protected override void initializeDates()
{
// dummy ibor index with curve/swap arguments
IborIndex clonedIborIndex = iborIndex_.clone(termStructureHandle_);
// do not pass the spread here, as it might be a Quote i.e. it can dinamically change
swap_ = new MakeVanillaSwap(tenor_, clonedIborIndex, 0.0, fwdStart_)
.withFixedLegDayCount(fixedDayCount_)
.withFixedLegTenor(new Period(fixedFrequency_))
.withFixedLegConvention(fixedConvention_)
.withFixedLegTerminationDateConvention(fixedConvention_)
.withFixedLegCalendar(calendar_)
.withFloatingLegCalendar(calendar_);
earliestDate_ = swap_.startDate();
// Usually...
latestDate_ = swap_.maturityDate();
// ...but due to adjustments, the last floating coupon might
// need a later date for fixing
#if QL_USE_INDEXED_COUPON
FloatingRateCoupon lastFloating = (FloatingRateCoupon)swap_.floatingLeg()[swap_.floatingLeg().Count - 1];
Date fixingValueDate = iborIndex_.valueDate(lastFloating.fixingDate());
Date endValueDate = iborIndex_.maturityDate(fixingValueDate);
latestDate_ = Date.Max(latestDate_, endValueDate);
#endif
}
// other
public override void setupArguments(IPricingEngineArguments args)
{
base.setupArguments(args);
AssetSwap.Arguments arguments = args as AssetSwap.Arguments;
if (arguments == null) // it's a swap engine...
{
return;
}
List <CashFlow> fixedCoupons = bondLeg();
arguments.fixedResetDates = arguments.fixedPayDates = new List <Date>(fixedCoupons.Count);
arguments.fixedCoupons = new List <double>(fixedCoupons.Count);
for (int i = 0; i < fixedCoupons.Count; ++i)
{
FixedRateCoupon coupon = fixedCoupons[i] as FixedRateCoupon;
arguments.fixedPayDates[i] = coupon.date();
arguments.fixedResetDates[i] = coupon.accrualStartDate();
arguments.fixedCoupons[i] = coupon.amount();
}
List <CashFlow> floatingCoupons = floatingLeg();
arguments.floatingResetDates = arguments.floatingPayDates =
arguments.floatingFixingDates = new List <Date>(floatingCoupons.Count);
arguments.floatingAccrualTimes = new List <double>(floatingCoupons.Count);
arguments.floatingSpreads = new List <double>(floatingCoupons.Count);
for (int i = 0; i < floatingCoupons.Count; ++i)
{
FloatingRateCoupon coupon = floatingCoupons[i] as FloatingRateCoupon;
arguments.floatingResetDates[i] = coupon.accrualStartDate();
arguments.floatingPayDates[i] = coupon.date();
arguments.floatingFixingDates[i] = coupon.fixingDate();
arguments.floatingAccrualTimes[i] = coupon.accrualPeriod();
arguments.floatingSpreads[i] = coupon.spread();
}
}
public override void setupArguments(IPricingEngineArguments args)
{
CapFloor.Arguments arguments = args as CapFloor.Arguments;
if (arguments == null)
{
throw new ArgumentException("wrong argument type");
}
int n = floatingLeg_.Count;
arguments.startDates = new InitializedList <Date>(n);
arguments.fixingDates = new InitializedList <Date>(n);
arguments.endDates = new InitializedList <Date>(n);
arguments.accrualTimes = new InitializedList <double>(n);
arguments.forwards = new InitializedList <double?>(n);
arguments.nominals = new InitializedList <double>(n);
arguments.gearings = new InitializedList <double>(n);
arguments.capRates = new InitializedList <double?>(n);
arguments.floorRates = new InitializedList <double?>(n);
arguments.spreads = new InitializedList <double>(n);
arguments.type = type_;
Date today = Settings.evaluationDate();
for (int i = 0; i < n; ++i)
{
FloatingRateCoupon coupon = floatingLeg_[i] as FloatingRateCoupon;
if (coupon == null)
{
throw new ArgumentException("non-FloatingRateCoupon given");
}
arguments.startDates[i] = coupon.accrualStartDate();
arguments.fixingDates[i] = coupon.fixingDate();
arguments.endDates[i] = coupon.date();
// this is passed explicitly for precision
arguments.accrualTimes[i] = coupon.accrualPeriod();
// this is passed explicitly for precision...
if (arguments.endDates[i] >= today)
{
// ...but only if needed
arguments.forwards[i] = coupon.adjustedFixing;
}
else
{
arguments.forwards[i] = null;
}
arguments.nominals[i] = coupon.nominal();
double spread = coupon.spread();
double gearing = coupon.gearing();
arguments.gearings[i] = gearing;
arguments.spreads[i] = spread;
if (type_ == CapFloorType.Cap || type_ == CapFloorType.Collar)
{
arguments.capRates[i] = (capRates_[i] - spread) / gearing;
}
else
{
arguments.capRates[i] = null;
}
if (type_ == CapFloorType.Floor || type_ == CapFloorType.Collar)
{
arguments.floorRates[i] = (floorRates_[i] - spread) / gearing;
}
else
{
arguments.floorRates[i] = null;
}
}
}
//! \name 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)
{
//volQuotes_[i][j] = new SimpleQuote();
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]);
}
}
}
// other
public override void setupArguments(IPricingEngineArguments args)
{
base.setupArguments(args);
Arguments arguments = args as Arguments;
Utils.QL_REQUIRE(arguments != null, () => "argument type does not match");
arguments.type = type_;
arguments.nominal1 = nominal1_;
arguments.nominal2 = nominal2_;
arguments.index1 = index1_;
arguments.index2 = index2_;
List <CashFlow> leg1Coupons = leg1();
List <CashFlow> leg2Coupons = leg2();
arguments.leg1ResetDates = arguments.leg1PayDates =
arguments.leg1FixingDates = new InitializedList <Date>(leg1Coupons.Count);
arguments.leg2ResetDates = arguments.leg2PayDates =
arguments.leg2FixingDates = new InitializedList <Date>(leg2Coupons.Count);
arguments.leg1Spreads = arguments.leg1AccrualTimes =
arguments.leg1Gearings = new InitializedList <double>(leg1Coupons.Count);
arguments.leg2Spreads = arguments.leg2AccrualTimes =
arguments.leg2Gearings = new InitializedList <double>(leg2Coupons.Count);
arguments.leg1Coupons = new InitializedList <double?>(leg1Coupons.Count, null);
arguments.leg2Coupons = new InitializedList <double?>(leg2Coupons.Count, null);
arguments.leg1IsRedemptionFlow = new InitializedList <bool>(leg1Coupons.Count, false);
arguments.leg2IsRedemptionFlow = new InitializedList <bool>(leg2Coupons.Count, false);
arguments.leg1CappedRates = arguments.leg1FlooredRates =
new InitializedList <double?>(leg1Coupons.Count, null);
arguments.leg2CappedRates = arguments.leg2FlooredRates =
new InitializedList <double?>(leg2Coupons.Count, null);
for (int i = 0; i < leg1Coupons.Count; ++i)
{
FloatingRateCoupon coupon = leg1Coupons[i] as FloatingRateCoupon;
if (coupon != null)
{
arguments.leg1AccrualTimes[i] = coupon.accrualPeriod();
arguments.leg1PayDates[i] = coupon.date();
arguments.leg1ResetDates[i] = coupon.accrualStartDate();
arguments.leg1FixingDates[i] = coupon.fixingDate();
arguments.leg1Spreads[i] = coupon.spread();
arguments.leg1Gearings[i] = coupon.gearing();
try
{
arguments.leg1Coupons[i] = coupon.amount();
}
catch (Exception)
{
arguments.leg1Coupons[i] = null;
}
CappedFlooredCoupon cfcoupon = leg1Coupons[i] as CappedFlooredCoupon;
if (cfcoupon != null)
{
arguments.leg1CappedRates[i] = cfcoupon.cap();
arguments.leg1FlooredRates[i] = cfcoupon.floor();
}
}
else
{
CashFlow cashflow = leg1Coupons[i] as CashFlow;
int j = arguments.leg1PayDates.FindIndex(x => x == cashflow.date());
Utils.QL_REQUIRE(j != -1, () =>
"nominal redemption on " + cashflow.date() + "has no corresponding coupon");
int jIdx = j; // Size jIdx = j - arguments->leg1PayDates.begin();
arguments.leg1IsRedemptionFlow[i] = true;
arguments.leg1Coupons[i] = cashflow.amount();
arguments.leg1ResetDates[i] = arguments.leg1ResetDates[jIdx];
arguments.leg1FixingDates[i] = arguments.leg1FixingDates[jIdx];
arguments.leg1AccrualTimes[i] = 0.0;
arguments.leg1Spreads[i] = 0.0;
arguments.leg1Gearings[i] = 1.0;
arguments.leg1PayDates[i] = cashflow.date();
}
}
for (int i = 0; i < leg2Coupons.Count; ++i)
{
FloatingRateCoupon coupon = leg2Coupons[i] as FloatingRateCoupon;
if (coupon != null)
{
arguments.leg2AccrualTimes[i] = coupon.accrualPeriod();
arguments.leg2PayDates[i] = coupon.date();
arguments.leg2ResetDates[i] = coupon.accrualStartDate();
arguments.leg2FixingDates[i] = coupon.fixingDate();
arguments.leg2Spreads[i] = coupon.spread();
arguments.leg2Gearings[i] = coupon.gearing();
try
{
arguments.leg2Coupons[i] = coupon.amount();
}
catch (Exception)
{
arguments.leg2Coupons[i] = null;
}
CappedFlooredCoupon cfcoupon = leg2Coupons[i] as CappedFlooredCoupon;
if (cfcoupon != null)
{
arguments.leg2CappedRates[i] = cfcoupon.cap();
arguments.leg2FlooredRates[i] = cfcoupon.floor();
}
}
else
{
CashFlow cashflow = leg2Coupons[i] as CashFlow;
int j = arguments.leg2PayDates.FindIndex(x => x == cashflow.date());
Utils.QL_REQUIRE(j != -1, () =>
"nominal redemption on " + cashflow.date() + "has no corresponding coupon");
int jIdx = j; // j - arguments->leg2PayDates.begin();
arguments.leg2IsRedemptionFlow[i] = true;
arguments.leg2Coupons[i] = cashflow.amount();
arguments.leg2ResetDates[i] = arguments.leg2ResetDates[jIdx];
arguments.leg2FixingDates[i] =
arguments.leg2FixingDates[jIdx];
arguments.leg2AccrualTimes[i] = 0.0;
arguments.leg2Spreads[i] = 0.0;
arguments.leg2Gearings[i] = 1.0;
arguments.leg2PayDates[i] = cashflow.date();
}
}
}