// LazyObject interface
protected override void performCalculations()
{
//// optionletStripper data
optionletDates_ = new List <Date>(stripper1_.optionletFixingDates());
optionletPaymentDates_ = new List <Date>(stripper1_.optionletPaymentDates());
optionletAccrualPeriods_ = new List <double>(stripper1_.optionletAccrualPeriods());
optionletTimes_ = new List <double>(stripper1_.optionletFixingTimes());
atmOptionletRate_ = new List <double>(stripper1_.atmOptionletRates());
for (int i = 0; i < optionletTimes_.Count; ++i)
{
optionletStrikes_[i] = new List <double>(stripper1_.optionletStrikes(i));
optionletVolatilities_[i] = new List <double>(stripper1_.optionletVolatilities(i));
}
// atmCapFloorTermVolCurve data
List <Period> optionExpiriesTenors = new List <Period>(atmCapFloorTermVolCurve_.link.optionTenors());
List <double> optionExpiriesTimes = new List <double>(atmCapFloorTermVolCurve_.link.optionTimes());
for (int j = 0; j < nOptionExpiries_; ++j)
{
double atmOptionVol = atmCapFloorTermVolCurve_.link.volatility(optionExpiriesTimes[j], 33.3333); // dummy strike
BlackCapFloorEngine engine = new BlackCapFloorEngine(iborIndex_.forwardingTermStructure(), atmOptionVol, dc_);
CapFloor test = new MakeCapFloor(CapFloorType.Cap, optionExpiriesTenors[j], iborIndex_, null,
new Period(0, TimeUnit.Days)).withPricingEngine(engine).value();
caps_.Add(test);
atmCapFloorStrikes_[j] = caps_[j].atmRate(iborIndex_.forwardingTermStructure());
atmCapFloorPrices_[j] = caps_[j].NPV();
}
spreadsVolImplied_ = spreadsVolImplied();
StrippedOptionletAdapter adapter = new StrippedOptionletAdapter(stripper1_);
double unadjustedVol, adjustedVol;
for (int j = 0; j < nOptionExpiries_; ++j)
{
for (int i = 0; i < optionletVolatilities_.Count; ++i)
{
if (i <= caps_[j].floatingLeg().Count)
{
unadjustedVol = adapter.volatility(optionletTimes_[i], atmCapFloorStrikes_[j]);
adjustedVol = unadjustedVol + spreadsVolImplied_[j];
var previous = optionletStrikes_[i].FindIndex(x => x >= atmCapFloorStrikes_[j]);
int insertIndex = previous;
optionletStrikes_[i].Insert(insertIndex, atmCapFloorStrikes_[j]);
optionletVolatilities_[i].Insert(insertIndex, adjustedVol);
}
}
}
}
// LazyObject interface
protected override void performCalculations()
{
// update dates
Date referenceDate = termVolSurface_.referenceDate();
DayCounter dc = termVolSurface_.dayCounter();
BlackCapFloorEngine dummy = new BlackCapFloorEngine( // discounting does not matter here
iborIndex_.forwardingTermStructure(), 0.20, dc);
for (int i = 0; i < nOptionletTenors_; ++i)
{
CapFloor temp = new MakeCapFloor(CapFloorType.Cap,
capFloorLengths_[i],
iborIndex_,
0.04, // dummy strike
new Period(0, TimeUnit.Days))
.withPricingEngine(dummy);
FloatingRateCoupon lFRC = temp.lastFloatingRateCoupon();
optionletDates_[i] = lFRC.fixingDate();
optionletPaymentDates_[i] = lFRC.date();
optionletAccrualPeriods_[i] = lFRC.accrualPeriod();
optionletTimes_[i] = dc.yearFraction(referenceDate,
optionletDates_[i]);
atmOptionletRate_[i] = lFRC.indexFixing();
}
if (floatingSwitchStrike_ && capFlooMatrixNotInitialized_)
{
double averageAtmOptionletRate = 0.0;
for (int i = 0; i < nOptionletTenors_; ++i)
{
averageAtmOptionletRate += atmOptionletRate_[i];
}
switchStrike_ = averageAtmOptionletRate / nOptionletTenors_;
}
Handle <YieldTermStructure> discountCurve = discount_.empty()
? iborIndex_.forwardingTermStructure()
: discount_;
List <double> strikes = new List <double>(termVolSurface_.strikes());
// initialize CapFloorMatrix
if (capFlooMatrixNotInitialized_)
{
for (int i = 0; i < nOptionletTenors_; ++i)
{
capFloors_[i] = new List <CapFloor>(nStrikes_);
}
// construction might go here
for (int j = 0; j < nStrikes_; ++j)
{
// using out-of-the-money options
CapFloorType capFloorType = strikes[j] < switchStrike_
? CapFloorType.Floor
: CapFloorType.Cap;
for (int i = 0; i < nOptionletTenors_; ++i)
{
if (volatilityType_ == VolatilityType.ShiftedLognormal)
{
BlackCapFloorEngine engine = new BlackCapFloorEngine(discountCurve,
new Handle <Quote>(volQuotes_[i][j]), dc, displacement_);
capFloors_[i].Add(new MakeCapFloor(capFloorType, capFloorLengths_[i], iborIndex_, strikes[j],
new Period(0, TimeUnit.Days)).withPricingEngine(engine));
}
else if (volatilityType_ == VolatilityType.Normal)
{
BachelierCapFloorEngine engine = new BachelierCapFloorEngine(discountCurve,
new Handle <Quote>(volQuotes_[i][j]), dc);
capFloors_[i].Add(new MakeCapFloor(capFloorType, capFloorLengths_[i], iborIndex_, strikes[j],
new Period(0, TimeUnit.Days)).withPricingEngine(engine));
}
else
{
Utils.QL_FAIL("unknown volatility type: " + volatilityType_);
}
}
}
capFlooMatrixNotInitialized_ = false;
}
for (int j = 0; j < nStrikes_; ++j)
{
Option.Type optionletType = strikes[j] < switchStrike_ ? Option.Type.Put : Option.Type.Call;
double previousCapFloorPrice = 0.0;
for (int i = 0; i < nOptionletTenors_; ++i)
{
capFloorVols_[i, j] = termVolSurface_.volatility(capFloorLengths_[i], strikes[j], true);
volQuotes_[i][j].setValue(capFloorVols_[i, j]);
capFloorPrices_[i, j] = capFloors_[i][j].NPV();
optionletPrices_[i, j] = capFloorPrices_[i, j] - previousCapFloorPrice;
previousCapFloorPrice = capFloorPrices_[i, j];
double d = discountCurve.link.discount(optionletPaymentDates_[i]);
double optionletAnnuity = optionletAccrualPeriods_[i] * d;
try
{
if (volatilityType_ == VolatilityType.ShiftedLognormal)
{
optionletStDevs_[i, j] = Utils.blackFormulaImpliedStdDev(optionletType, strikes[j], atmOptionletRate_[i],
optionletPrices_[i, j], optionletAnnuity, displacement_, optionletStDevs_[i, j], accuracy_,
maxIter_);
}
else if (volatilityType_ == VolatilityType.Normal)
{
optionletStDevs_[i, j] = Math.Sqrt(optionletTimes_[i]) *
Utils.bachelierBlackFormulaImpliedVol(
optionletType, strikes[j], atmOptionletRate_[i],
optionletTimes_[i], optionletPrices_[i, j],
optionletAnnuity);
}
else
{
Utils.QL_FAIL("Unknown volatility type: " + volatilityType_);
}
}
catch (Exception e)
{
if (dontThrow_)
{
optionletStDevs_[i, j] = 0.0;
}
else
{
Utils.QL_FAIL("could not bootstrap optionlet:" +
"\n type: " + optionletType +
"\n strike: " + (strikes[j]) +
"\n atm: " + (atmOptionletRate_[i]) +
"\n price: " + optionletPrices_[i, j] +
"\n annuity: " + optionletAnnuity +
"\n expiry: " + optionletDates_[i] +
"\n error: " + e.Message);
}
}
optionletVolatilities_[i][j] = optionletStDevs_[i, j] / Math.Sqrt(optionletTimes_[i]);
}
}
}