public GFunctionExactYield(CmsCoupon coupon)
{
SwapIndex swapIndex = coupon.swapIndex();
VanillaSwap swap = swapIndex.underlyingSwap(coupon.fixingDate());
Schedule schedule = swap.fixedSchedule();
Handle <YieldTermStructure> rateCurve = swapIndex.forwardingTermStructure();
DayCounter dc = swapIndex.dayCounter();
double swapStartTime = dc.yearFraction(rateCurve.link.referenceDate(), schedule.startDate());
double swapFirstPaymentTime = dc.yearFraction(rateCurve.link.referenceDate(), schedule.date(1));
double paymentTime = dc.yearFraction(rateCurve.link.referenceDate(), coupon.date());
delta_ = (paymentTime - swapStartTime) / (swapFirstPaymentTime - swapStartTime);
List <CashFlow> fixedLeg = new List <CashFlow>(swap.fixedLeg());
int n = fixedLeg.Count;
accruals_ = new List <double>();
for (int i = 0; i < n; ++i)
{
Coupon coupon1 = fixedLeg[i] as Coupon;
accruals_.Add(coupon1.accrualPeriod());
}
}
//===========================================================================//
// GFunctionWithShifts //
//===========================================================================//
public GFunctionWithShifts(CmsCoupon coupon, Handle <Quote> meanReversion)
{
meanReversion_ = meanReversion;
calibratedShift_ = 0.03;
tmpRs_ = 10000000.0;
accuracy_ = 1.0e-14;
SwapIndex swapIndex = coupon.swapIndex();
VanillaSwap swap = swapIndex.underlyingSwap(coupon.fixingDate());
swapRateValue_ = swap.fairRate();
objectiveFunction_ = new ObjectiveFunction(this, swapRateValue_);
Schedule schedule = swap.fixedSchedule();
Handle <YieldTermStructure> rateCurve = swapIndex.forwardingTermStructure();
DayCounter dc = swapIndex.dayCounter();
swapStartTime_ = dc.yearFraction(rateCurve.link.referenceDate(), schedule.startDate());
discountAtStart_ = rateCurve.link.discount(schedule.startDate());
double paymentTime = dc.yearFraction(rateCurve.link.referenceDate(), coupon.date());
shapedPaymentTime_ = shapeOfShift(paymentTime);
List <CashFlow> fixedLeg = new List <CashFlow>(swap.fixedLeg());
int n = fixedLeg.Count;
shapedSwapPaymentTimes_ = new List <double>();
swapPaymentDiscounts_ = new List <double>();
accruals_ = new List <double>();
for (int i = 0; i < n; ++i)
{
Coupon coupon1 = fixedLeg[i] as Coupon;
accruals_.Add(coupon1.accrualPeriod());
Date paymentDate = new Date(coupon1.date().serialNumber());
double swapPaymentTime = dc.yearFraction(rateCurve.link.referenceDate(), paymentDate);
shapedSwapPaymentTimes_.Add(shapeOfShift(swapPaymentTime));
swapPaymentDiscounts_.Add(rateCurve.link.discount(paymentDate));
}
discountRatio_ = swapPaymentDiscounts_.Last() / discountAtStart_;
}
//===========================================================================//
// GFunctionWithShifts //
//===========================================================================//
public GFunctionWithShifts(CmsCoupon coupon, Handle<Quote> meanReversion) {
meanReversion_ = meanReversion;
calibratedShift_ = 0.03;
tmpRs_ = 10000000.0;
accuracy_ = 1.0e-14;
SwapIndex swapIndex = coupon.swapIndex();
VanillaSwap swap = swapIndex.underlyingSwap(coupon.fixingDate());
swapRateValue_ = swap.fairRate();
objectiveFunction_ = new ObjectiveFunction(this, swapRateValue_);
Schedule schedule = swap.fixedSchedule();
Handle<YieldTermStructure> rateCurve = swapIndex.forwardingTermStructure();
DayCounter dc = swapIndex.dayCounter();
swapStartTime_ = dc.yearFraction(rateCurve.link.referenceDate(), schedule.startDate());
discountAtStart_ = rateCurve.link.discount(schedule.startDate());
double paymentTime = dc.yearFraction(rateCurve.link.referenceDate(), coupon.date());
shapedPaymentTime_ = shapeOfShift(paymentTime);
List<CashFlow> fixedLeg = new List<CashFlow>(swap.fixedLeg());
int n = fixedLeg.Count;
shapedSwapPaymentTimes_ = new List<double>();
swapPaymentDiscounts_ = new List<double>();
accruals_ = new List<double>();
for (int i = 0; i < n; ++i) {
Coupon coupon1 = fixedLeg[i] as Coupon;
accruals_.Add(coupon1.accrualPeriod());
Date paymentDate = new Date(coupon1.date().serialNumber());
double swapPaymentTime = dc.yearFraction(rateCurve.link.referenceDate(), paymentDate);
shapedSwapPaymentTimes_.Add(shapeOfShift(swapPaymentTime));
swapPaymentDiscounts_.Add(rateCurve.link.discount(paymentDate));
}
discountRatio_ = swapPaymentDiscounts_.Last() / discountAtStart_;
}
public GFunctionExactYield(CmsCoupon coupon) {
SwapIndex swapIndex = coupon.swapIndex();
VanillaSwap swap = swapIndex.underlyingSwap(coupon.fixingDate());
Schedule schedule = swap.fixedSchedule();
Handle<YieldTermStructure> rateCurve = swapIndex.forwardingTermStructure();
DayCounter dc = swapIndex.dayCounter();
double swapStartTime = dc.yearFraction(rateCurve.link.referenceDate(), schedule.startDate());
double swapFirstPaymentTime = dc.yearFraction(rateCurve.link.referenceDate(), schedule.date(1));
double paymentTime = dc.yearFraction(rateCurve.link.referenceDate(), coupon.date());
delta_ = (paymentTime - swapStartTime) / (swapFirstPaymentTime - swapStartTime);
List<CashFlow> fixedLeg = new List<CashFlow>(swap.fixedLeg());
int n = fixedLeg.Count;
accruals_ = new List<double>();
for (int i = 0; i < n; ++i) {
Coupon coupon1 = fixedLeg[i] as Coupon;
accruals_.Add(coupon1.accrualPeriod());
}
}
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.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();
double bp = 1.0e-4;
annuity_ = (swap.floatingLegBPS() / bp);
int q = (int)swapIndex.fixedLegTenor().frequency();
Schedule schedule = swap.fixedSchedule();
DayCounter dc = swapIndex.dayCounter();
//DayCounter dc = coupon.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:
throw new ApplicationException("unknown/illegal gFunction type");
}
vanillaOptionPricer_ = new BlackVanillaOptionPricer(swapRateValue_, fixingDate_, swapTenor_, swaptionVolatility().link);
}
}