public FdmAffineModelSwapInnerValue(
ModelType disModel,
ModelType fwdModel,
VanillaSwap swap,
Dictionary <double, Date> exerciseDates,
FdmMesher mesher,
int direction)
{
disModel_ = disModel;
fwdModel_ = fwdModel;
mesher_ = mesher;
direction_ = direction;
swap_ = new VanillaSwap(swap.swapType,
swap.nominal,
swap.fixedSchedule(),
swap.fixedRate,
swap.fixedDayCount(),
swap.floatingSchedule(),
swap.iborIndex().clone(fwdTs_),
swap.spread,
swap.floatingDayCount(),
null);
exerciseDates_ = exerciseDates;
}
public override void calculate()
{
double basisPoint = 1.0e-4;
Date exerciseDate = arguments_.exercise.date(0);
// the part of the swap preceding exerciseDate should be truncated
// to avoid taking into account unwanted cashflows
// for the moment we add a check avoiding this situation
VanillaSwap swap = arguments_.swap;
double strike = swap.fixedRate;
List <CashFlow> fixedLeg = swap.fixedLeg();
FixedRateCoupon firstCoupon = fixedLeg[0] as FixedRateCoupon;
Utils.QL_REQUIRE(firstCoupon != null, () => "wrong coupon type");
Utils.QL_REQUIRE(firstCoupon.accrualStartDate() >= exerciseDate,
() => "swap start (" + firstCoupon.accrualStartDate() + ") before exercise date ("
+ exerciseDate + ") not supported in Black swaption engine");
// using the forecasting curve
swap.setPricingEngine(new DiscountingSwapEngine(swap.iborIndex().forwardingTermStructure()));
double atmForward = swap.fairRate();
// Volatilities are quoted for zero-spreaded swaps.
// Therefore, any spread on the floating leg must be removed
// with a corresponding correction on the fixed leg.
if (swap.spread.IsNotEqual(0.0))
{
double correction = swap.spread * Math.Abs(swap.floatingLegBPS() / swap.fixedLegBPS());
strike -= correction;
atmForward -= correction;
results_.additionalResults["spreadCorrection"] = correction;
}
else
{
results_.additionalResults["spreadCorrection"] = 0.0;
}
results_.additionalResults["strike"] = strike;
results_.additionalResults["atmForward"] = atmForward;
// using the discounting curve
swap.setPricingEngine(new DiscountingSwapEngine(discountCurve_, false));
double annuity = 0;
switch (arguments_.settlementType)
{
case Settlement.Type.Physical:
{
annuity = Math.Abs(swap.fixedLegBPS()) / basisPoint;
break;
}
case Settlement.Type.Cash:
{
DayCounter dayCount = firstCoupon.dayCounter();
// we assume that the cash settlement date is equal
// to the swap start date
Date discountDate = model_ == CashAnnuityModel.DiscountCurve
? firstCoupon.accrualStartDate()
: discountCurve_.link.referenceDate();
double fixedLegCashBPS =
CashFlows.bps(fixedLeg,
new InterestRate(atmForward, dayCount, Compounding.Compounded, Frequency.Annual), false,
discountDate);
annuity = Math.Abs(fixedLegCashBPS / basisPoint) * discountCurve_.link.discount(discountDate);
break;
}
default:
Utils.QL_FAIL("unknown settlement type");
break;
}
results_.additionalResults["annuity"] = annuity;
double swapLength = vol_.link.swapLength(swap.floatingSchedule().dates().First(),
swap.floatingSchedule().dates().Last());
results_.additionalResults["swapLength"] = swapLength;
double variance = vol_.link.blackVariance(exerciseDate,
swapLength,
strike);
double displacement = displacement_ == null
? vol_.link.shift(exerciseDate, swapLength)
: Convert.ToDouble(displacement_);
double stdDev = Math.Sqrt(variance);
results_.additionalResults["stdDev"] = stdDev;
Option.Type w = (arguments_.type == VanillaSwap.Type.Payer) ? Option.Type.Call : Option.Type.Put;
results_.value = new Spec().value(w, strike, atmForward, stdDev, annuity, displacement);
double exerciseTime = vol_.link.timeFromReference(exerciseDate);
results_.additionalResults["vega"] =
new Spec().vega(strike, atmForward, stdDev, exerciseTime, annuity, displacement);
}
public override void calculate()
{
double basisPoint = 1.0e-4;
Date exerciseDate = arguments_.exercise.date(0);
// the part of the swap preceding exerciseDate should be truncated
// to avoid taking into account unwanted cashflows
VanillaSwap swap = arguments_.swap;
double strike = swap.fixedRate;
// using the forecasting curve
swap.setPricingEngine(new DiscountingSwapEngine(swap.iborIndex().forwardingTermStructure()));
double atmForward = swap.fairRate();
// Volatilities are quoted for zero-spreaded swaps.
// Therefore, any spread on the floating leg must be removed
// with a corresponding correction on the fixed leg.
if (swap.spread != 0.0)
{
double correction = swap.spread * Math.Abs(swap.floatingLegBPS() / swap.fixedLegBPS());
strike -= correction;
atmForward -= correction;
results_.additionalResults["spreadCorrection"] = correction;
}
else
{
results_.additionalResults["spreadCorrection"] = 0.0;
}
results_.additionalResults["strike"] = strike;
results_.additionalResults["atmForward"] = atmForward;
// using the discounting curve
swap.setPricingEngine(new DiscountingSwapEngine(termStructure_));
double annuity;
switch (arguments_.settlementType)
{
case Settlement.Type.Physical: {
annuity = Math.Abs(swap.fixedLegBPS()) / basisPoint;
break;
}
case Settlement.Type.Cash: {
List <CashFlow> fixedLeg = swap.fixedLeg();
FixedRateCoupon firstCoupon = (FixedRateCoupon)fixedLeg[0];
DayCounter dayCount = firstCoupon.dayCounter();
double fixedLegCashBPS =
CashFlows.bps(fixedLeg,
new InterestRate(atmForward, dayCount, QLNet.Compounding.Compounded, Frequency.Annual), false,
termStructure_.link.referenceDate());
annuity = Math.Abs(fixedLegCashBPS / basisPoint);
break;
}
default:
throw new ApplicationException("unknown settlement type");
}
results_.additionalResults["annuity"] = annuity;
// the swap length calculation might be improved using the value date
// of the exercise date
double swapLength = volatility_.link.swapLength(exerciseDate,
arguments_.floatingPayDates.Last());
results_.additionalResults["swapLength"] = swapLength;
double variance = volatility_.link.blackVariance(exerciseDate,
swapLength,
strike);
double stdDev = Math.Sqrt(variance);
results_.additionalResults["stdDev"] = stdDev;
Option.Type w = (arguments_.type == VanillaSwap.Type.Payer) ?
Option.Type.Call : Option.Type.Put;
results_.value = Utils.blackFormula(w, strike, atmForward, stdDev, annuity);
double exerciseTime = volatility_.link.timeFromReference(exerciseDate);
results_.additionalResults["vega"] = Math.Sqrt(exerciseTime) *
Utils.blackFormulaStdDevDerivative(strike, atmForward, stdDev, annuity);
}