public void visit(IborCoupon c)
{
IborCouponPricer iborCouponPricer = pricer_ as IborCouponPricer;
Utils.QL_REQUIRE(iborCouponPricer != null, () => "pricer not compatible with Ibor coupon");
c.setPricer(iborCouponPricer);
}
public override void initialize(FloatingRateCoupon coupon)
{
gearing_ = coupon.gearing();
spread_ = coupon.spread();
accrualPeriod_ = coupon.accrualPeriod();
Utils.QL_REQUIRE(accrualPeriod_.IsNotEqual(0.0), () => "null accrual period");
index_ = coupon.index() as IborIndex;
if (index_ == null)
{
// check if the coupon was right
IborCoupon c = coupon as IborCoupon;
Utils.QL_REQUIRE(c != null, () => "IborCoupon required");
// coupon was right, index is not
Utils.QL_FAIL("IborIndex required");
}
Handle <YieldTermStructure> rateCurve = index_.forwardingTermStructure();
Date paymentDate = coupon.date();
if (paymentDate > rateCurve.link.referenceDate())
{
discount_ = rateCurve.link.discount(paymentDate);
}
else
{
discount_ = 1.0;
}
spreadLegValue_ = spread_ * accrualPeriod_ * discount_;
coupon_ = coupon;
}
public override void setupArguments(IPricingEngineArguments args)
{
base.setupArguments(args);
VanillaSwap.Arguments arguments = args as VanillaSwap.Arguments;
if (arguments == null) // it's a swap engine...
{
return;
}
arguments.type = type_;
arguments.nominal = nominal_;
List <CashFlow> fixedCoupons = fixedLeg();
arguments.fixedResetDates = new InitializedList <Date>(fixedCoupons.Count);
arguments.fixedPayDates = new InitializedList <Date>(fixedCoupons.Count);
arguments.fixedCoupons = new InitializedList <double>(fixedCoupons.Count);
for (int i = 0; i < fixedCoupons.Count; ++i)
{
FixedRateCoupon coupon = (FixedRateCoupon)fixedCoupons[i];
arguments.fixedPayDates[i] = coupon.date();
arguments.fixedResetDates[i] = coupon.accrualStartDate();
arguments.fixedCoupons[i] = coupon.amount();
}
List <CashFlow> floatingCoupons = floatingLeg();
arguments.floatingResetDates = new InitializedList <Date>(floatingCoupons.Count);
arguments.floatingPayDates = new InitializedList <Date>(floatingCoupons.Count);
arguments.floatingFixingDates = new InitializedList <Date>(floatingCoupons.Count);
arguments.floatingAccrualTimes = new InitializedList <double>(floatingCoupons.Count);
arguments.floatingSpreads = new InitializedList <double>(floatingCoupons.Count);
arguments.floatingCoupons = new InitializedList <double>(floatingCoupons.Count);
for (int i = 0; i < floatingCoupons.Count; ++i)
{
IborCoupon coupon = (IborCoupon)floatingCoupons[i];
arguments.floatingResetDates[i] = coupon.accrualStartDate();
arguments.floatingPayDates[i] = coupon.date();
arguments.floatingFixingDates[i] = coupon.fixingDate();
arguments.floatingAccrualTimes[i] = coupon.accrualPeriod();
arguments.floatingSpreads[i] = coupon.spread();
try
{
arguments.floatingCoupons[i] = coupon.amount();
}
catch
{
arguments.floatingCoupons[i] = default(double);
}
}
}
public void visit(IborCoupon c)
{
IborCouponPricer pricer = pricer_ as IborCouponPricer;
if (pricer == null)
{
throw new ApplicationException("pricer not compatible with Ibor coupon");
}
c.setPricer(pricer);
}
public DigitalIborCoupon(IborCoupon 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, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, putStrike, putPosition, isPutATMIncluded, putDigitalPayoff, replication)
{
}
public DigitalIborCoupon(IborCoupon 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, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, putStrike, putPosition, isPutATMIncluded, putDigitalPayoff, replication)
{
}
public LiborForwardModelProcess(int size, IborIndex index, IDiscretization disc)
: base(disc)
{
size_ = size;
index_ = index;
initialValues_ = new InitializedList <double>(size_);
fixingTimes_ = new InitializedList <double>(size);
fixingDates_ = new InitializedList <Date>(size_);
accrualStartTimes_ = new InitializedList <double>(size);
accrualEndTimes_ = new InitializedList <double>(size);
accrualPeriod_ = new InitializedList <double>(size_);
m1 = new Vector(size_);
m2 = new Vector(size_);
DayCounter dayCounter = index.dayCounter();
IList <CashFlow> flows = cashFlows(1);
if (!(size_ == flows.Count))
{
throw new ArgumentException("wrong number of cashflows");
}
Date settlement = index_.forwardingTermStructure().link.referenceDate();
Date startDate;
IborCoupon iborcoupon = (IborCoupon)flows[0];
startDate = iborcoupon.fixingDate();
for (int i = 0; i < size_; ++i)
{
IborCoupon coupon = (IborCoupon)flows[i];
if (!(coupon.date() == coupon.accrualEndDate()))
{
throw new ArgumentException("irregular coupon types are not suppported");
}
initialValues_[i] = coupon.rate();
accrualPeriod_[i] = coupon.accrualPeriod();
fixingDates_[i] = coupon.fixingDate();
fixingTimes_[i] = dayCounter.yearFraction(startDate, coupon.fixingDate());
accrualStartTimes_[i] = dayCounter.yearFraction(settlement, coupon.accrualStartDate());
accrualEndTimes_[i] = dayCounter.yearFraction(settlement, coupon.accrualEndDate());
}
}
//===========================================================================//
// BlackIborCouponPricer //
//===========================================================================//
public override void initialize(FloatingRateCoupon coupon)
{
coupon_ = coupon as IborCoupon;
if (coupon_ == null) throw new ApplicationException("Libor coupon required");
gearing_ = coupon_.gearing();
spread_ = coupon_.spread();
Date paymentDate = coupon_.Date;
IborIndex index = coupon_.index() as IborIndex;
Handle<YieldTermStructure> rateCurve = index.forwardingTermStructure();
if (paymentDate > rateCurve.link.referenceDate())
discount_ = rateCurve.link.discount(paymentDate);
else
discount_ = 1.0;
spreadLegValue_ = spread_ * coupon_.accrualPeriod() * discount_;
}
public void visit(IborCoupon c)
{
IborCouponPricer pricer = pricer_ as IborCouponPricer;
if (pricer == null)
throw new ApplicationException("pricer not compatible with Ibor coupon");
c.setPricer(pricer);
}
public override void setupArguments(IPricingEngineArguments args)
{
base.setupArguments(args);
BasisSwap.Arguments arguments = args as BasisSwap.Arguments;
if (arguments == null) // it's a swap engine...
{
return;
}
arguments.type = type_;
arguments.nominal = nominal_;
List <CashFlow> floating1Coupons = floating1Leg();
arguments.floating1ResetDates = new InitializedList <Date>(floating1Coupons.Count);
arguments.floating1PayDates = new InitializedList <Date>(floating1Coupons.Count);
arguments.floating1FixingDates = new InitializedList <Date>(floating1Coupons.Count);
arguments.floating1AccrualTimes = new InitializedList <double>(floating1Coupons.Count);
arguments.floating1Spreads = new InitializedList <double>(floating1Coupons.Count);
arguments.floating1Coupons = new InitializedList <double>(floating1Coupons.Count);
for (int i = 0; i < floating1Coupons.Count; ++i)
{
IborCoupon coupon = (IborCoupon)floating1Coupons[i];
arguments.floating1ResetDates[i] = coupon.accrualStartDate();
arguments.floating1PayDates[i] = coupon.date();
arguments.floating1FixingDates[i] = coupon.fixingDate();
arguments.floating1AccrualTimes[i] = coupon.accrualPeriod();
arguments.floating1Spreads[i] = coupon.spread();
try
{
arguments.floating1Coupons[i] = coupon.amount();
}
catch
{
arguments.floating1Coupons[i] = default(double);
}
}
List <CashFlow> floating2Coupons = floating2Leg();
arguments.floating2ResetDates = new InitializedList <Date>(floating2Coupons.Count);
arguments.floating2PayDates = new InitializedList <Date>(floating2Coupons.Count);
arguments.floating2FixingDates = new InitializedList <Date>(floating2Coupons.Count);
arguments.floating2AccrualTimes = new InitializedList <double>(floating2Coupons.Count);
arguments.floating2Spreads = new InitializedList <double>(floating2Coupons.Count);
arguments.floating2Coupons = new InitializedList <double>(floating2Coupons.Count);
for (int i = 0; i < floating2Coupons.Count; ++i)
{
IborCoupon coupon = (IborCoupon)floating2Coupons[i];
arguments.floating2ResetDates[i] = coupon.accrualStartDate();
arguments.floating2PayDates[i] = coupon.date();
arguments.floating2FixingDates[i] = coupon.fixingDate();
arguments.floating2AccrualTimes[i] = coupon.accrualPeriod();
arguments.floating2Spreads[i] = coupon.spread();
try
{
arguments.floating2Coupons[i] = coupon.amount();
}
catch
{
arguments.floating2Coupons[i] = default(double);
}
}
}
// Factory - for Leg generators
public virtual CashFlow factory(IborCoupon underlying, double? callStrike, Position.Type callPosition, bool isCallATMIncluded, double? callDigitalPayoff, double? putStrike, Position.Type putPosition, bool isPutATMIncluded, double? putDigitalPayoff, DigitalReplication replication)
{
return new DigitalIborCoupon(underlying, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, putStrike, putPosition, isPutATMIncluded, putDigitalPayoff, replication);
}
// Factory - for Leg generators
public virtual CashFlow factory(IborCoupon underlying, double?callStrike, Position.Type callPosition, bool isCallATMIncluded, double?callDigitalPayoff, double?putStrike, Position.Type putPosition, bool isPutATMIncluded, double?putDigitalPayoff, DigitalReplication replication)
{
return(new DigitalIborCoupon(underlying, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, putStrike, putPosition, isPutATMIncluded, putDigitalPayoff, replication));
}
