Пример #1
0
        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();
        }
Пример #2
0
        public override void calculate()
        {
            Utils.QL_REQUIRE(arguments_.exercise.type() == Exercise.Type.European, () => "not an European Option");

            EuropeanExercise exercise = arguments_.exercise as EuropeanExercise;

            Utils.QL_REQUIRE(exercise != null, () => "not an European Option");

            BasketPayoff basket_payoff = arguments_.payoff as BasketPayoff;

            MinBasketPayoff min_basket = arguments_.payoff as MinBasketPayoff;

            MaxBasketPayoff max_basket = arguments_.payoff as MaxBasketPayoff;

            Utils.QL_REQUIRE(min_basket != null || max_basket != null, () => "unknown basket type");

            PlainVanillaPayoff payoff = basket_payoff.basePayoff() as PlainVanillaPayoff;

            Utils.QL_REQUIRE(payoff != null, () => "non-plain payoff given");

            double strike = payoff.strike();

            double variance1 = process1_.blackVolatility().link.blackVariance(exercise.lastDate(), strike);
            double variance2 = process2_.blackVolatility().link.blackVariance(exercise.lastDate(), strike);

            double riskFreeDiscount = process1_.riskFreeRate().link.discount(exercise.lastDate());

            // cannot handle non zero dividends, so don't believe this...
            double dividendDiscount1 = process1_.dividendYield().link.discount(exercise.lastDate());
            double dividendDiscount2 = process2_.dividendYield().link.discount(exercise.lastDate());

            double forward1 = process1_.stateVariable().link.value() * dividendDiscount1 / riskFreeDiscount;
            double forward2 = process2_.stateVariable().link.value() * dividendDiscount2 / riskFreeDiscount;

            if (max_basket != null)
            {
                switch (payoff.optionType())
                {
                // euro call on a two asset max basket
                case Option.Type.Call:
                    results_.value = euroTwoAssetMaxBasketCall(forward1, forward2, strike,
                                                               riskFreeDiscount,
                                                               variance1, variance2,
                                                               rho_);

                    break;

                // euro put on a two asset max basket
                case Option.Type.Put:
                    results_.value = strike * riskFreeDiscount -
                                     euroTwoAssetMaxBasketCall(forward1, forward2, 0.0,
                                                               riskFreeDiscount,
                                                               variance1, variance2, rho_) +
                                     euroTwoAssetMaxBasketCall(forward1, forward2, strike,
                                                               riskFreeDiscount,
                                                               variance1, variance2, rho_);
                    break;

                default:
                    Utils.QL_FAIL("unknown option type");
                    break;
                }
            }
            else if (min_basket != null)
            {
                switch (payoff.optionType())
                {
                // euro call on a two asset min basket
                case Option.Type.Call:
                    results_.value = euroTwoAssetMinBasketCall(forward1, forward2, strike,
                                                               riskFreeDiscount,
                                                               variance1, variance2,
                                                               rho_);
                    break;

                // euro put on a two asset min basket
                case Option.Type.Put:
                    results_.value = strike * riskFreeDiscount -
                                     euroTwoAssetMinBasketCall(forward1, forward2, 0.0,
                                                               riskFreeDiscount,
                                                               variance1, variance2, rho_) +
                                     euroTwoAssetMinBasketCall(forward1, forward2, strike,
                                                               riskFreeDiscount,
                                                               variance1, variance2, rho_);
                    break;

                default:
                    Utils.QL_FAIL("unknown option type");
                    break;
                }
            }
            else
            {
                Utils.QL_FAIL("unknown type");
            }
        }
        public override void calculate()
        {
            AmericanExercise ex = arguments_.exercise as AmericanExercise;

            Utils.QL_REQUIRE(ex != null, () => "non-American exercise given");
            Utils.QL_REQUIRE(ex.payoffAtExpiry(), () => "payoff must be at expiry");
            Utils.QL_REQUIRE(ex.dates()[0] <= process_.blackVolatility().link.referenceDate(), () =>
                             "American option with window exercise not handled yet");

            StrikedTypePayoff payoff = arguments_.payoff as StrikedTypePayoff;

            Utils.QL_REQUIRE(payoff != null, () => "non-striked payoff given");

            double spot = process_.stateVariable().link.value();

            Utils.QL_REQUIRE(spot > 0.0, () => "negative or null underlying given");

            double variance = process_.blackVolatility().link.blackVariance(ex.lastDate(), payoff.strike());
            double?barrier  = arguments_.barrier;

            Utils.QL_REQUIRE(barrier > 0.0, () => "positive barrier value required");
            Barrier.Type barrierType = arguments_.barrierType;

            // KO degenerate cases
            if ((barrierType == Barrier.Type.DownOut && spot <= barrier) ||
                (barrierType == Barrier.Type.UpOut && spot >= barrier))
            {
                // knocked out, no value
                results_.value       = 0;
                results_.delta       = 0;
                results_.gamma       = 0;
                results_.vega        = 0;
                results_.theta       = 0;
                results_.rho         = 0;
                results_.dividendRho = 0;
                return;
            }

            // KI degenerate cases
            if ((barrierType == Barrier.Type.DownIn && spot <= barrier) ||
                (barrierType == Barrier.Type.UpIn && spot >= barrier))
            {
                // knocked in - is a digital european
                Exercise exercise = new EuropeanExercise(arguments_.exercise.lastDate());

                IPricingEngine engine = new AnalyticEuropeanEngine(process_);

                VanillaOption opt = new VanillaOption(payoff, exercise);
                opt.setPricingEngine(engine);
                results_.value       = opt.NPV();
                results_.delta       = opt.delta();
                results_.gamma       = opt.gamma();
                results_.vega        = opt.vega();
                results_.theta       = opt.theta();
                results_.rho         = opt.rho();
                results_.dividendRho = opt.dividendRho();
                return;
            }

            double riskFreeDiscount = process_.riskFreeRate().link.discount(ex.lastDate());

            AnalyticBinaryBarrierEngine_helper helper = new AnalyticBinaryBarrierEngine_helper(
                process_, payoff, ex, arguments_);

            results_.value = helper.payoffAtExpiry(spot, variance, riskFreeDiscount);
        }
        public override void calculate()
        {
            if (arguments_.barrierType == DoubleBarrier.Type.KIKO ||
                arguments_.barrierType == DoubleBarrier.Type.KOKI)
            {
                AmericanExercise ex = arguments_.exercise as AmericanExercise;
                Utils.QL_REQUIRE(ex != null, () => "KIKO/KOKI options must have American exercise");
                Utils.QL_REQUIRE(ex.dates()[0] <=
                                 process_.blackVolatility().currentLink().referenceDate(),
                                 () => "American option with window exercise not handled yet");
            }
            else
            {
                EuropeanExercise ex = arguments_.exercise as EuropeanExercise;
                Utils.QL_REQUIRE(ex != null, () => "non-European exercise given");
            }
            CashOrNothingPayoff payoff = arguments_.payoff as CashOrNothingPayoff;

            Utils.QL_REQUIRE(payoff != null, () => "a cash-or-nothing payoff must be given");

            double spot = process_.stateVariable().currentLink().value();

            Utils.QL_REQUIRE(spot > 0.0, () => "negative or null underlying given");

            double variance =
                process_.blackVolatility().currentLink().blackVariance(
                    arguments_.exercise.lastDate(),
                    payoff.strike());
            double barrier_lo = arguments_.barrier_lo.Value;
            double barrier_hi = arguments_.barrier_hi.Value;

            DoubleBarrier.Type barrierType = arguments_.barrierType;
            Utils.QL_REQUIRE(barrier_lo > 0.0,
                             () => "positive low barrier value required");
            Utils.QL_REQUIRE(barrier_hi > 0.0,
                             () => "positive high barrier value required");
            Utils.QL_REQUIRE(barrier_lo < barrier_hi,
                             () => "barrier_lo must be < barrier_hi");
            Utils.QL_REQUIRE(barrierType == DoubleBarrier.Type.KnockIn ||
                             barrierType == DoubleBarrier.Type.KnockOut ||
                             barrierType == DoubleBarrier.Type.KIKO ||
                             barrierType == DoubleBarrier.Type.KOKI,
                             () => "Unsupported barrier type");

            // degenerate cases
            switch (barrierType)
            {
            case DoubleBarrier.Type.KnockOut:
                if (spot <= barrier_lo || spot >= barrier_hi)
                {
                    // knocked out, no value
                    results_.value = 0;
                    results_.delta = 0;
                    results_.gamma = 0;
                    results_.vega  = 0;
                    results_.rho   = 0;
                    return;
                }
                break;

            case DoubleBarrier.Type.KnockIn:
                if (spot <= barrier_lo || spot >= barrier_hi)
                {
                    // knocked in - pays
                    results_.value = payoff.cashPayoff();
                    results_.delta = 0;
                    results_.gamma = 0;
                    results_.vega  = 0;
                    results_.rho   = 0;
                    return;
                }
                break;

            case DoubleBarrier.Type.KIKO:
                if (spot >= barrier_hi)
                {
                    // knocked out, no value
                    results_.value = 0;
                    results_.delta = 0;
                    results_.gamma = 0;
                    results_.vega  = 0;
                    results_.rho   = 0;
                    return;
                }
                else if (spot <= barrier_lo)
                {
                    // knocked in, pays
                    results_.value = payoff.cashPayoff();
                    results_.delta = 0;
                    results_.gamma = 0;
                    results_.vega  = 0;
                    results_.rho   = 0;
                    return;
                }
                break;

            case DoubleBarrier.Type.KOKI:
                if (spot <= barrier_lo)
                {
                    // knocked out, no value
                    results_.value = 0;
                    results_.delta = 0;
                    results_.gamma = 0;
                    results_.vega  = 0;
                    results_.rho   = 0;
                    return;
                }
                else if (spot >= barrier_hi)
                {
                    // knocked in, pays
                    results_.value = payoff.cashPayoff();
                    results_.delta = 0;
                    results_.gamma = 0;
                    results_.vega  = 0;
                    results_.rho   = 0;
                    return;
                }
                break;
            }

            AnalyticDoubleBarrierBinaryEngineHelper helper = new AnalyticDoubleBarrierBinaryEngineHelper(process_,
                                                                                                         payoff, arguments_);

            switch (barrierType)
            {
            case DoubleBarrier.Type.KnockOut:
            case DoubleBarrier.Type.KnockIn:
                results_.value = helper.payoffAtExpiry(spot, variance, barrierType);
                break;

            case DoubleBarrier.Type.KIKO:
            case DoubleBarrier.Type.KOKI:
                results_.value = helper.payoffKIKO(spot, variance, barrierType);
                break;

            default:
                results_.value = null;
                break;
            }
        }
Пример #5
0
 public CliquetOption(PercentageStrikePayoff payoff, EuropeanExercise maturity, List <Date> resetDates)
     : base(payoff, maturity)
 {
     resetDates_ = new List <Date>(resetDates);
 }