public override void initialize(FloatingRateCoupon coupon)
{
coupon_ = coupon as CmsSpreadCoupon;
Utils.QL_REQUIRE(coupon_ != null, () => "CMS spread coupon needed");
index_ = coupon_.swapSpreadIndex();
gearing_ = coupon_.gearing();
spread_ = coupon_.spread();
fixingDate_ = coupon_.fixingDate();
paymentDate_ = coupon_.date();
// if no coupon discount curve is given just use the discounting curve
// from the _first_ swap index.
// for double calculation this curve cancels out in the computation, so
// e.g. the discounting
// swap engine will produce correct results, even if the
// couponDiscountCurve is not set here.
// only the price member function in this class will be dependent on the
// coupon discount curve.
today_ = Settings.Instance.evaluationDate();
if (couponDiscountCurve_.empty())
{
couponDiscountCurve_ =
index_.swapIndex1().exogenousDiscount()
? index_.swapIndex1().discountingTermStructure()
: index_.swapIndex1().forwardingTermStructure();
}
discount_ = paymentDate_ > couponDiscountCurve_.currentLink().referenceDate()
? couponDiscountCurve_.currentLink().discount(paymentDate_)
: 1.0;
spreadLegValue_ = spread_ * coupon_.accrualPeriod() * discount_;
gearing1_ = index_.gearing1();
gearing2_ = index_.gearing2();
Utils.QL_REQUIRE(gearing1_ > 0.0 && gearing2_ < 0.0,
() => "gearing1 (" + gearing1_
+ ") should be positive while gearing2 ("
+ gearing2_ + ") should be negative");
c1_ = new CmsCoupon(
coupon_.nominal(), coupon_.date(), coupon_.accrualStartDate(),
coupon_.accrualEndDate(), coupon_.fixingDays,
index_.swapIndex1(), 1.0, 0.0, coupon_.referencePeriodStart,
coupon_.referencePeriodEnd, coupon_.dayCounter(),
coupon_.isInArrears());
c2_ = new CmsCoupon(
coupon_.nominal(), coupon_.date(), coupon_.accrualStartDate(),
coupon_.accrualEndDate(), coupon_.fixingDays,
index_.swapIndex2(), 1.0, 0.0, coupon_.referencePeriodStart,
coupon_.referencePeriodEnd, coupon_.dayCounter(),
coupon_.isInArrears());
c1_.setPricer(cmsPricer1_);
c2_.setPricer(cmsPricer2_);
if (fixingDate_ > today_)
{
fixingTime_ = cmsPricer1_.swaptionVolatility().currentLink().timeFromReference(
fixingDate_);
swapRate1_ = c1_.indexFixing();
swapRate2_ = c2_.indexFixing();
adjustedFixing1_ = c1_.adjustedFixing;
adjustedFixing2_ = c2_.adjustedFixing;
SwaptionVolatilityStructure swvol = cmsPricer1_.swaptionVolatility();
SwaptionVolatilityCube swcub = swvol as SwaptionVolatilityCube;
if (inheritedVolatilityType_ && volType_ == VolatilityType.ShiftedLognormal)
{
shift1_ =
swvol.shift(fixingDate_, index_.swapIndex1().tenor());
shift2_ =
swvol.shift(fixingDate_, index_.swapIndex2().tenor());
}
if (swcub == null)
{
// not a cube, just an atm surface given, so we can
// not easily convert volatilities and just forbid it
Utils.QL_REQUIRE(inheritedVolatilityType_,
() => "if only an atm surface is given, the volatility type must be inherited");
vol1_ = swvol.volatility(
fixingDate_, index_.swapIndex1().tenor(), swapRate1_);
vol2_ = swvol.volatility(
fixingDate_, index_.swapIndex2().tenor(), swapRate2_);
}
else
{
vol1_ = swcub.smileSection(fixingDate_,
index_.swapIndex1().tenor())
.volatility(swapRate1_, volType_, shift1_);
vol2_ = swcub.smileSection(fixingDate_,
index_.swapIndex2().tenor())
.volatility(swapRate2_, volType_, shift2_);
}
if (volType_ == VolatilityType.ShiftedLognormal)
{
mu1_ = 1.0 / fixingTime_ * Math.Log((adjustedFixing1_ + shift1_) /
(swapRate1_ + shift1_));
mu2_ = 1.0 / fixingTime_ * Math.Log((adjustedFixing2_ + shift2_) /
(swapRate2_ + shift2_));
}
// for the normal volatility case we do not need the drifts
// but rather use adjusted doubles directly in the integrand
rho_ = Math.Max(Math.Min(correlation().currentLink().value(), 0.9999),
-0.9999); // avoid division by zero in integrand
}
else
{
// fixing is in the past or today
adjustedFixing1_ = c1_.indexFixing();
adjustedFixing2_ = c2_.indexFixing();
}
}