public ConundrumIntegrand(VanillaOptionPricer o, YieldTermStructure curve, GFunction gFunction, Date fixingDate, Date paymentDate, double annuity, double forwardValue, double strike, Option.Type optionType)
{
vanillaOptionPricer_ = o;
forwardValue_ = forwardValue;
annuity_ = annuity;
fixingDate_ = fixingDate;
paymentDate_ = paymentDate;
strike_ = strike;
optionType_ = optionType;
gFunction_ = gFunction;
}
public FdmHestonVariancePart(
FdmMesher mesher,
YieldTermStructure rTS,
double sigma, double kappa, double theta)
{
dyMap_ = new SecondDerivativeOp(1, mesher)
.mult(0.5 * sigma * sigma * mesher.locations(1))
.add(new FirstDerivativeOp(1, mesher)
.mult(kappa * (theta - mesher.locations(1))));
mapT_ = new TripleBandLinearOp(1, mesher);
rTS_ = rTS;
}
public static double bps(Bond bond, YieldTermStructure discountCurve, Date settlementDate = null)
{
if (settlementDate == null)
{
settlementDate = bond.settlementDate();
}
Utils.QL_REQUIRE(BondFunctions.isTradable(bond, settlementDate), () =>
"non tradable at " + settlementDate +
" (maturity being " + bond.maturityDate() + ")",
QLNetExceptionEnum.NotTradableException);
return(CashFlows.bps(bond.cashflows(), discountCurve, false, settlementDate) * 100.0 / bond.notional(settlementDate));
}
public LongstaffSchwartzPathPricer(TimeGrid times, IEarlyExercisePathPricer <PathType, double> pathPricer,
YieldTermStructure termStructure)
{
calibrationPhase_ = true;
pathPricer_ = pathPricer;
coeff_ = new InitializedList <Vector>(times.size() - 1);
dF_ = new InitializedList <double>(times.size() - 1);
v_ = pathPricer_.basisSystem();
for (int i = 0; i < times.size() - 1; ++i)
{
dF_[i] = termStructure.discount(times[i + 1])
/ termStructure.discount(times[i]);
}
}
// At-the-money rate of the cash flows.
// The result is the fixed rate for which a fixed rate cash flow vector, equivalent to the input vector, has the required NPV according to the given term structure. If the required NPV is
// not given, the input cash flow vector's NPV is used instead.
public static double atmRate(Leg leg, YieldTermStructure discountCurve, bool includeSettlementDateFlows,
Date settlementDate = null, Date npvDate = null, double?targetNpv = null)
{
if (settlementDate == null)
{
settlementDate = Settings.Instance.evaluationDate();
}
if (npvDate == null)
{
npvDate = settlementDate;
}
double npv = 0.0;
BPSCalculator calc = new BPSCalculator(discountCurve);
for (int i = 0; i < leg.Count; ++i)
{
CashFlow cf = leg[i];
if (!cf.hasOccurred(settlementDate, includeSettlementDateFlows) &&
!cf.tradingExCoupon(settlementDate))
{
npv += cf.amount() * discountCurve.discount(cf.date());
cf.accept(calc);
}
}
if (targetNpv == null)
{
targetNpv = npv - calc.nonSensNPV();
}
else
{
targetNpv *= discountCurve.discount(npvDate);
targetNpv -= calc.nonSensNPV();
}
if (targetNpv.IsEqual(0.0))
{
return(0.0);
}
double bps = calc.bps();
Utils.QL_REQUIRE(bps.IsNotEqual(0.0), () => "null bps: impossible atm rate");
return(targetNpv.Value / bps);
}
public static double cleanPrice(Bond bond, YieldTermStructure discount, double zSpread, DayCounter dayCounter, Compounding compounding,
Frequency frequency, Date settlementDate = null)
{
if (settlementDate == null)
{
settlementDate = bond.settlementDate();
}
Utils.QL_REQUIRE(BondFunctions.isTradable(bond, settlementDate), () =>
"non tradable at " + settlementDate +
" (maturity being " + bond.maturityDate() + ")",
QLNetExceptionEnum.NotTradableException);
double dirtyPrice = CashFlows.npv(bond.cashflows(), discount, zSpread, dayCounter, compounding, frequency, false, settlementDate) *
100.0 / bond.notional(settlementDate);
return(dirtyPrice - bond.accruedAmount(settlementDate));
}
public static double atmRate(Bond bond, YieldTermStructure discountCurve, Date settlementDate = null, double?cleanPrice = null)
{
if (settlementDate == null)
{
settlementDate = bond.settlementDate();
}
Utils.QL_REQUIRE(BondFunctions.isTradable(bond, settlementDate), () =>
"non tradable at " + settlementDate +
" (maturity being " + bond.maturityDate() + ")",
QLNetExceptionEnum.NotTradableException);
double?dirtyPrice = cleanPrice == null ? null : cleanPrice + bond.accruedAmount(settlementDate);
double currentNotional = bond.notional(settlementDate);
double?npv = dirtyPrice / 100.0 * currentNotional;
return(CashFlows.atmRate(bond.cashflows(), discountCurve, false, settlementDate, settlementDate, npv));
}
//! implied Z-spread.
public static double zSpread(Leg leg, double npv, YieldTermStructure discount, DayCounter dayCounter, Compounding compounding,
Frequency frequency, bool includeSettlementDateFlows, Date settlementDate = null,
Date npvDate = null, double accuracy = 1.0e-10, int maxIterations = 100, double guess = 0.0)
{
if (settlementDate == null)
{
settlementDate = Settings.Instance.evaluationDate();
}
if (npvDate == null)
{
npvDate = settlementDate;
}
Brent solver = new Brent();
solver.setMaxEvaluations(maxIterations);
ZSpreadFinder objFunction = new ZSpreadFinder(leg, discount, npv, dayCounter, compounding, frequency,
includeSettlementDateFlows, settlementDate, npvDate);
double step = 0.01;
return(solver.solve(objFunction, accuracy, guess, step));
}
// RateHelper interface
public override void setTermStructure(YieldTermStructure t)
{
// do not set the relinkable handle as an observer - force recalculation when needed
termStructureHandle_.linkTo(t, false);
base.setTermStructure(t);
}
public BPSCalculator(YieldTermStructure discountCurve)
{
discountCurve_ = discountCurve;
nonSensNPV_ = 0.0;
bps_ = 0.0;
}
public override void setTermStructure(YieldTermStructure t)
{
// no need to register---the index is not lazy
termStructureHandle_.linkTo(t, false);
base.setTermStructure(t);
}
//////////////////////////////////////////////////////////////////////////////////////
// methods
public double price(YieldTermStructure yts)
{
return(amount() * yts.discount(date()));
}
// Instrument interface
public override void calculate()
{
Utils.QL_REQUIRE(!discountCurve_.empty(), () => "discounting term structure handle is empty");
results_.value = results_.cash = 0;
results_.errorEstimate = null;
Date refDate = discountCurve_.link.referenceDate();
Date settlementDate = settlementDate_;
if (settlementDate_ == null)
{
settlementDate = refDate;
}
else
{
Utils.QL_REQUIRE(settlementDate >= refDate, () =>
"settlement date (" + settlementDate + ") before " +
"discount curve reference date (" + refDate + ")");
}
results_.valuationDate = npvDate_;
if (npvDate_ == null)
{
results_.valuationDate = refDate;
}
else
{
Utils.QL_REQUIRE(npvDate_ >= refDate, () =>
"npv date (" + npvDate_ + ") before " +
"discount curve reference date (" + refDate + ")");
}
results_.npvDateDiscount = discountCurve_.link.discount(results_.valuationDate);
int n = arguments_.legs.Count;
results_.legNPV = new InitializedList <double?>(n);
results_.legBPS = new InitializedList <double?>(n);
results_.startDiscounts = new InitializedList <double?>(n);
results_.endDiscounts = new InitializedList <double?>(n);
bool includeRefDateFlows =
includeSettlementDateFlows_.HasValue ?
includeSettlementDateFlows_.Value :
Settings.Instance.includeReferenceDateEvents;
for (int i = 0; i < n; ++i)
{
try
{
YieldTermStructure discount_ref = discountCurve_.currentLink();
double npv = 0, bps = 0;
CashFlows.npvbps(arguments_.legs[i],
discount_ref,
includeRefDateFlows,
settlementDate,
results_.valuationDate,
out npv,
out bps);
results_.legNPV[i] = npv * arguments_.payer[i];
results_.legBPS[i] = bps * arguments_.payer[i];
if (!arguments_.legs[i].empty())
{
Date d1 = CashFlows.startDate(arguments_.legs[i]);
if (d1 >= refDate)
{
results_.startDiscounts[i] = discountCurve_.link.discount(d1);
}
else
{
results_.startDiscounts[i] = null;
}
Date d2 = CashFlows.maturityDate(arguments_.legs[i]);
if (d2 >= refDate)
{
results_.endDiscounts[i] = discountCurve_.link.discount(d2);
}
else
{
results_.endDiscounts[i] = null;
}
}
else
{
results_.startDiscounts[i] = null;
results_.endDiscounts[i] = null;
}
}
catch (Exception e)
{
Utils.QL_FAIL((i + 1) + " leg: " + e.Message);
}
results_.value += results_.legNPV[i];
}
}
public virtual double atmRate(YieldTermStructure discountCurve)
{
return(CashFlows.atmRate(yoyLeg_, discountCurve,
false, discountCurve.referenceDate()));
}
