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.registerWith(update);
evaluationDate_ = Settings.evaluationDate();
}
public Swaption value()
{
Date evaluationDate = Settings.evaluationDate();
Calendar fixingCalendar = swapIndex_.fixingCalendar();
fixingDate_ = fixingCalendar.advance(evaluationDate, optionTenor_, optionConvention_);
if (exerciseDate_ == null)
{
exercise_ = new EuropeanExercise(fixingDate_);
}
else
{
if (exerciseDate_ <= fixingDate_)
{
throw new ArgumentException(
"exercise date (" + exerciseDate_ + ") must be less " +
"than or equal to fixing date (" + fixingDate_ + ")");
}
exercise_ = new EuropeanExercise(exerciseDate_);
}
double usedStrike;
if (strike_ == null)
{
// ATM on the forecasting curve
if (!swapIndex_.forwardingTermStructure().empty())
{
throw new ArgumentException(
"no forecasting term structure set to " + swapIndex_.name());
}
VanillaSwap temp =
swapIndex_.underlyingSwap(fixingDate_);
temp.setPricingEngine(new DiscountingSwapEngine(
swapIndex_.forwardingTermStructure()));
usedStrike = temp.fairRate();
}
else
{
usedStrike = strike_.Value;
}
BusinessDayConvention bdc = swapIndex_.fixedLegConvention();
underlyingSwap_ = new MakeVanillaSwap(swapIndex_.tenor(),
swapIndex_.iborIndex(),
usedStrike)
.withEffectiveDate(swapIndex_.valueDate(fixingDate_))
.withFixedLegCalendar(swapIndex_.fixingCalendar())
.withFixedLegDayCount(swapIndex_.dayCounter())
.withFixedLegConvention(bdc)
.withFixedLegTerminationDateConvention(bdc);
Swaption swaption = new Swaption(underlyingSwap_, exercise_, delivery_);
swaption.setPricingEngine(engine_);
return(swaption);
}
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 SwapRateHelper(Quote rate, SwapIndex swapIndex) :
// this(rate, swapIndex, new SimpleQuote(), new Period(0, TimeUnit.Days)) { }
//public SwapRateHelper(Quote rate, SwapIndex swapIndex, Quote spread) :
// this(rate, swapIndex, spread, new Period(0, TimeUnit.Days)) { }
public SwapRateHelper(Handle<Quote> rate, SwapIndex swapIndex, Handle<Quote> spread, Period fwdStart)
: base(rate)
{
tenor_ = swapIndex.tenor();
calendar_ = swapIndex.fixingCalendar();
fixedConvention_ = swapIndex.fixedLegConvention();
fixedFrequency_ = swapIndex.fixedLegTenor().frequency();
fixedDayCount_ = swapIndex.dayCounter();
iborIndex_ = swapIndex.iborIndex();
spread_ = spread;
fwdStart_ = fwdStart;
// add observers
iborIndex_.registerWith(update);
spread_.registerWith(update);
initializeDates();
}
//public SwapRateHelper(double rate, SwapIndex swapIndex)
// : this(rate, swapIndex, new SimpleQuote()) { }
//public SwapRateHelper(double rate, SwapIndex swapIndex, Quote spread)
// : this(rate, swapIndex, spread, new Period(0, TimeUnit.Days)) { }
public SwapRateHelper(double rate, SwapIndex swapIndex, Handle <Quote> spread, Period fwdStart)
: base(rate)
{
tenor_ = swapIndex.tenor();
calendar_ = swapIndex.fixingCalendar();
fixedConvention_ = swapIndex.fixedLegConvention();
fixedFrequency_ = swapIndex.fixedLegTenor().frequency();
fixedDayCount_ = swapIndex.dayCounter();
iborIndex_ = swapIndex.iborIndex();
spread_ = spread;
fwdStart_ = fwdStart;
// add observers
iborIndex_.registerWith(update);
spread_.registerWith(update);
initializeDates();
}
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);
}
}
