public AnalyticHaganPricer(Handle<SwaptionVolatilityStructure> swaptionVol, GFunctionFactory.YieldCurveModel modelOfYieldCurve, Handle<Quote> meanReversion)
: base(swaptionVol, modelOfYieldCurve, meanReversion) {
}
protected HaganPricer(Handle<SwaptionVolatilityStructure> swaptionVol, GFunctionFactory.YieldCurveModel modelOfYieldCurve, Handle<Quote> meanReversion)
: base(swaptionVol) {
modelOfYieldCurve_ = modelOfYieldCurve;
cutoffForCaplet_ = 2;
cutoffForFloorlet_ = 0;
meanReversion_ = meanReversion;
if (meanReversion_.link != null)
meanReversion_.registerWith(update);
}
public NumericHaganPricer(Handle<SwaptionVolatilityStructure> swaptionVol, GFunctionFactory.YieldCurveModel modelOfYieldCurve, Handle<Quote> meanReversion, double lowerLimit, double upperLimit, double precision)
: base(swaptionVol, modelOfYieldCurve, meanReversion) {
upperLimit_ = upperLimit;
lowerLimit_ = lowerLimit;
requiredStdDeviations_ = 8;
precision_ = precision;
refiningIntegrationTolerance_ = 0.0001;
}
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.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();
double bp = 1.0e-4;
annuity_ = (swap.floatingLegBPS() / bp);
int q = (int)swapIndex.fixedLegTenor().frequency();
Schedule schedule = swap.fixedSchedule();
DayCounter dc = swapIndex.dayCounter();
//DayCounter dc = coupon.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:
throw new ApplicationException("unknown/illegal gFunction type");
}
vanillaOptionPricer_ = new BlackVanillaOptionPricer(swapRateValue_, fixingDate_, swapTenor_, swaptionVolatility().link);
}
}