protected SwaptionVolatilityCube(Handle <SwaptionVolatilityStructure> atmVol,
List <Period> optionTenors,
List <Period> swapTenors,
List <double> strikeSpreads,
List <List <Handle <Quote> > > volSpreads,
SwapIndex swapIndexBase,
SwapIndex shortSwapIndexBase,
bool vegaWeightedSmileFit)
: base(optionTenors, swapTenors, 0, atmVol.link.calendar(), atmVol.link.businessDayConvention(),
atmVol.link.dayCounter())
{
atmVol_ = atmVol;
nStrikes_ = strikeSpreads.Count;
strikeSpreads_ = strikeSpreads;
localStrikes_ = new InitializedList <double>(nStrikes_);
localSmile_ = new List <double>(nStrikes_);
volSpreads_ = volSpreads;
swapIndexBase_ = swapIndexBase;
shortSwapIndexBase_ = shortSwapIndexBase;
vegaWeightedSmileFit_ = vegaWeightedSmileFit;
Utils.QL_REQUIRE(!atmVol_.empty(), () => "atm vol handle not linked to anything");
for (int i = 1; i < nStrikes_; ++i)
{
Utils.QL_REQUIRE(strikeSpreads_[i - 1] < strikeSpreads_[i], () =>
"non increasing strike spreads: " + i + " is " + strikeSpreads_[i - 1] + ", " +
(i + 1) + " is " + strikeSpreads_[i]);
}
Utils.QL_REQUIRE(!volSpreads_.empty(), () => "empty vol spreads matrix");
Utils.QL_REQUIRE(nOptionTenors_ * nSwapTenors_ == volSpreads_.Count, () =>
"mismatch between number of option tenors * swap tenors (" +
nOptionTenors_ * nSwapTenors_ + ") and number of rows (" +
volSpreads_.Count + ")");
for (int i = 0; i < volSpreads_.Count; i++)
{
Utils.QL_REQUIRE(nStrikes_ == volSpreads_[i].Count, () =>
"mismatch between number of strikes (" + nStrikes_ +
") and number of columns (" + volSpreads_[i].Count +
") in the " + (i + 1) + " row");
}
atmVol_.registerWith(update);
atmVol_.link.enableExtrapolation();
swapIndexBase_.registerWith(update);
shortSwapIndexBase_.registerWith(update);
Utils.QL_REQUIRE(shortSwapIndexBase_.tenor() < swapIndexBase_.tenor(), () =>
"short index tenor (" + shortSwapIndexBase_.tenor() +
") is not less than index tenor (" +
swapIndexBase_.tenor() + ")");
registerWithVolatilitySpread();
Settings.Instance.registerWith(update);
evaluationDate_ = Settings.Instance.evaluationDate();
}
public SwapSpreadIndex(String familyName,
SwapIndex swapIndex1,
SwapIndex swapIndex2,
double gearing1 = 1.0,
double gearing2 = -1.0)
: base(familyName, swapIndex1.tenor(), // does not make sense, but we have to provide one
swapIndex1.fixingDays(), swapIndex1.currency(), swapIndex1.fixingCalendar(), swapIndex1.dayCounter())
{
swapIndex1_ = swapIndex1;
swapIndex2_ = swapIndex2;
gearing1_ = gearing1;
gearing2_ = gearing2;
swapIndex1_.registerWith(update);
swapIndex2_.registerWith(update);
name_ = swapIndex1_.name() + "(" + gearing1 + ") + "
+ swapIndex2_.name() + "(" + gearing1 + ")";
Utils.QL_REQUIRE(swapIndex1_.fixingDays() == swapIndex2_.fixingDays(), () =>
"index1 fixing days ("
+ swapIndex1_.fixingDays() + ")"
+ "must be equal to index2 fixing days ("
+ swapIndex2_.fixingDays() + ")");
Utils.QL_REQUIRE(swapIndex1_.fixingCalendar() == swapIndex2_.fixingCalendar(), () =>
"index1 fixingCalendar ("
+ swapIndex1_.fixingCalendar() + ")"
+ "must be equal to index2 fixingCalendar ("
+ swapIndex2_.fixingCalendar() + ")");
Utils.QL_REQUIRE(swapIndex1_.currency() == swapIndex2_.currency(), () =>
"index1 currency (" + swapIndex1_.currency() + ")"
+ "must be equal to index2 currency ("
+ swapIndex2_.currency() + ")");
Utils.QL_REQUIRE(swapIndex1_.dayCounter() == swapIndex2_.dayCounter(), () =>
"index1 dayCounter ("
+ swapIndex1_.dayCounter() + ")"
+ "must be equal to index2 dayCounter ("
+ swapIndex2_.dayCounter() + ")");
Utils.QL_REQUIRE(swapIndex1_.fixedLegTenor() == swapIndex2_.fixedLegTenor(), () =>
"index1 fixedLegTenor ("
+ swapIndex1_.fixedLegTenor() + ")"
+ "must be equal to index2 fixedLegTenor ("
+ swapIndex2_.fixedLegTenor());
Utils.QL_REQUIRE(swapIndex1_.fixedLegConvention() == swapIndex2_.fixedLegConvention(), () =>
"index1 fixedLegConvention ("
+ swapIndex1_.fixedLegConvention() + ")"
+ "must be equal to index2 fixedLegConvention ("
+ swapIndex2_.fixedLegConvention());
}
public override void initialize(FloatingRateCoupon coupon)
{
coupon_ = coupon as CmsCoupon;
Utils.QL_REQUIRE(coupon_ != null, () => "CMS coupon needed");
gearing_ = coupon_.gearing();
spread_ = coupon_.spread();
fixingDate_ = coupon_.fixingDate();
paymentDate_ = coupon_.date();
SwapIndex swapIndex = coupon_.swapIndex();
rateCurve_ = swapIndex.forwardingTermStructure().link;
Date today = Settings.Instance.evaluationDate();
if (paymentDate_ > today)
{
discount_ = rateCurve_.discount(paymentDate_);
}
else
{
discount_ = 1.0;
}
spreadLegValue_ = spread_ * coupon_.accrualPeriod() * discount_;
if (fixingDate_ > today)
{
swapTenor_ = swapIndex.tenor();
VanillaSwap swap = swapIndex.underlyingSwap(fixingDate_);
swapRateValue_ = swap.fairRate();
annuity_ = Math.Abs(swap.fixedLegBPS() / Const.BASIS_POINT);
int q = (int)swapIndex.fixedLegTenor().frequency();
Schedule schedule = swap.fixedSchedule();
DayCounter dc = swapIndex.dayCounter();
double startTime = dc.yearFraction(rateCurve_.referenceDate(), swap.startDate());
double swapFirstPaymentTime = dc.yearFraction(rateCurve_.referenceDate(), schedule.date(1));
double paymentTime = dc.yearFraction(rateCurve_.referenceDate(), paymentDate_);
double delta = (paymentTime - startTime) / (swapFirstPaymentTime - startTime);
switch (modelOfYieldCurve_)
{
case GFunctionFactory.YieldCurveModel.Standard:
gFunction_ = GFunctionFactory.newGFunctionStandard(q, delta, swapTenor_.length());
break;
case GFunctionFactory.YieldCurveModel.ExactYield:
gFunction_ = GFunctionFactory.newGFunctionExactYield(coupon_);
break;
case GFunctionFactory.YieldCurveModel.ParallelShifts:
{
Handle <Quote> nullMeanReversionQuote = new Handle <Quote>(new SimpleQuote(0.0));
gFunction_ = GFunctionFactory.newGFunctionWithShifts(coupon_, nullMeanReversionQuote);
}
break;
case GFunctionFactory.YieldCurveModel.NonParallelShifts:
gFunction_ = GFunctionFactory.newGFunctionWithShifts(coupon_, meanReversion_);
break;
default:
Utils.QL_FAIL("unknown/illegal gFunction type");
break;
}
vanillaOptionPricer_ = new BlackVanillaOptionPricer(swapRateValue_, fixingDate_, swapTenor_, swaptionVolatility().link);
}
}
