public SwaptionHelper(Period maturity,
Period length,
Handle <Quote> volatility,
IborIndex index,
Period fixedLegTenor,
DayCounter fixedLegDayCounter,
DayCounter floatingLegDayCounter,
Handle <YieldTermStructure> termStructure,
bool calibrateVolatility /*= false*/)
: base(volatility, termStructure, calibrateVolatility)
{
Calendar calendar = index.fixingCalendar();
Period indexTenor = index.tenor();
int fixingDays = index.fixingDays();
Date exerciseDate = calendar.advance(termStructure.link.referenceDate(),
maturity,
index.businessDayConvention());
Date startDate = calendar.advance(exerciseDate,
fixingDays, TimeUnit.Days,
index.businessDayConvention());
Date endDate = calendar.advance(startDate, length,
index.businessDayConvention());
Schedule fixedSchedule = new Schedule(startDate, endDate, fixedLegTenor, calendar,
index.businessDayConvention(),
index.businessDayConvention(),
DateGeneration.Rule.Forward, false);
Schedule floatSchedule = new Schedule(startDate, endDate, index.tenor(), calendar,
index.businessDayConvention(),
index.businessDayConvention(),
DateGeneration.Rule.Forward, false);
IPricingEngine swapEngine = new DiscountingSwapEngine(termStructure);
VanillaSwap temp = new VanillaSwap(VanillaSwap.Type.Receiver, 1.0,
fixedSchedule, 0.0, fixedLegDayCounter,
floatSchedule, index, 0.0, floatingLegDayCounter);
temp.setPricingEngine(swapEngine);
exerciseRate_ = temp.fairRate();
swap_ = new VanillaSwap(VanillaSwap.Type.Receiver, 1.0,
fixedSchedule, exerciseRate_, fixedLegDayCounter,
floatSchedule, index, 0.0, floatingLegDayCounter);
swap_.setPricingEngine(swapEngine);
Exercise exercise = new EuropeanExercise(exerciseDate);
swaption_ = new Swaption(swap_, exercise);
marketValue_ = blackPrice(volatility_.link.value());
}
public SwaptionHelper(Period maturity,
Period length,
Handle<Quote> volatility,
IborIndex index,
Period fixedLegTenor,
DayCounter fixedLegDayCounter,
DayCounter floatingLegDayCounter,
Handle<YieldTermStructure> termStructure,
bool calibrateVolatility /*= false*/)
: base(volatility,termStructure, calibrateVolatility)
{
Calendar calendar = index.fixingCalendar();
Period indexTenor = index.tenor();
int fixingDays = index.fixingDays();
Date exerciseDate = calendar.advance(termStructure.link.referenceDate(),
maturity,
index.businessDayConvention());
Date startDate = calendar.advance(exerciseDate,
fixingDays, TimeUnit.Days,
index.businessDayConvention());
Date endDate = calendar.advance(startDate, length,
index.businessDayConvention());
Schedule fixedSchedule=new Schedule(startDate, endDate, fixedLegTenor, calendar,
index.businessDayConvention(),
index.businessDayConvention(),
DateGeneration.Rule.Forward, false);
Schedule floatSchedule=new Schedule(startDate, endDate, index.tenor(), calendar,
index.businessDayConvention(),
index.businessDayConvention(),
DateGeneration.Rule.Forward, false);
IPricingEngine swapEngine=new DiscountingSwapEngine(termStructure);
VanillaSwap temp=new VanillaSwap(VanillaSwap.Type.Receiver, 1.0,
fixedSchedule, 0.0, fixedLegDayCounter,
floatSchedule, index, 0.0, floatingLegDayCounter);
temp.setPricingEngine(swapEngine);
exerciseRate_ = temp.fairRate();
swap_ = new VanillaSwap(VanillaSwap.Type.Receiver, 1.0,
fixedSchedule, exerciseRate_, fixedLegDayCounter,
floatSchedule, index, 0.0, floatingLegDayCounter);
swap_.setPricingEngine(swapEngine);
Exercise exercise=new EuropeanExercise(exerciseDate);
swaption_ = new Swaption(swap_, exercise);
marketValue_ = blackPrice(volatility_.link.value());
}
protected OptionletStripper(CapFloorTermVolSurface termVolSurface, IborIndex iborIndex,
Handle <YieldTermStructure> discount = null,
VolatilityType type = VolatilityType.ShiftedLognormal,
double displacement = 0.0)
{
termVolSurface_ = termVolSurface;
iborIndex_ = iborIndex;
discount_ = discount ?? new Handle <YieldTermStructure>();
nStrikes_ = termVolSurface.strikes().Count;
volatilityType_ = type;
displacement_ = displacement;
if (volatilityType_ == VolatilityType.Normal)
{
Utils.QL_REQUIRE(displacement_.IsEqual(0.0), () =>
"non-null displacement is not allowed with Normal model");
}
termVolSurface.registerWith(update);
iborIndex_.registerWith(update);
discount_.registerWith(update);
Settings.registerWith(update);
Period indexTenor = iborIndex_.tenor();
Period maxCapFloorTenor = termVolSurface.optionTenors().Last();
// optionlet tenors and capFloor lengths
optionletTenors_.Add(indexTenor);
capFloorLengths_.Add(optionletTenors_.Last() + indexTenor);
Utils.QL_REQUIRE(maxCapFloorTenor >= capFloorLengths_.Last(), () =>
"too short (" + maxCapFloorTenor + ") capfloor term vol termVolSurface");
Period nextCapFloorLength = capFloorLengths_.Last() + indexTenor;
while (nextCapFloorLength <= maxCapFloorTenor)
{
optionletTenors_.Add(capFloorLengths_.Last());
capFloorLengths_.Add(nextCapFloorLength);
nextCapFloorLength += indexTenor;
}
nOptionletTenors_ = optionletTenors_.Count;
optionletVolatilities_ = new InitializedList <List <double> >(nOptionletTenors_);
for (int x = 0; x < nOptionletTenors_; x++)
{
optionletVolatilities_[x] = new InitializedList <double>(nStrikes_);
}
optionletStrikes_ = new InitializedList <List <double> >(nOptionletTenors_);
for (int x = 0; x < nOptionletTenors_; x++)
{
optionletStrikes_[x] = new List <double>(termVolSurface.strikes());
}
optionletDates_ = new InitializedList <Date>(nOptionletTenors_);
optionletTimes_ = new InitializedList <double>(nOptionletTenors_);
atmOptionletRate_ = new InitializedList <double>(nOptionletTenors_);
optionletPaymentDates_ = new InitializedList <Date>(nOptionletTenors_);
optionletAccrualPeriods_ = new InitializedList <double>(nOptionletTenors_);
}
public DepositRateHelper(double rate, IborIndex i)
: base(rate)
{
iborIndex_ = new IborIndex("no-fix", // never take fixing into account
i.tenor(), i.fixingDays(), new Currency(),
i.fixingCalendar(), i.businessDayConvention(),
i.endOfMonth(), i.dayCounter(), termStructureHandle_);
initializeDates();
}
public DepositRateHelper(double rate, IborIndex i)
: base(rate)
{
iborIndex_ = new IborIndex("no-fix", // never take fixing into account
i.tenor(), i.fixingDays(), new Currency(),
i.fixingCalendar(), i.businessDayConvention(),
i.endOfMonth(), i.dayCounter(), termStructureHandle_);
initializeDates();
}
public List <CashFlow> cashFlows(double amount)
{
Date refDate = index_.forwardingTermStructure().link.referenceDate();
Schedule schedule = new Schedule(refDate,
refDate + new Period(index_.tenor().length() * size_,
index_.tenor().units()),
index_.tenor(), index_.fixingCalendar(),
index_.businessDayConvention(),
index_.businessDayConvention(),
DateGeneration.Rule.Forward, false);
IborLeg cashflows = (IborLeg) new IborLeg(schedule, index_)
.withFixingDays(index_.fixingDays())
.withPaymentDayCounter(index_.dayCounter())
.withNotionals(amount)
.withPaymentAdjustment(index_.businessDayConvention());
return(cashflows.value());
}
public FraRateHelper(double rate, int monthsToStart, IborIndex i) : base(rate)
{
periodToStart_ = new Period(monthsToStart, TimeUnit.Months);
iborIndex_ = new IborIndex("no-fix", // never take fixing into account
i.tenor(), i.fixingDays(), new Currency(),
i.fixingCalendar(), i.businessDayConvention(),
i.endOfMonth(), i.dayCounter(), termStructureHandle_);
initializeDates();
}
public FRARateHelper(double rate, int monthsToStart, IborIndex i)
: base(rate)
{
periodToStart_ = new Period(monthsToStart, TimeUnit.Months);
iborIndex_ = new IborIndex("no-fix", // never take fixing into account
i.tenor(), i.fixingDays(), new Currency(),
i.fixingCalendar(), i.businessDayConvention(),
i.endOfMonth(), i.dayCounter(), termStructureHandle_);
initializeDates();
}
public FuturesRateHelper(double price, Date immDate, IborIndex i, double convAdj)
: base(price)
{
convAdj_ = new Handle<Quote>(new SimpleQuote(convAdj));
if (!IMM.isIMMdate(immDate, false)) throw new ArgumentException(immDate + "is not a valid IMM date");
earliestDate_ = immDate;
Calendar cal = i.fixingCalendar();
latestDate_ = cal.advance(immDate, i.tenor(), i.businessDayConvention());
yearFraction_ = i.dayCounter().yearFraction(earliestDate_, latestDate_);
}
public FuturesRateHelper(double price, Date immDate, IborIndex i, double convAdj)
: base(price)
{
convAdj_ = new Handle <Quote>(new SimpleQuote(convAdj));
if (!IMM.isIMMdate(immDate, false))
{
throw new ArgumentException(immDate + "is not a valid IMM date");
}
earliestDate_ = immDate;
Calendar cal = i.fixingCalendar();
latestDate_ = cal.advance(immDate, i.tenor(), i.businessDayConvention());
yearFraction_ = i.dayCounter().yearFraction(earliestDate_, latestDate_);
}
public MakeCms(Period swapTenor,
SwapIndex swapIndex,
IborIndex iborIndex,
double iborSpread = 0.0,
Period forwardStart = null,
Date maturityDate = null)
{
swapTenor_ = swapTenor;
swapIndex_ = swapIndex;
iborIndex_ = iborIndex;
iborSpread_ = iborSpread;
iborCap_ = null;
iborFloor_ = null;
useAtmSpread_ = false;
forwardStart_ = forwardStart ?? new Period(0, TimeUnit.Days);
cmsSpread_ = 0.0;
cmsGearing_ = 1.0;
cmsCap_ = null;
cmsFloor_ = null;
effectiveDate_ = null;
cmsCalendar_ = swapIndex.fixingCalendar();
floatCalendar_ = iborIndex.fixingCalendar();
payCms_ = true;
nominal_ = 1.0;
maturityDate_ = maturityDate;
cmsTenor_ = new Period(3, TimeUnit.Months);
floatTenor_ = iborIndex.tenor();
cmsConvention_ = BusinessDayConvention.ModifiedFollowing;
cmsTerminationDateConvention_ = BusinessDayConvention.ModifiedFollowing;
floatConvention_ = iborIndex.businessDayConvention();
floatTerminationDateConvention_ = iborIndex.businessDayConvention();
cmsRule_ = DateGeneration.Rule.Backward;
floatRule_ = DateGeneration.Rule.Backward;
cmsEndOfMonth_ = false;
floatEndOfMonth_ = false;
cmsFirstDate_ = null;
cmsNextToLastDate_ = null;
floatFirstDate_ = null;
floatNextToLastDate_ = null;
cmsDayCount_ = new Actual360();
floatDayCount_ = iborIndex.dayCounter();
engine_ = new DiscountingSwapEngine(swapIndex.forwardingTermStructure());
}
public MakeVanillaSwap(Period swapTenor, IborIndex index, double? fixedRate, Period forwardStart) {
swapTenor_ = swapTenor;
iborIndex_ = index;
fixedRate_ = fixedRate;
forwardStart_ = forwardStart;
effectiveDate_ = null;
fixedCalendar_ = floatCalendar_ = index.fixingCalendar();
type_ = VanillaSwap.Type.Payer;
nominal_ = 1.0;
fixedTenor_ = new Period(1, TimeUnit.Years);
floatTenor_ = index.tenor();
fixedConvention_ = fixedTerminationDateConvention_ = BusinessDayConvention.ModifiedFollowing;
floatConvention_ = floatTerminationDateConvention_ = index.businessDayConvention();
fixedRule_ = floatRule_ = DateGeneration.Rule.Backward;
fixedEndOfMonth_ = floatEndOfMonth_ = false;
fixedFirstDate_ = fixedNextToLastDate_ = floatFirstDate_ = floatNextToLastDate_ = null;
floatSpread_ = 0.0;
fixedDayCount_ = new Thirty360(Thirty360.Thirty360Convention.BondBasis);
floatDayCount_ = index.dayCounter();
engine_ = new DiscountingSwapEngine(index.forwardingTermStructure());
}
protected override void initializeDates()
{
earliestDate_ = calendar_.advance(evaluationDate_, new Period(settlementDays_, TimeUnit.Days),
BusinessDayConvention.Following);
Date maturity = earliestDate_ + tenor_;
// dummy BMA index with curve/swap arguments
BMAIndex clonedIndex = new BMAIndex(termStructureHandle_);
Schedule bmaSchedule = new MakeSchedule().from(earliestDate_).to(maturity)
.withTenor(bmaPeriod_)
.withCalendar(bmaIndex_.fixingCalendar())
.withConvention(bmaConvention_)
.backwards()
.value();
Schedule liborSchedule = new MakeSchedule().from(earliestDate_).to(maturity)
.withTenor(iborIndex_.tenor())
.withCalendar(iborIndex_.fixingCalendar())
.withConvention(iborIndex_.businessDayConvention())
.endOfMonth(iborIndex_.endOfMonth())
.backwards()
.value();
swap_ = new BMASwap(BMASwap.Type.Payer, 100.0, liborSchedule, 0.75, // arbitrary
0.0, iborIndex_, iborIndex_.dayCounter(), bmaSchedule, clonedIndex, bmaDayCount_);
swap_.setPricingEngine(new DiscountingSwapEngine(iborIndex_.forwardingTermStructure()));
Date d = calendar_.adjust(swap_.maturityDate(), BusinessDayConvention.Following);
int w = d.weekday();
Date nextWednesday = (w >= 4) ? d + new Period((11 - w), TimeUnit.Days) :
d + new Period((4 - w), TimeUnit.Days);
latestDate_ = clonedIndex.valueDate(clonedIndex.fixingCalendar().adjust(nextWednesday));
}
public MakeBasisSwap(Period swapTenor, IborIndex index1, IborIndex index2, Period forwardStart)
{
swapTenor_ = swapTenor;
iborIndex1_ = index1;
iborIndex2_ = index2;
forwardStart_ = forwardStart;
effectiveDate_ = null;
float1Calendar_ = float2Calendar_ = index1.fixingCalendar();
type_ = BasisSwap.Type.Payer;
nominal_ = 1.0;
float1Tenor_ = index1.tenor();
float2Tenor_ = index2.tenor();
float1Convention_ = float1TerminationDateConvention_ = index1.businessDayConvention();
float2Convention_ = float2TerminationDateConvention_ = index2.businessDayConvention();
float1Rule_ = float2Rule_ = DateGeneration.Rule.Backward;
float1EndOfMonth_ = float2EndOfMonth_ = false;
float1FirstDate_ = float1NextToLastDate_ = float2FirstDate_ = float2NextToLastDate_ = null;
float1Spread_ = float2Spread_ = 0.0;
float1DayCount_ = index1.dayCounter();
float2DayCount_ = index2.dayCounter();
engine_ = new DiscountingBasisSwapEngine(index1.forwardingTermStructure(), index2.forwardingTermStructure());
}
public MakeBasisSwap(Period swapTenor, IborIndex index1, IborIndex index2, Period forwardStart)
{
swapTenor_ = swapTenor;
iborIndex1_ = index1;
iborIndex2_ = index2;
forwardStart_ = forwardStart;
effectiveDate_ = null;
float1Calendar_ = float2Calendar_ = index1.fixingCalendar();
type_ = BasisSwap.Type.Payer;
nominal_ = 1.0;
float1Tenor_ = index1.tenor();
float2Tenor_ = index2.tenor();
float1Convention_ = float1TerminationDateConvention_ = index1.businessDayConvention();
float2Convention_ = float2TerminationDateConvention_ = index2.businessDayConvention();
float1Rule_ = float2Rule_ = DateGeneration.Rule.Backward;
float1EndOfMonth_ = float2EndOfMonth_ = false;
float1FirstDate_ = float1NextToLastDate_ = float2FirstDate_ = float2NextToLastDate_ = null;
float1Spread_ = float2Spread_ = 0.0;
float1DayCount_ = index1.dayCounter();
float2DayCount_ = index2.dayCounter();
engine_ = new DiscountingBasisSwapEngine(index1.forwardingTermStructure(), index2.forwardingTermStructure());
}
public MakeVanillaSwap(Period swapTenor, IborIndex index, double?fixedRate, Period forwardStart)
{
swapTenor_ = swapTenor;
iborIndex_ = index;
fixedRate_ = fixedRate;
forwardStart_ = forwardStart;
effectiveDate_ = null;
fixedCalendar_ = floatCalendar_ = index.fixingCalendar();
type_ = VanillaSwap.Type.Payer;
nominal_ = 1.0;
fixedTenor_ = new Period(1, TimeUnit.Years);
floatTenor_ = index.tenor();
fixedConvention_ = fixedTerminationDateConvention_ = BusinessDayConvention.ModifiedFollowing;
floatConvention_ = floatTerminationDateConvention_ = index.businessDayConvention();
fixedRule_ = floatRule_ = DateGeneration.Rule.Backward;
fixedEndOfMonth_ = floatEndOfMonth_ = false;
fixedFirstDate_ = fixedNextToLastDate_ = floatFirstDate_ = floatNextToLastDate_ = null;
floatSpread_ = 0.0;
fixedDayCount_ = new Thirty360(Thirty360.Thirty360Convention.BondBasis);
floatDayCount_ = index.dayCounter();
engine_ = new DiscountingSwapEngine(index.forwardingTermStructure());
}
public CapHelper(Period length,
Handle <Quote> volatility,
IborIndex index,
// data for ATM swap-rate calculation
Frequency fixedLegFrequency,
DayCounter fixedLegDayCounter,
bool includeFirstSwaplet,
Handle <YieldTermStructure> termStructure,
bool calibrateVolatility /*= false*/)
: base(volatility, termStructure, calibrateVolatility)
{
Period indexTenor = index.tenor();
double fixedRate = 0.04; // dummy value
Date startDate, maturity;
if (includeFirstSwaplet)
{
startDate = termStructure.link.referenceDate();
maturity = termStructure.link.referenceDate() + length;
}
else
{
startDate = termStructure.link.referenceDate() + indexTenor;
maturity = termStructure.link.referenceDate() + length;
}
IborIndex dummyIndex = new
IborIndex("dummy",
indexTenor,
index.fixingDays(),
index.currency(),
index.fixingCalendar(),
index.businessDayConvention(),
index.endOfMonth(),
termStructure.link.dayCounter(),
termStructure);
List <double> nominals = new InitializedList <double>(1, 1.0);
Schedule floatSchedule = new Schedule(startDate, maturity,
index.tenor(), index.fixingCalendar(),
index.businessDayConvention(),
index.businessDayConvention(),
DateGeneration.Rule.Forward, false);
List <CashFlow> floatingLeg;
IborLeg iborLeg = (IborLeg) new IborLeg(floatSchedule, index)
.withFixingDays(0)
.withNotionals(nominals)
.withPaymentAdjustment(index.businessDayConvention());
floatingLeg = iborLeg.value();
Schedule fixedSchedule = new Schedule(startDate, maturity, new Period(fixedLegFrequency),
index.fixingCalendar(),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Forward, false);
List <CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedLegDayCounter)
.withNotionals(nominals)
.withPaymentAdjustment(index.businessDayConvention());
Swap swap = new Swap(floatingLeg, fixedLeg);
swap.setPricingEngine(new DiscountingSwapEngine(termStructure));
double bp = 1.0e-4;
double fairRate = fixedRate - (double)(swap.NPV() / (swap.legBPS(1) / bp));
List <double> exerciceRate = new InitializedList <double>(1, fairRate);
cap_ = new Cap(floatingLeg, exerciceRate);
marketValue_ = blackPrice(volatility_.link.value());
}
public AssetSwap(bool parAssetSwap,
Bond bond,
double bondCleanPrice,
double nonParRepayment,
double gearing,
IborIndex iborIndex,
double spread = 0.0,
DayCounter floatingDayCount = null,
Date dealMaturity = null,
bool payBondCoupon = false)
: base(2)
{
bond_ = bond;
bondCleanPrice_ = bondCleanPrice;
nonParRepayment_ = nonParRepayment;
spread_ = spread;
parSwap_ = parAssetSwap;
Schedule tempSch = new Schedule(bond_.settlementDate(),
bond_.maturityDate(),
iborIndex.tenor(),
iborIndex.fixingCalendar(),
iborIndex.businessDayConvention(),
iborIndex.businessDayConvention(),
DateGeneration.Rule.Backward,
false); // endOfMonth
if (dealMaturity == null)
dealMaturity = bond_.maturityDate();
Utils.QL_REQUIRE( dealMaturity <= tempSch.dates().Last(), () =>
"deal maturity " + dealMaturity +
" cannot be later than (adjusted) bond maturity " +
tempSch.dates().Last());
Utils.QL_REQUIRE( dealMaturity > tempSch.dates()[0], () =>
"deal maturity " + dealMaturity +
" must be later than swap start date " +
tempSch.dates()[0]);
// the following might become an input parameter
BusinessDayConvention paymentAdjustment = BusinessDayConvention.Following;
Date finalDate = tempSch.calendar().adjust(dealMaturity, paymentAdjustment);
Schedule schedule = tempSch.until(finalDate);
// bondCleanPrice must be the (forward) clean price
// at the floating schedule start date
upfrontDate_ = schedule.startDate();
double dirtyPrice = bondCleanPrice_ +
bond_.accruedAmount(upfrontDate_);
double notional = bond_.notional(upfrontDate_);
/* In the market asset swap, the bond is purchased in return for
payment of the full price. The notional of the floating leg is
then scaled by the full price. */
if (!parSwap_)
notional *= dirtyPrice / 100.0;
if (floatingDayCount == null)
legs_[1] = new IborLeg(schedule, iborIndex)
.withSpreads(spread)
.withGearings(gearing)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment);
else
legs_[1] = new IborLeg(schedule, iborIndex)
.withSpreads(spread)
.withGearings(gearing)
.withPaymentDayCounter(floatingDayCount)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment);
foreach (CashFlow c in legs_[1])
c.registerWith(update);
List<CashFlow> bondLeg = bond_.cashflows();
// skip bond redemption
int i;
for (i = 0; i < bondLeg.Count && bondLeg[i].date() <= dealMaturity; ++i)
{
// whatever might be the choice for the discounting engine
// bond flows on upfrontDate_ must be discarded
bool upfrontDateBondFlows = false;
if (!bondLeg[i].hasOccurred(upfrontDate_, upfrontDateBondFlows))
legs_[0].Add(bondLeg[i]);
}
// if the first skipped cashflow is not the redemption
// and it is a coupon then add the accrued coupon
if (i < bondLeg.Count - 1)
{
Coupon c = bondLeg[i] as Coupon;
if (c != null)
{
CashFlow accruedCoupon = new SimpleCashFlow(c.accruedAmount(dealMaturity), finalDate);
legs_[0].Add(accruedCoupon);
}
}
// add the nonParRepayment_
CashFlow nonParRepaymentFlow = new SimpleCashFlow(nonParRepayment_, finalDate);
legs_[0].Add(nonParRepaymentFlow);
Utils.QL_REQUIRE( !legs_[0].empty(), () => "empty bond leg to start with" );
// special flows
if (parSwap_)
{
// upfront on the floating leg
double upfront = (dirtyPrice - 100.0) / 100.0 * notional;
CashFlow upfrontCashFlow = new SimpleCashFlow(upfront, upfrontDate_);
legs_[1].Insert(0, upfrontCashFlow);
// backpayment on the floating leg
// (accounts for non-par redemption, if any)
double backPayment = notional;
CashFlow backPaymentCashFlow = new SimpleCashFlow(backPayment, finalDate);
legs_[1].Add(backPaymentCashFlow);
}
else
{
// final notional exchange
CashFlow finalCashFlow = new SimpleCashFlow(notional, finalDate);
legs_[1].Add(finalCashFlow);
}
Utils.QL_REQUIRE( !legs_[0].empty(), () => "empty bond leg" );
foreach (CashFlow c in legs_[0])
c.registerWith(update);
if (payBondCoupon)
{
payer_[0] = -1.0;
payer_[1] = +1.0;
}
else
{
payer_[0] = +1.0;
payer_[1] = -1.0;
}
}
public CapHelper(Period length,
Handle<Quote> volatility,
IborIndex index,
// data for ATM swap-rate calculation
Frequency fixedLegFrequency,
DayCounter fixedLegDayCounter,
bool includeFirstSwaplet,
Handle<YieldTermStructure> termStructure,
bool calibrateVolatility /*= false*/)
: base(volatility, termStructure, calibrateVolatility)
{
Period indexTenor = index.tenor();
double fixedRate = 0.04; // dummy value
Date startDate, maturity;
if (includeFirstSwaplet) {
startDate = termStructure.link.referenceDate();
maturity = termStructure.link.referenceDate() + length;
} else {
startDate = termStructure.link.referenceDate() + indexTenor;
maturity = termStructure.link.referenceDate() + length;
}
IborIndex dummyIndex=new
IborIndex("dummy",
indexTenor,
index.fixingDays(),
index.currency(),
index.fixingCalendar(),
index.businessDayConvention(),
index.endOfMonth(),
termStructure.link.dayCounter(),
termStructure);
List<double> nominals = new InitializedList<double>(1,1.0);
Schedule floatSchedule=new Schedule(startDate, maturity,
index.tenor(), index.fixingCalendar(),
index.businessDayConvention(),
index.businessDayConvention(),
DateGeneration.Rule.Forward, false);
List<CashFlow> floatingLeg;
IborLeg iborLeg = (IborLeg) new IborLeg(floatSchedule, index)
.withFixingDays(0)
.withNotionals(nominals)
.withPaymentAdjustment(index.businessDayConvention());
floatingLeg = iborLeg.value();
Schedule fixedSchedule=new Schedule(startDate, maturity, new Period(fixedLegFrequency),
index.fixingCalendar(),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Forward, false);
List<CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedLegDayCounter)
.withNotionals(nominals)
.withPaymentAdjustment(index.businessDayConvention());
Swap swap = new Swap(floatingLeg, fixedLeg);
swap.setPricingEngine(new DiscountingSwapEngine(termStructure));
double bp = 1.0e-4;
double fairRate = fixedRate - (double)(swap.NPV()/(swap.legBPS(1) / bp));
List<double> exerciceRate = new InitializedList<double>(1,fairRate);
cap_ = new Cap(floatingLeg, exerciceRate);
marketValue_ = blackPrice(volatility_.link.value());
}
public AssetSwap(bool payBondCoupon,
Bond bond,
double bondCleanPrice,
IborIndex iborIndex,
double spread,
Schedule floatSchedule = null,
DayCounter floatingDayCount = null,
bool parAssetSwap = true)
: base(2)
{
bond_ = bond;
bondCleanPrice_ = bondCleanPrice;
nonParRepayment_ = 100;
spread_ = spread;
parSwap_ = parAssetSwap;
Schedule schedule = floatSchedule;
if (floatSchedule == null)
schedule = new Schedule(bond_.settlementDate(),
bond_.maturityDate(),
iborIndex.tenor(),
iborIndex.fixingCalendar(),
iborIndex.businessDayConvention(),
iborIndex.businessDayConvention(),
DateGeneration.Rule.Backward,
false); // endOfMonth
// the following might become an input parameter
BusinessDayConvention paymentAdjustment = BusinessDayConvention.Following;
Date finalDate = schedule.calendar().adjust(schedule.endDate(), paymentAdjustment);
Date adjBondMaturityDate = schedule.calendar().adjust(bond_.maturityDate(), paymentAdjustment);
Utils.QL_REQUIRE( finalDate == adjBondMaturityDate, () =>
"adjusted schedule end date (" +
finalDate +
") must be equal to adjusted bond maturity date (" +
adjBondMaturityDate + ")");
// bondCleanPrice must be the (forward) clean price
// at the floating schedule start date
upfrontDate_ = schedule.startDate();
double dirtyPrice = bondCleanPrice_ +
bond_.accruedAmount(upfrontDate_);
double notional = bond_.notional(upfrontDate_);
/* In the market asset swap, the bond is purchased in return for
payment of the full price. The notional of the floating leg is
then scaled by the full price. */
if (!parSwap_)
notional *= dirtyPrice / 100.0;
if (floatingDayCount == null)
legs_[1] = new IborLeg(schedule, iborIndex)
.withSpreads(spread)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment);
else
legs_[1] = new IborLeg(schedule, iborIndex)
.withSpreads(spread)
.withPaymentDayCounter(floatingDayCount)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment);
foreach (CashFlow c in legs_[1])
c.registerWith(update);
List<CashFlow> bondLeg = bond_.cashflows();
foreach (CashFlow c in bondLeg)
{
// whatever might be the choice for the discounting engine
// bond flows on upfrontDate_ must be discarded
bool upfrontDateBondFlows = false;
if (!(c.hasOccurred(upfrontDate_, upfrontDateBondFlows)))
legs_[0].Add(c);
}
Utils.QL_REQUIRE( !legs_[0].empty(), () => "empty bond leg to start with" );
// special flows
if (parSwap_)
{
// upfront on the floating leg
double upfront = (dirtyPrice - 100.0) / 100.0 * notional;
CashFlow upfrontCashFlow = new SimpleCashFlow(upfront, upfrontDate_);
legs_[1].Insert(0, upfrontCashFlow);
// backpayment on the floating leg
// (accounts for non-par redemption, if any)
double backPayment = notional;
CashFlow backPaymentCashFlow = new SimpleCashFlow(backPayment, finalDate);
legs_[1].Add(backPaymentCashFlow);
}
else
{
// final notional exchange
CashFlow finalCashFlow = new SimpleCashFlow(notional, finalDate);
legs_[1].Add(finalCashFlow);
}
Utils.QL_REQUIRE( !legs_[0].empty(), () => "empty bond leg" );
foreach (CashFlow c in legs_[0])
c.registerWith(update);
if (payBondCoupon)
{
payer_[0] = -1.0;
payer_[1] = +1.0;
}
else
{
payer_[0] = +1.0;
payer_[1] = -1.0;
}
}
public CommonVars()
{
settlementDays = 2;
nominal = 1000000.0;
fixedConvention = BusinessDayConvention.Unadjusted;
fixedFrequency = Frequency.Annual;
fixedDayCount = new Thirty360();
index =new Euribor6M(termStructure);
floatingConvention = index.businessDayConvention();
floatingTenor = index.tenor();
calendar = index.fixingCalendar();
today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
settlement = calendar.advance(today, settlementDays, TimeUnit.Days);
termStructure.linkTo(Utilities.flatRate(settlement, 0.05, new Actual365Fixed()));
}
public AssetSwap(bool payBondCoupon,
Bond bond,
double bondCleanPrice,
IborIndex iborIndex,
double spread,
Schedule floatSchedule = null,
DayCounter floatingDayCount = null,
bool parAssetSwap = true)
: base(2)
{
bond_ = bond;
bondCleanPrice_ = bondCleanPrice;
nonParRepayment_ = 100;
spread_ = spread;
parSwap_ = parAssetSwap;
Schedule schedule = floatSchedule;
if (floatSchedule == null)
{
schedule = new Schedule(bond_.settlementDate(),
bond_.maturityDate(),
iborIndex.tenor(),
iborIndex.fixingCalendar(),
iborIndex.businessDayConvention(),
iborIndex.businessDayConvention(),
DateGeneration.Rule.Backward,
false); // endOfMonth
}
// the following might become an input parameter
BusinessDayConvention paymentAdjustment = BusinessDayConvention.Following;
Date finalDate = schedule.calendar().adjust(schedule.endDate(), paymentAdjustment);
Date adjBondMaturityDate = schedule.calendar().adjust(bond_.maturityDate(), paymentAdjustment);
Utils.QL_REQUIRE(finalDate == adjBondMaturityDate, () =>
"adjusted schedule end date (" +
finalDate +
") must be equal to adjusted bond maturity date (" +
adjBondMaturityDate + ")");
// bondCleanPrice must be the (forward) clean price
// at the floating schedule start date
upfrontDate_ = schedule.startDate();
double dirtyPrice = bondCleanPrice_ +
bond_.accruedAmount(upfrontDate_);
double notional = bond_.notional(upfrontDate_);
/* In the market asset swap, the bond is purchased in return for
* payment of the full price. The notional of the floating leg is
* then scaled by the full price. */
if (!parSwap_)
{
notional *= dirtyPrice / 100.0;
}
if (floatingDayCount == null)
{
legs_[1] = new IborLeg(schedule, iborIndex)
.withSpreads(spread)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment);
}
else
{
legs_[1] = new IborLeg(schedule, iborIndex)
.withSpreads(spread)
.withPaymentDayCounter(floatingDayCount)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment);
}
foreach (CashFlow c in legs_[1])
{
c.registerWith(update);
}
List <CashFlow> bondLeg = bond_.cashflows();
foreach (CashFlow c in bondLeg)
{
// whatever might be the choice for the discounting engine
// bond flows on upfrontDate_ must be discarded
bool upfrontDateBondFlows = false;
if (!(c.hasOccurred(upfrontDate_, upfrontDateBondFlows)))
{
legs_[0].Add(c);
}
}
Utils.QL_REQUIRE(!legs_[0].empty(), () => "empty bond leg to start with");
// special flows
if (parSwap_)
{
// upfront on the floating leg
double upfront = (dirtyPrice - 100.0) / 100.0 * notional;
CashFlow upfrontCashFlow = new SimpleCashFlow(upfront, upfrontDate_);
legs_[1].Insert(0, upfrontCashFlow);
// backpayment on the floating leg
// (accounts for non-par redemption, if any)
double backPayment = notional;
CashFlow backPaymentCashFlow = new SimpleCashFlow(backPayment, finalDate);
legs_[1].Add(backPaymentCashFlow);
}
else
{
// final notional exchange
CashFlow finalCashFlow = new SimpleCashFlow(notional, finalDate);
legs_[1].Add(finalCashFlow);
}
Utils.QL_REQUIRE(!legs_[0].empty(), () => "empty bond leg");
foreach (CashFlow c in legs_[0])
{
c.registerWith(update);
}
if (payBondCoupon)
{
payer_[0] = -1.0;
payer_[1] = +1.0;
}
else
{
payer_[0] = +1.0;
payer_[1] = -1.0;
}
}
// calculating swaption volatility matrix using
// Rebonatos approx. formula. Be aware that this
// matrix is valid only for regular fixings and
// assumes that the fix and floating leg have the
// same frequency
public SwaptionVolatilityMatrix getSwaptionVolatilityMatrix()
{
if (swaptionVola != null)
{
return(swaptionVola);
}
IborIndex index = process_.index();
Date today = process_.fixingDates()[0];
int size = process_.size() / 2;
Matrix volatilities = new Matrix(size, size);
List <Date> exercises = new InitializedList <Date>(size);
for (int i = 0; i < size; ++i)
{
exercises[i] = process_.fixingDates()[i + 1];
}
List <Period> lengths = new InitializedList <Period>(size);
for (int i = 0; i < size; ++i)
{
lengths[i] = (i + 1) * index.tenor();
}
Vector f = process_.initialValues();
for (int k = 0; k < size; ++k)
{
int alpha = k;
double t_alpha = process_.fixingTimes()[alpha + 1];
Matrix var = new Matrix(size, size);
for (int i = alpha + 1; i <= k + size; ++i)
{
for (int j = i; j <= k + size; ++j)
{
var[i - alpha - 1, j - alpha - 1] = var[j - alpha - 1, i - alpha - 1] =
covarProxy_.integratedCovariance(i, j, t_alpha, null);
}
}
for (int l = 1; l <= size; ++l)
{
int beta = l + k;
Vector w = w_0(alpha, beta);
double sum = 0.0;
for (int i = alpha + 1; i <= beta; ++i)
{
for (int j = alpha + 1; j <= beta; ++j)
{
sum += w[i] * w[j] * f[i] * f[j] * var[i - alpha - 1, j - alpha - 1];
}
}
volatilities[k, l - 1] =
Math.Sqrt(sum / t_alpha) / S_0(alpha, beta);
}
}
return(swaptionVola = new SwaptionVolatilityMatrix(today, exercises, lengths,
volatilities, index.dayCounter()));
}
public AssetSwap(bool parAssetSwap,
Bond bond,
double bondCleanPrice,
double nonParRepayment,
double gearing,
IborIndex iborIndex,
double spread = 0.0,
DayCounter floatingDayCount = null,
Date dealMaturity = null,
bool payBondCoupon = false)
: base(2)
{
bond_ = bond;
bondCleanPrice_ = bondCleanPrice;
nonParRepayment_ = nonParRepayment;
spread_ = spread;
parSwap_ = parAssetSwap;
Schedule tempSch = new Schedule(bond_.settlementDate(),
bond_.maturityDate(),
iborIndex.tenor(),
iborIndex.fixingCalendar(),
iborIndex.businessDayConvention(),
iborIndex.businessDayConvention(),
DateGeneration.Rule.Backward,
false); // endOfMonth
if (dealMaturity == null)
{
dealMaturity = bond_.maturityDate();
}
Utils.QL_REQUIRE(dealMaturity <= tempSch.dates().Last(), () =>
"deal maturity " + dealMaturity +
" cannot be later than (adjusted) bond maturity " +
tempSch.dates().Last());
Utils.QL_REQUIRE(dealMaturity > tempSch.dates()[0], () =>
"deal maturity " + dealMaturity +
" must be later than swap start date " +
tempSch.dates()[0]);
// the following might become an input parameter
BusinessDayConvention paymentAdjustment = BusinessDayConvention.Following;
Date finalDate = tempSch.calendar().adjust(dealMaturity, paymentAdjustment);
Schedule schedule = tempSch.until(finalDate);
// bondCleanPrice must be the (forward) clean price
// at the floating schedule start date
upfrontDate_ = schedule.startDate();
double dirtyPrice = bondCleanPrice_ +
bond_.accruedAmount(upfrontDate_);
double notional = bond_.notional(upfrontDate_);
/* In the market asset swap, the bond is purchased in return for
* payment of the full price. The notional of the floating leg is
* then scaled by the full price. */
if (!parSwap_)
{
notional *= dirtyPrice / 100.0;
}
if (floatingDayCount == null)
{
legs_[1] = new IborLeg(schedule, iborIndex)
.withSpreads(spread)
.withGearings(gearing)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment);
}
else
{
legs_[1] = new IborLeg(schedule, iborIndex)
.withSpreads(spread)
.withGearings(gearing)
.withPaymentDayCounter(floatingDayCount)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment);
}
foreach (CashFlow c in legs_[1])
{
c.registerWith(update);
}
List <CashFlow> bondLeg = bond_.cashflows();
// skip bond redemption
int i;
for (i = 0; i < bondLeg.Count && bondLeg[i].date() <= dealMaturity; ++i)
{
// whatever might be the choice for the discounting engine
// bond flows on upfrontDate_ must be discarded
bool upfrontDateBondFlows = false;
if (!bondLeg[i].hasOccurred(upfrontDate_, upfrontDateBondFlows))
{
legs_[0].Add(bondLeg[i]);
}
}
// if the first skipped cashflow is not the redemption
// and it is a coupon then add the accrued coupon
if (i < bondLeg.Count - 1)
{
Coupon c = bondLeg[i] as Coupon;
if (c != null)
{
CashFlow accruedCoupon = new SimpleCashFlow(c.accruedAmount(dealMaturity), finalDate);
legs_[0].Add(accruedCoupon);
}
}
// add the nonParRepayment_
CashFlow nonParRepaymentFlow = new SimpleCashFlow(nonParRepayment_, finalDate);
legs_[0].Add(nonParRepaymentFlow);
Utils.QL_REQUIRE(!legs_[0].empty(), () => "empty bond leg to start with");
// special flows
if (parSwap_)
{
// upfront on the floating leg
double upfront = (dirtyPrice - 100.0) / 100.0 * notional;
CashFlow upfrontCashFlow = new SimpleCashFlow(upfront, upfrontDate_);
legs_[1].Insert(0, upfrontCashFlow);
// backpayment on the floating leg
// (accounts for non-par redemption, if any)
double backPayment = notional;
CashFlow backPaymentCashFlow = new SimpleCashFlow(backPayment, finalDate);
legs_[1].Add(backPaymentCashFlow);
}
else
{
// final notional exchange
CashFlow finalCashFlow = new SimpleCashFlow(notional, finalDate);
legs_[1].Add(finalCashFlow);
}
Utils.QL_REQUIRE(!legs_[0].empty(), () => "empty bond leg");
foreach (CashFlow c in legs_[0])
{
c.registerWith(update);
}
if (payBondCoupon)
{
payer_[0] = -1.0;
payer_[1] = +1.0;
}
else
{
payer_[0] = +1.0;
payer_[1] = -1.0;
}
}
