public DigitalIborCoupon(IborCoupon underlying,
double?callStrike = null,
Position.Type callPosition = Position.Type.Long,
bool isCallATMIncluded = false,
double?callDigitalPayoff = null,
double?putStrike = null,
Position.Type putPosition = Position.Type.Long,
bool isPutATMIncluded = false,
double?putDigitalPayoff = null,
DigitalReplication replication = null)
: base(underlying, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, putStrike, putPosition, isPutATMIncluded, putDigitalPayoff, replication)
{
}
public static List <CashFlow> FloatingDigitalLeg <InterestRateIndexType, FloatingCouponType, DigitalCouponType>(
List <double> nominals,
Schedule schedule,
InterestRateIndexType index,
DayCounter paymentDayCounter,
BusinessDayConvention paymentAdj,
List <int> fixingDays,
List <double> gearings,
List <double> spreads,
bool isInArrears,
List <double> callStrikes,
Position.Type callPosition,
bool isCallATMIncluded,
List <double> callDigitalPayoffs,
List <double> putStrikes,
Position.Type putPosition,
bool isPutATMIncluded,
List <double> putDigitalPayoffs,
DigitalReplication replication)
where InterestRateIndexType : InterestRateIndex, new ()
where FloatingCouponType : FloatingRateCoupon, new ()
where DigitalCouponType : DigitalCoupon, new ()
{
int n = schedule.Count;
Utils.QL_REQUIRE(!nominals.empty(), () => "no notional given");
Utils.QL_REQUIRE(nominals.Count <= n, () => "too many nominals (" + nominals.Count + "), only " + n + " required");
if (gearings != null)
{
Utils.QL_REQUIRE(gearings.Count <= n, () => "too many gearings (" + gearings.Count + "), only " + n + " required");
}
if (spreads != null)
{
Utils.QL_REQUIRE(spreads.Count <= n, () => "too many spreads (" + spreads.Count + "), only " + n + " required");
}
if (callStrikes != null)
{
Utils.QL_REQUIRE(callStrikes.Count <= n, () => "too many nominals (" + callStrikes.Count + "), only " + n + " required");
}
if (putStrikes != null)
{
Utils.QL_REQUIRE(putStrikes.Count <= n, () => "too many nominals (" + putStrikes.Count + "), only " + n + " required");
}
List <CashFlow> leg = new List <CashFlow>();
// the following is not always correct
Calendar calendar = schedule.calendar();
Date refStart, start, refEnd, end;
Date paymentDate;
for (int i = 0; i < n; ++i)
{
refStart = start = schedule.date(i);
refEnd = end = schedule.date(i + 1);
paymentDate = calendar.adjust(end, paymentAdj);
if (i == 0 && !schedule.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule.businessDayConvention();
refStart = calendar.adjust(end - schedule.tenor(), bdc);
}
if (i == n - 1 && !schedule.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule.businessDayConvention();
refEnd = calendar.adjust(start + schedule.tenor(), bdc);
}
if (Utils.Get(gearings, i, 1.0).IsEqual(0.0))
{
// fixed coupon
leg.Add(new FixedRateCoupon(paymentDate, Utils.Get(nominals, i, 1.0),
Utils.Get(spreads, i, 1.0),
paymentDayCounter,
start, end, refStart, refEnd));
}
else
{
// floating digital coupon
FloatingCouponType underlying = FastActivator <FloatingCouponType> .Create().factory(
Utils.Get(nominals, i, 1.0),
paymentDate, start, end,
Utils.Get(fixingDays, i, index.fixingDays()),
index,
Utils.Get(gearings, i, 1.0),
Utils.Get(spreads, i, 0.0),
refStart, refEnd,
paymentDayCounter, isInArrears) as FloatingCouponType;
DigitalCouponType digitalCoupon = FastActivator <DigitalCouponType> .Create().factory(
underlying,
Utils.toNullable(Utils.Get(callStrikes, i, Double.MinValue)),
callPosition,
isCallATMIncluded,
Utils.toNullable(Utils.Get(callDigitalPayoffs, i, Double.MinValue)),
Utils.toNullable(Utils.Get(putStrikes, i, Double.MinValue)),
putPosition,
isPutATMIncluded,
Utils.toNullable(Utils.Get(putDigitalPayoffs, i, Double.MinValue)),
replication) as DigitalCouponType;
leg.Add(digitalCoupon);
}
}
return(leg);
}
// Factory - for Leg generators
public virtual CashFlow factory(CmsCoupon underlying, double?callStrike, Position.Type callPosition, bool isCallATMIncluded, double?callDigitalPayoff, double?putStrike, Position.Type putPosition, bool isPutATMIncluded, double?putDigitalPayoff, DigitalReplication replication)
{
return(new DigitalCmsCoupon(underlying, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, putStrike, putPosition, isPutATMIncluded, putDigitalPayoff, replication));
}
public DigitalCmsLeg withReplication(DigitalReplication replication)
{
replication_ = replication;
return(this);
}
//! Constructors
//! general constructor
public DigitalCoupon(FloatingRateCoupon underlying,
double?callStrike = null,
Position.Type callPosition = Position.Type.Long,
bool isCallATMIncluded = false,
double?callDigitalPayoff = null,
double?putStrike = null,
Position.Type putPosition = Position.Type.Long,
bool isPutATMIncluded = false,
double?putDigitalPayoff = null,
DigitalReplication replication = null)
: base(underlying.date(), underlying.nominal(), underlying.accrualStartDate(), underlying.accrualEndDate(), underlying.fixingDays, underlying.index(), underlying.gearing(), underlying.spread(), underlying.referencePeriodStart, underlying.referencePeriodEnd, underlying.dayCounter(), underlying.isInArrears())
{
if (replication == null)
{
replication = new DigitalReplication();
}
underlying_ = underlying;
callCsi_ = 0.0;
putCsi_ = 0.0;
isCallATMIncluded_ = isCallATMIncluded;
isPutATMIncluded_ = isPutATMIncluded;
isCallCashOrNothing_ = false;
isPutCashOrNothing_ = false;
callLeftEps_ = replication.gap() / 2.0;
callRightEps_ = replication.gap() / 2.0;
putLeftEps_ = replication.gap() / 2.0;
putRightEps_ = replication.gap() / 2.0;
hasPutStrike_ = false;
hasCallStrike_ = false;
replicationType_ = replication.replicationType();
Utils.QL_REQUIRE(replication.gap() > 0.0, () => "Non positive epsilon not allowed");
if (putStrike == null)
{
Utils.QL_REQUIRE(putDigitalPayoff == null, () => "Put Cash rate non allowed if put strike is null");
}
if (callStrike == null)
{
Utils.QL_REQUIRE(callDigitalPayoff == null, () => "Call Cash rate non allowed if call strike is null");
}
if (callStrike != null)
{
Utils.QL_REQUIRE(callStrike >= 0.0, () => "negative call strike not allowed");
hasCallStrike_ = true;
callStrike_ = callStrike.GetValueOrDefault();
Utils.QL_REQUIRE(callStrike_ >= replication.gap() / 2.0, () => "call strike < eps/2");
switch (callPosition)
{
case Position.Type.Long:
callCsi_ = 1.0;
break;
case Position.Type.Short:
callCsi_ = -1.0;
break;
default:
Utils.QL_FAIL("unsupported position type");
break;
}
if (callDigitalPayoff != null)
{
callDigitalPayoff_ = callDigitalPayoff.GetValueOrDefault();
isCallCashOrNothing_ = true;
}
}
if (putStrike != null)
{
Utils.QL_REQUIRE(putStrike >= 0.0, () => "negative put strike not allowed");
hasPutStrike_ = true;
putStrike_ = putStrike.GetValueOrDefault();
switch (putPosition)
{
case Position.Type.Long:
putCsi_ = 1.0;
break;
case Position.Type.Short:
putCsi_ = -1.0;
break;
default:
Utils.QL_FAIL("unsupported position type");
break;
}
if (putDigitalPayoff != null)
{
putDigitalPayoff_ = putDigitalPayoff.GetValueOrDefault();
isPutCashOrNothing_ = true;
}
}
switch (replicationType_)
{
case Replication.Type.Central:
// do nothing
break;
case Replication.Type.Sub:
if (hasCallStrike_)
{
switch (callPosition)
{
case Position.Type.Long:
callLeftEps_ = 0.0;
callRightEps_ = replication.gap();
break;
case Position.Type.Short:
callLeftEps_ = replication.gap();
callRightEps_ = 0.0;
break;
default:
Utils.QL_FAIL("unsupported position type");
break;
}
}
if (hasPutStrike_)
{
switch (putPosition)
{
case Position.Type.Long:
putLeftEps_ = replication.gap();
putRightEps_ = 0.0;
break;
case Position.Type.Short:
putLeftEps_ = 0.0;
putRightEps_ = replication.gap();
break;
default:
Utils.QL_FAIL("unsupported position type");
break;
}
}
break;
case Replication.Type.Super:
if (hasCallStrike_)
{
switch (callPosition)
{
case Position.Type.Long:
callLeftEps_ = replication.gap();
callRightEps_ = 0.0;
break;
case Position.Type.Short:
callLeftEps_ = 0.0;
callRightEps_ = replication.gap();
break;
default:
Utils.QL_FAIL("unsupported position type");
break;
}
}
if (hasPutStrike_)
{
switch (putPosition)
{
case Position.Type.Long:
putLeftEps_ = 0.0;
putRightEps_ = replication.gap();
break;
case Position.Type.Short:
putLeftEps_ = replication.gap();
putRightEps_ = 0.0;
break;
default:
Utils.QL_FAIL("unsupported position type");
break;
}
}
break;
default:
Utils.QL_FAIL("unsupported position type");
break;
}
underlying.registerWith(update);
}
