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 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 CmsRateBond(int settlementDays,
double faceAmount,
Schedule schedule,
SwapIndex index,
DayCounter paymentDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
int fixingDays = 0,
List<double> gearings = null,
List<double> spreads = null,
List<double> caps = null,
List<double> floors = null,
bool inArrears = false,
double redemption = 100.0,
Date issueDate = null)
: base(settlementDays, schedule.calendar(), issueDate)
{
// Optional value check
if ( gearings == null ) gearings = new List<double>(){1};
if ( spreads == null ) spreads = new List<double>(){0};
if (caps == null) caps = new List<double>();
if (floors == null) floors = new List<double>();
maturityDate_ = schedule.endDate();
cashflows_ = new CmsLeg(schedule, index)
.withPaymentDayCounter(paymentDayCounter)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.withCaps(caps)
.withFloors(floors)
.inArrears(inArrears)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List<double>() { redemption });
if (cashflows().Count == 0)
throw new ApplicationException("bond with no cashflows!");
if (redemptions_.Count != 1)
throw new ApplicationException("multiple redemptions created");
index.registerWith(update);
}
public AmortizingCmsRateBond( int settlementDays,
List<double> notionals,
Schedule schedule,
SwapIndex index,
DayCounter paymentDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
int fixingDays = 0,
List<double> gearings = null,
List<double> spreads = null,
List<double> caps = null,
List<double> floors = null,
bool inArrears = false,
Date issueDate = null)
:base(settlementDays, schedule.calendar(), issueDate)
{
// Optional value check
if ( gearings == null ) gearings = new List<double>(){1.0};
if ( spreads == null ) spreads = new List<double>(){0};
if (caps == null) caps = new List<double>();
if (floors == null) floors = new List<double>();
maturityDate_ = schedule.endDate();
cashflows_ = new CmsLeg(schedule, index)
.withPaymentDayCounter(paymentDayCounter)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.withCaps(caps)
.withFloors(floors)
.inArrears(inArrears)
.withNotionals(notionals)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows();
Utils.QL_REQUIRE( !cashflows().empty(), () => "bond with no cashflows!" );
index.registerWith(update);
}
public CmsRateBond(int settlementDays,
double faceAmount,
Schedule schedule,
SwapIndex index,
DayCounter paymentDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
int fixingDays = 0,
List <double> gearings = null,
List <double> spreads = null,
List <double?> caps = null,
List <double?> floors = null,
bool inArrears = false,
double redemption = 100.0,
Date issueDate = null)
: base(settlementDays, schedule.calendar(), issueDate)
{
// Optional value check
if (gearings == null)
{
gearings = new List <double>()
{
1
}
}
;
if (spreads == null)
{
spreads = new List <double>()
{
0
}
}
;
if (caps == null)
{
caps = new List <double?>();
}
if (floors == null)
{
floors = new List <double?>();
}
maturityDate_ = schedule.endDate();
cashflows_ = new CmsLeg(schedule, index)
.withPaymentDayCounter(paymentDayCounter)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.withCaps(caps)
.withFloors(floors)
.inArrears(inArrears)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List <double>()
{
redemption
});
Utils.QL_REQUIRE(cashflows().Count != 0, () => "bond with no cashflows!");
Utils.QL_REQUIRE(redemptions_.Count == 1, () => "multiple redemptions created");
index.registerWith(update);
}
}
}
