// ! Returns the put option rate // (multiplied by: nominal*accrualperiod*discount is the NPV of the option) // public double putOptionRate() { double putOptionRate = 0.0; if (hasPutStrike_) { // Step function putOptionRate = isPutCashOrNothing_ ? putDigitalPayoff_ : putStrike_; CappedFlooredCoupon next = new CappedFlooredCoupon(underlying_, null, putStrike_ + putRightEps_); CappedFlooredCoupon previous = new CappedFlooredCoupon(underlying_, null, putStrike_ - putLeftEps_); putOptionRate *= (next.rate() - previous.rate()) / (putLeftEps_ + putRightEps_); if (!isPutCashOrNothing_) { // Put CappedFlooredCoupon atStrike = new CappedFlooredCoupon(underlying_, null, putStrike_); double put = -underlying_.rate() + atStrike.rate(); // Sum up putOptionRate -= put; } } return(putOptionRate); }
// ! Returns the call option rate // (multiplied by: nominal*accrualperiod*discount is the NPV of the option) // public double callOptionRate() { double callOptionRate = 0.0; if (hasCallStrike_) { // Step function callOptionRate = isCallCashOrNothing_ ? callDigitalPayoff_ : callStrike_; CappedFlooredCoupon next = new CappedFlooredCoupon(underlying_, callStrike_ + callRightEps_); CappedFlooredCoupon previous = new CappedFlooredCoupon(underlying_, callStrike_ - callLeftEps_); callOptionRate *= (next.rate() - previous.rate()) / (callLeftEps_ + callRightEps_); if (!isCallCashOrNothing_) { // Call CappedFlooredCoupon atStrike = new CappedFlooredCoupon(underlying_, callStrike_); double call = underlying_.rate() - atStrike.rate(); // Sum up callOptionRate += call; } } return(callOptionRate); }
public void visit(CappedFlooredCoupon c) { c.setPricer(pricer_); }
// 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(); } } }