protected override double optionletPriceImp(Option.Type optionType, double effStrike,
double forward, double stdDev)
{
return(Utils.bachelierBlackFormula(optionType,
effStrike,
forward,
stdDev));
}
public virtual double optionPrice(double strike, Option.Type type = Option.Type.Call, double discount = 1.0)
{
double?atm = atmLevel();
Utils.QL_REQUIRE(atm != null, () => "smile section must provide atm level to compute option price");
// if lognormal or shifted lognormal,
// for strike at -shift, return option price even if outside
// minstrike, maxstrike interval
if (volatilityType() == VolatilityType.ShiftedLognormal)
{
return(Utils.blackFormula(type, strike, atm.Value, Math.Abs(strike + shift()) < Const.QL_EPSILON ?
0.2 : Math.Sqrt(variance(strike)), discount, shift()));
}
else
{
return(Utils.bachelierBlackFormula(type, strike, atm.Value, Math.Sqrt(variance(strike)), discount));
}
}
protected double optionletPrice(Option.Type optionType, double effStrike)
{
Date fixingDate = coupon_.fixingDate();
if (fixingDate <= Settings.evaluationDate())
{
// the amount is determined
double a;
double b;
if (optionType == Option.Type.Call)
{
a = coupon_.indexFixing();
b = effStrike;
}
else
{
a = effStrike;
b = coupon_.indexFixing();
}
return(Math.Max(a - b, 0.0) * accrualPeriod_ * discount_);
}
else
{
// not yet determined, use Black model
Utils.QL_REQUIRE(!capletVolatility().empty(), () => "missing optionlet volatility");
double stdDev = Math.Sqrt(capletVolatility().link.blackVariance(fixingDate, effStrike));
double shift = capletVolatility().link.displacement();
bool shiftedLn = capletVolatility().link.volatilityType() == VolatilityType.ShiftedLognormal;
double fixing =
shiftedLn
? Utils.blackFormula(optionType, effStrike, adjustedFixing(), stdDev, 1.0, shift)
: Utils.bachelierBlackFormula(optionType, effStrike, adjustedFixing(), stdDev, 1.0);
return(fixing * accrualPeriod_ * discount_);
}
}
public double value(Option.Type type, double strike, double atmForward, double stdDev, double annuity,
double displacement = 0.0)
{
return(Utils.bachelierBlackFormula(type, strike, atmForward, stdDev, annuity));
}
protected override double optionletImpl(Option.Type type, double strike,
double forward, double stdDev,
double d)
{
return(Utils.bachelierBlackFormula(type, strike, forward, stdDev, d));
}
public override void calculate()
{
double value = 0.0;
double vega = 0.0;
int optionlets = arguments_.startDates.Count;
List <double> values = new InitializedList <double>(optionlets, 0.0);
List <double> vegas = new InitializedList <double>(optionlets, 0.0);
List <double> stdDevs = new InitializedList <double>(optionlets, 0.0);
CapFloorType type = arguments_.type;
Date today = vol_.link.referenceDate();
Date settlement = discountCurve_.link.referenceDate();
for (int i = 0; i < optionlets; ++i)
{
Date paymentDate = arguments_.endDates[i];
// handling of settlementDate, npvDate and includeSettlementFlows
// should be implemented.
// For the double being just discard expired caplets
if (paymentDate > settlement)
{
double d = arguments_.nominals[i] *
arguments_.gearings[i] *
discountCurve_.link.discount(paymentDate) *
arguments_.accrualTimes[i];
double forward = arguments_.forwards[i].Value;
Date fixingDate = arguments_.fixingDates[i];
double sqrtTime = 0.0;
if (fixingDate > today)
{
sqrtTime = Math.Sqrt(vol_.link.timeFromReference(fixingDate));
}
if (type == CapFloorType.Cap || type == CapFloorType.Collar)
{
double strike = arguments_.capRates[i].Value;
if (sqrtTime > 0.0)
{
stdDevs[i] = Math.Sqrt(vol_.link.blackVariance(fixingDate, strike));
vegas[i] = Utils.bachelierBlackFormulaStdDevDerivative(strike, forward, stdDevs[i], d) * sqrtTime;
}
// include caplets with past fixing date
values[i] = Utils.bachelierBlackFormula(Option.Type.Call, strike, forward, stdDevs[i], d);
}
if (type == CapFloorType.Floor || type == CapFloorType.Collar)
{
double strike = arguments_.floorRates[i].Value;
double floorletVega = 0.0;
if (sqrtTime > 0.0)
{
stdDevs[i] = Math.Sqrt(vol_.link.blackVariance(fixingDate, strike));
floorletVega = Utils.bachelierBlackFormulaStdDevDerivative(strike, forward, stdDevs[i], d) * sqrtTime;
}
double floorlet = Utils.bachelierBlackFormula(Option.Type.Put, strike, forward, stdDevs[i], d);
if (type == CapFloorType.Floor)
{
values[i] = floorlet;
vegas[i] = floorletVega;
}
else
{
// a collar is long a cap and short a floor
values[i] -= floorlet;
vegas[i] -= floorletVega;
}
}
value += values[i];
vega += vegas[i];
}
}
results_.value = value;
results_.additionalResults["vega"] = vega;
results_.additionalResults["optionletsPrice"] = values;
results_.additionalResults["optionletsVega"] = vegas;
results_.additionalResults["optionletsAtmForward"] = arguments_.forwards;
if (type != CapFloorType.Collar)
{
results_.additionalResults["optionletsStdDev"] = stdDevs;
}
}
