protected override void performCalculations()
{
Calendar calendar = index_.fixingCalendar();
int fixingDays = index_.fixingDays();
Date exerciseDate = exerciseDate_;
if (exerciseDate == null)
{
exerciseDate = calendar.advance(termStructure_.link.referenceDate(),
maturity_,
index_.businessDayConvention());
}
Date startDate = calendar.advance(exerciseDate,
fixingDays, TimeUnit.Days,
index_.businessDayConvention());
Date endDate = endDate_;
if (endDate == null)
{
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_, false);
VanillaSwap.Type type = VanillaSwap.Type.Receiver;
VanillaSwap temp = new VanillaSwap(VanillaSwap.Type.Receiver, nominal_,
fixedSchedule, 0.0, fixedLegDayCounter_,
floatSchedule, index_, 0.0, floatingLegDayCounter_);
temp.setPricingEngine(swapEngine);
double forward = temp.fairRate();
if (!strike_.HasValue)
{
exerciseRate_ = forward;
}
else
{
exerciseRate_ = strike_.Value;
type = strike_ <= forward ? VanillaSwap.Type.Receiver : VanillaSwap.Type.Payer;
// ensure that calibration instrument is out of the money
}
swap_ = new VanillaSwap(type, nominal_,
fixedSchedule, exerciseRate_, fixedLegDayCounter_,
floatSchedule, index_, 0.0, floatingLegDayCounter_);
swap_.setPricingEngine(swapEngine);
Exercise exercise = new EuropeanExercise(exerciseDate);
swaption_ = new Swaption(swap_, exercise);
base.performCalculations();
}
public override void calculate()
{
/* both DTS, YTS ref dates and pricing date consistency
* checks? settlement... */
Utils.QL_REQUIRE(!discountCurve_.empty(), () => "no discount term structure set");
Utils.QL_REQUIRE(!defaultTS_.empty(), () => "no ctpty default term structure set");
Utils.QL_REQUIRE(!swaptionletEngine_.empty(), () => "no swap option engine set");
Date priceDate = defaultTS_.link.referenceDate();
double cumOptVal = 0.0, cumPutVal = 0.0;
// Vanilla swap so 0 leg is floater
int index = 0;
Date nextFD = arguments_.fixedPayDates[index];
Date swapletStart = priceDate;
while (nextFD < priceDate)
{
index++;
nextFD = arguments_.fixedPayDates[index];
}
// Compute fair spread for strike value:
// copy args into the non risky engine
Swap.Arguments noCVAArgs = baseSwapEngine_.link.getArguments() as Swap.Arguments;
noCVAArgs.legs = this.arguments_.legs;
noCVAArgs.payer = this.arguments_.payer;
baseSwapEngine_.link.calculate();
double baseSwapRate = ((FixedRateCoupon)arguments_.legs[0][0]).rate();
Swap.Results vSResults = baseSwapEngine_.link.getResults() as Swap.Results;
double?baseSwapFairRate = -baseSwapRate * vSResults.legNPV[1] / vSResults.legNPV[0];
double?baseSwapNPV = vSResults.value;
VanillaSwap.Type reversedType = arguments_.type == VanillaSwap.Type.Payer
? VanillaSwap.Type.Receiver
: VanillaSwap.Type.Payer;
// Swaplet options summatory:
while (nextFD != arguments_.fixedPayDates.Last())
{
// iFD coupon not fixed, create swaptionlet:
IborIndex swapIndex = ((FloatingRateCoupon)arguments_.legs[1][0]).index() as IborIndex;
// Alternatively one could cap this period to, say, 1M
Period baseSwapsTenor = new Period(arguments_.fixedPayDates.Last().serialNumber()
- swapletStart.serialNumber(), TimeUnit.Days);
VanillaSwap swaplet = new MakeVanillaSwap(baseSwapsTenor, swapIndex, baseSwapFairRate)
.withType(arguments_.type)
.withNominal(arguments_.nominal)
.withEffectiveDate(swapletStart)
.withTerminationDate(arguments_.fixedPayDates.Last()).value();
VanillaSwap revSwaplet = new MakeVanillaSwap(baseSwapsTenor, swapIndex, baseSwapFairRate)
.withType(reversedType)
.withNominal(arguments_.nominal)
.withEffectiveDate(swapletStart)
.withTerminationDate(arguments_.fixedPayDates.Last()).value();
Swaption swaptionlet = new Swaption(swaplet, new EuropeanExercise(swapletStart));
Swaption putSwaplet = new Swaption(revSwaplet, new EuropeanExercise(swapletStart));
swaptionlet.setPricingEngine(swaptionletEngine_.currentLink());
putSwaplet.setPricingEngine(swaptionletEngine_.currentLink());
// atm underlying swap means that the value of put = value
// call so this double pricing is not needed
cumOptVal += swaptionlet.NPV() * defaultTS_.link.defaultProbability(
swapletStart, nextFD);
cumPutVal += putSwaplet.NPV() * invstDTS_.link.defaultProbability(swapletStart, nextFD);
swapletStart = nextFD;
index++;
nextFD = arguments_.fixedPayDates[index];
}
results_.value = baseSwapNPV - (1.0 - ctptyRecoveryRate_) * cumOptVal + (1.0 - invstRecoveryRate_) * cumPutVal;
results_.fairRate = -baseSwapRate * (vSResults.legNPV[1] - (1.0 - ctptyRecoveryRate_) * cumOptVal +
(1.0 - invstRecoveryRate_) * cumPutVal) / vSResults.legNPV[0];
}