s0); //d(delta)/ds
results_.theta = Utils.blackScholesTheta(process_,
results_.value.GetValueOrDefault(),
results_.delta.GetValueOrDefault(),
results_.gamma.GetValueOrDefault());
}
public GenericTimeSetter(Vector grid, GeneralizedBlackScholesProcess process)
{
grid_ = new LogGrid(grid);
pde_ = (PdeClass)FastActivator <PdeClass> .Create().factory(process);
}
public void setInterpolation <Interpolator>() where Interpolator : IInterpolationFactory, new ()
{
setInterpolation <Interpolator>(FastActivator <Interpolator> .Create());
}
public FDConditionTemplate(GeneralizedBlackScholesProcess process, int timeSteps, int gridPoints, bool timeDependent)
: base(process, timeSteps, gridPoints, timeDependent)
{
// init engine
engine_ = (baseEngine)FastActivator <baseEngine> .Create().factory(process, timeSteps, gridPoints, timeDependent);
}
//! basic calculate method provided to inherited pricing engines
public void calculate(double?requiredTolerance, int?requiredSamples, int?maxSamples)
{
Utils.QL_REQUIRE(requiredTolerance != null ||
requiredSamples != null, () => "neither tolerance nor number of samples set");
//! Initialize the one-factor Monte Carlo
if (this.controlVariate_)
{
double?controlVariateValue = this.controlVariateValue();
Utils.QL_REQUIRE(controlVariateValue != null, () => "engine does not provide control-variation price");
PathPricer <IPath> controlPP = this.controlPathPricer();
Utils.QL_REQUIRE(controlPP != null, () => "engine does not provide control-variation path pricer");
IPathGenerator <IRNG> controlPG = this.controlPathGenerator();
this.mcModel_ = new MonteCarloModel <MC, RNG, S>(pathGenerator(), pathPricer(), FastActivator <S> .Create(), antitheticVariate_,
controlPP, controlVariateValue.GetValueOrDefault(), controlPG);
}
else
{
this.mcModel_ = new MonteCarloModel <MC, RNG, S>(pathGenerator(), pathPricer(), FastActivator <S> .Create(), antitheticVariate_);
}
if (requiredTolerance != null)
{
if (maxSamples != null)
{
value(requiredTolerance.Value, maxSamples.Value);
}
else
{
value(requiredTolerance.Value);
}
}
else
{
valueWithSamples(requiredSamples.GetValueOrDefault());
}
}
//public FDEngineAdapter(GeneralizedBlackScholesProcess process, Size timeSteps=100, Size gridPoints=100, bool timeDependent = false)
public FDEngineAdapter(GeneralizedBlackScholesProcess process, int timeSteps, int gridPoints, bool timeDependent)
{
optionBase = (Base)FastActivator <Base> .Create().factory(process, timeSteps, gridPoints, timeDependent);
process.registerWith(update);
}
public LogInterpolationImpl(List <double> xBegin, int size, List <double> yBegin)
: this(xBegin, size, yBegin, FastActivator <Interpolator> .Create())
{
}
public InterpolatedYoYInflationCurve(Date referenceDate,
Calendar calendar,
DayCounter dayCounter,
Period lag,
Frequency frequency,
bool indexIsInterpolated,
Handle <YieldTermStructure> yTS,
List <Date> dates,
List <double> rates)
: this(referenceDate, calendar, dayCounter, lag, frequency, indexIsInterpolated, yTS, dates, rates, FastActivator <Interpolator> .Create())
{
}
public XABRCoeffHolder(double t, double forward, List <double?> _params, List <bool> paramIsFixed)
{
t_ = t;
forward_ = forward;
params_ = _params;
paramIsFixed_ = new InitializedList <bool>(paramIsFixed.Count, false);
weights_ = new List <double>();
error_ = null;
maxError_ = null;
XABREndCriteria_ = EndCriteria.Type.None;
Utils.QL_REQUIRE(t > 0.0, () => "expiry time must be positive: " + t + " not allowed");
Utils.QL_REQUIRE(_params.Count == FastActivator <Model> .Create().dimension(), () =>
"wrong number of parameters (" + _params.Count + "), should be " + FastActivator <Model> .Create().dimension());
Utils.QL_REQUIRE(paramIsFixed.Count == FastActivator <Model> .Create().dimension(), () =>
"wrong number of fixed parameters flags (" + paramIsFixed.Count + "), should be " +
FastActivator <Model> .Create().dimension());
for (int i = 0; i < _params.Count; ++i)
{
if (_params[i] != null)
{
paramIsFixed_[i] = paramIsFixed[i];
}
}
FastActivator <Model> .Create().defaultValues(params_, paramIsFixed_, forward_, t_);
updateModelInstance();
}
