public CapFloor value()
{
VanillaSwap swap = makeVanillaSwap_;
List <CashFlow> leg = swap.floatingLeg();
if (firstCapletExcluded_)
{
leg.RemoveAt(0);
}
// only leaves the last coupon
if (asOptionlet_ && leg.Count > 1)
{
leg.RemoveRange(0, leg.Count - 2); // Sun Studio needs an lvalue
}
List <double> strikeVector;
if (strike_ == null)
{
// temporary patch...
// should be fixed for every CapFloor::Engine
BlackCapFloorEngine temp = engine_ as BlackCapFloorEngine;
Utils.QL_REQUIRE(temp != null, () => "cannot calculate ATM without a BlackCapFloorEngine");
Handle <YieldTermStructure> discountCurve = temp.termStructure();
strikeVector = new InitializedList <double>(1, CashFlows.atmRate(leg, discountCurve, false, discountCurve.link.referenceDate()));
}
else
{
strikeVector = new InitializedList <double>(1, strike_.Value);
}
CapFloor capFloor = new CapFloor(capFloorType_, leg, strikeVector);
capFloor.setPricingEngine(engine_);
return(capFloor);
}
public override void calculate()
{
Utils.QL_REQUIRE(arguments_.settlementMethod != Settlement.Method.ParYieldCurve, () =>
"cash-settled (ParYieldCurve) swaptions not priced with Lfm engine");
VanillaSwap swap = arguments_.swap;
IPricingEngine pe = new DiscountingSwapEngine(discountCurve_);
swap.setPricingEngine(pe);
double correction = swap.spread *
Math.Abs(swap.floatingLegBPS() / swap.fixedLegBPS());
double fixedRate = swap.fixedRate - correction;
double fairRate = swap.fairRate() - correction;
SwaptionVolatilityMatrix volatility =
model_.link.getSwaptionVolatilityMatrix();
Date referenceDate = volatility.referenceDate();
DayCounter dayCounter = volatility.dayCounter();
double exercise = dayCounter.yearFraction(referenceDate,
arguments_.exercise.date(0));
double swapLength =
dayCounter.yearFraction(referenceDate,
arguments_.fixedPayDates.Last())
- dayCounter.yearFraction(referenceDate,
arguments_.fixedResetDates[0]);
Option.Type w = arguments_.type == VanillaSwap.Type.Payer ?
Option.Type.Call : Option.Type.Put;
double vol = volatility.volatility(exercise, swapLength,
fairRate, true);
results_.value = (swap.fixedLegBPS() / Const.BASIS_POINT) *
Utils.blackFormula(w, fixedRate, fairRate, vol * Math.Sqrt(exercise));
}
public FdmAffineModelSwapInnerValue(
ModelType disModel,
ModelType fwdModel,
VanillaSwap swap,
Dictionary <double, Date> exerciseDates,
FdmMesher mesher,
int direction)
{
disModel_ = disModel;
fwdModel_ = fwdModel;
mesher_ = mesher;
direction_ = direction;
swap_ = new VanillaSwap(swap.swapType,
swap.nominal,
swap.fixedSchedule(),
swap.fixedRate,
swap.fixedDayCount(),
swap.floatingSchedule(),
swap.iborIndex().clone(fwdTs_),
swap.spread,
swap.floatingDayCount(),
null);
exerciseDates_ = exerciseDates;
}
public override void calculate()
{
Date exerciseDate = arguments_.exercise.date(0);
// the part of the swap preceding exerciseDate should be truncated
// to avoid taking into account unwanted cashflows
// for the moment we add a check avoiding this situation
VanillaSwap swap = arguments_.swap;
double strike = swap.fixedRate;
List <CashFlow> fixedLeg = swap.fixedLeg();
FixedRateCoupon firstCoupon = fixedLeg[0] as FixedRateCoupon;
Utils.QL_REQUIRE(firstCoupon != null, () => "wrong coupon type");
Utils.QL_REQUIRE(firstCoupon.accrualStartDate() >= exerciseDate,
() => "swap start (" + firstCoupon.accrualStartDate() + ") before exercise date ("
+ exerciseDate + ") not supported in Black swaption engine");
// using the forecasting curve
swap.setPricingEngine(new DiscountingSwapEngine(swap.iborIndex().forwardingTermStructure()));
double atmForward = swap.fairRate();
// Volatilities are quoted for zero-spreaded swaps.
// Therefore, any spread on the floating leg must be removed
// with a corresponding correction on the fixed leg.
if (swap.spread.IsNotEqual(0.0))
{
double correction = swap.spread * Math.Abs(swap.floatingLegBPS() / swap.fixedLegBPS());
strike -= correction;
atmForward -= correction;
results_.additionalResults["spreadCorrection"] = correction;
}
else
{
results_.additionalResults["spreadCorrection"] = 0.0;
}
results_.additionalResults["strike"] = strike;
results_.additionalResults["atmForward"] = atmForward;
// using the discounting curve
swap.setPricingEngine(new DiscountingSwapEngine(discountCurve_, false));
double annuity = 0;
if (arguments_.settlementType == Settlement.Type.Physical ||
(arguments_.settlementType == Settlement.Type.Cash &&
arguments_.settlementMethod == Settlement.Method.CollateralizedCashPrice))
{
annuity = Math.Abs(swap.fixedLegBPS()) / Const.BASIS_POINT;
}
else if (arguments_.settlementType == Settlement.Type.Cash &&
arguments_.settlementMethod == Settlement.Method.ParYieldCurve)
{
DayCounter dayCount = firstCoupon.dayCounter();
// we assume that the cash settlement date is equal
// to the swap start date
Date discountDate = model_ == CashAnnuityModel.DiscountCurve
? firstCoupon.accrualStartDate()
: discountCurve_.link.referenceDate();
double fixedLegCashBPS =
CashFlows.bps(fixedLeg,
new InterestRate(atmForward, dayCount, Compounding.Compounded, Frequency.Annual), false,
discountDate);
annuity = Math.Abs(fixedLegCashBPS / Const.BASIS_POINT) * discountCurve_.link.discount(discountDate);
}
else
{
Utils.QL_FAIL("unknown settlement type");
}
results_.additionalResults["annuity"] = annuity;
double swapLength = vol_.link.swapLength(swap.floatingSchedule().dates().First(),
swap.floatingSchedule().dates().Last());
results_.additionalResults["swapLength"] = swapLength;
double variance = vol_.link.blackVariance(exerciseDate,
swapLength,
strike);
double displacement = displacement_ == null
? vol_.link.shift(exerciseDate, swapLength)
: Convert.ToDouble(displacement_);
double stdDev = Math.Sqrt(variance);
results_.additionalResults["stdDev"] = stdDev;
Option.Type w = (arguments_.type == VanillaSwap.Type.Payer) ? Option.Type.Call : Option.Type.Put;
results_.value = new Spec().value(w, strike, atmForward, stdDev, annuity, displacement);
double exerciseTime = vol_.link.timeFromReference(exerciseDate);
results_.additionalResults["vega"] =
new Spec().vega(strike, atmForward, stdDev, exerciseTime, annuity, displacement);
}
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 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.Instance.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();
annuity_ = Math.Abs(swap.fixedLegBPS() / Const.BASIS_POINT);
int q = (int)swapIndex.fixedLegTenor().frequency();
Schedule schedule = swap.fixedSchedule();
DayCounter dc = swapIndex.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:
Utils.QL_FAIL("unknown/illegal gFunction type");
break;
}
vanillaOptionPricer_ = new BlackVanillaOptionPricer(swapRateValue_, fixingDate_, swapTenor_, swaptionVolatility().link);
}
}
