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);
}
//! \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 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 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);
}