/src/quantlib/ql/pricingengines/capfloor/gaussian1dcapfloorengine.cpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2013 Peter Caspers |
5 | | |
6 | | This file is part of QuantLib, a free-software/open-source library |
7 | | for financial quantitative analysts and developers - http://quantlib.org/ |
8 | | |
9 | | QuantLib is free software: you can redistribute it and/or modify it |
10 | | under the terms of the QuantLib license. You should have received a |
11 | | copy of the license along with this program; if not, please email |
12 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
13 | | <https://www.quantlib.org/license.shtml>. |
14 | | |
15 | | This program is distributed in the hope that it will be useful, but WITHOUT |
16 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
17 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
18 | | */ |
19 | | |
20 | | #include <ql/pricingengines/capfloor/gaussian1dcapfloorengine.hpp> |
21 | | #include <ql/math/interpolations/cubicinterpolation.hpp> |
22 | | #include <ql/payoff.hpp> |
23 | | |
24 | | namespace QuantLib { |
25 | | |
26 | 0 | void Gaussian1dCapFloorEngine::calculate() const { |
27 | |
|
28 | 0 | for (Real spread : arguments_.spreads) |
29 | 0 | QL_REQUIRE(spread == 0.0, "Non zero spreads (" << spread << ") are not allowed."); |
30 | | |
31 | 0 | Size optionlets = arguments_.startDates.size(); |
32 | 0 | std::vector<Real> values(optionlets, 0.0); |
33 | 0 | std::vector<Real> forwards(optionlets, 0.0); |
34 | 0 | Real value = 0.0; |
35 | |
|
36 | 0 | Date settlement = model_->termStructure()->referenceDate(); |
37 | |
|
38 | 0 | CapFloor::Type type = arguments_.type; |
39 | |
|
40 | 0 | Array z = model_->yGrid(stddevs_, integrationPoints_); |
41 | 0 | Array p(z.size()); |
42 | |
|
43 | 0 | for (Size i = 0; i < optionlets; ++i) { |
44 | |
|
45 | 0 | Date valueDate = arguments_.startDates[i]; |
46 | 0 | Date paymentDate = arguments_.endDates[i]; |
47 | 0 | ext::shared_ptr<IborIndex> iborIndex = |
48 | 0 | ext::dynamic_pointer_cast<IborIndex>(arguments_.indexes[i]); |
49 | | // if we do not find an ibor index with associated forwarding curve |
50 | | // we fall back on the model curve |
51 | |
|
52 | 0 | if (paymentDate > settlement) { |
53 | |
|
54 | 0 | Real f = arguments_.nominals[i] * arguments_.gearings[i]; |
55 | 0 | Date fixingDate = arguments_.fixingDates[i]; |
56 | 0 | Time fixingTime = |
57 | 0 | model_->termStructure()->timeFromReference(fixingDate); |
58 | |
|
59 | 0 | Real strike; |
60 | |
|
61 | 0 | if (type == CapFloor::Cap || type == CapFloor::Collar) { |
62 | 0 | strike = arguments_.capRates[i]; |
63 | 0 | if (fixingDate <= settlement) { |
64 | 0 | values[i] = |
65 | 0 | std::max(arguments_.forwards[i] - strike, 0.0) * f * |
66 | 0 | arguments_.accrualTimes[i]; |
67 | 0 | } else { |
68 | | |
69 | | // todo add openmp support later on (as in gaussian1dswaptionengine) |
70 | |
|
71 | 0 | for (Size j = 0; j < z.size(); j++) { |
72 | 0 | Real floatingLegNpv; |
73 | 0 | if (iborIndex != nullptr) |
74 | 0 | floatingLegNpv = |
75 | 0 | arguments_.accrualTimes[i] * |
76 | 0 | model_->forwardRate(fixingDate, fixingDate, |
77 | 0 | z[j], iborIndex) * |
78 | 0 | model_->zerobond(paymentDate, fixingDate, |
79 | 0 | z[j], discountCurve_); |
80 | 0 | else |
81 | 0 | floatingLegNpv = |
82 | 0 | (model_->zerobond(valueDate, fixingDate, |
83 | 0 | z[j]) - |
84 | 0 | model_->zerobond(paymentDate, fixingDate, |
85 | 0 | z[j])); |
86 | 0 | Real fixedLegNpv = |
87 | 0 | arguments_.capRates[i] * |
88 | 0 | arguments_.accrualTimes[i] * |
89 | 0 | model_->zerobond(paymentDate, fixingDate, z[j]); |
90 | 0 | p[j] = |
91 | 0 | std::max((floatingLegNpv - fixedLegNpv), 0.0) / |
92 | 0 | model_->numeraire(fixingTime, z[j], |
93 | 0 | discountCurve_); |
94 | 0 | } |
95 | 0 | CubicInterpolation payoff( |
96 | 0 | z.begin(), z.end(), p.begin(), |
97 | 0 | CubicInterpolation::Spline, true, |
98 | 0 | CubicInterpolation::Lagrange, 0.0, |
99 | 0 | CubicInterpolation::Lagrange, 0.0); |
100 | 0 | Real price = 0.0; |
101 | 0 | for (Size j = 0; j < z.size() - 1; j++) { |
102 | 0 | price += Gaussian1dModel::gaussianShiftedPolynomialIntegral( |
103 | 0 | 0.0, payoff.cCoefficients()[j], |
104 | 0 | payoff.bCoefficients()[j], |
105 | 0 | payoff.aCoefficients()[j], p[j], z[j], z[j], |
106 | 0 | z[j + 1]); |
107 | 0 | } |
108 | 0 | if (extrapolatePayoff_) { |
109 | 0 | if (flatPayoffExtrapolation_) { |
110 | 0 | price += |
111 | 0 | Gaussian1dModel::gaussianShiftedPolynomialIntegral( |
112 | 0 | 0.0, 0.0, 0.0, 0.0, p[z.size() - 2], |
113 | 0 | z[z.size() - 2], z[z.size() - 1], |
114 | 0 | 100.0); |
115 | 0 | price += |
116 | 0 | Gaussian1dModel::gaussianShiftedPolynomialIntegral( |
117 | 0 | 0.0, 0.0, 0.0, 0.0, p[0], z[0], -100.0, |
118 | 0 | z[0]); |
119 | 0 | } else { |
120 | 0 | price += |
121 | 0 | Gaussian1dModel::gaussianShiftedPolynomialIntegral( |
122 | 0 | 0.0, |
123 | 0 | payoff.cCoefficients()[z.size() - 2], |
124 | 0 | payoff.bCoefficients()[z.size() - 2], |
125 | 0 | payoff.aCoefficients()[z.size() - 2], |
126 | 0 | p[z.size() - 2], z[z.size() - 2], |
127 | 0 | z[z.size() - 1], 100.0); |
128 | 0 | } |
129 | 0 | } |
130 | 0 | values[i] = |
131 | 0 | price * |
132 | 0 | model_->numeraire(0.0, 0.0, discountCurve_) * f; |
133 | 0 | } |
134 | 0 | } |
135 | 0 | if (type == CapFloor::Floor || type == CapFloor::Collar) { |
136 | 0 | strike = arguments_.floorRates[i]; |
137 | 0 | Real floorlet; |
138 | 0 | if (fixingDate <= settlement) { |
139 | 0 | floorlet = |
140 | 0 | std::max(-(arguments_.forwards[i] - strike), 0.0) * |
141 | 0 | f * arguments_.accrualTimes[i]; |
142 | 0 | } else { |
143 | 0 | for (Size j = 0; j < z.size(); j++) { |
144 | 0 | Real floatingLegNpv; |
145 | 0 | if (iborIndex != nullptr) |
146 | 0 | floatingLegNpv = |
147 | 0 | arguments_.accrualTimes[i] * |
148 | 0 | model_->forwardRate(fixingDate, fixingDate, |
149 | 0 | z[j], iborIndex) * |
150 | 0 | model_->zerobond(paymentDate, fixingDate, |
151 | 0 | z[j], discountCurve_); |
152 | 0 | else |
153 | 0 | floatingLegNpv = |
154 | 0 | (model_->zerobond(valueDate, fixingDate, |
155 | 0 | z[j]) - |
156 | 0 | model_->zerobond(paymentDate, fixingDate, |
157 | 0 | z[j])); |
158 | 0 | Real fixedLegNpv = |
159 | 0 | arguments_.floorRates[i] * |
160 | 0 | arguments_.accrualTimes[i] * |
161 | 0 | model_->zerobond(paymentDate, fixingDate, z[j]); |
162 | 0 | p[j] = |
163 | 0 | std::max(-(floatingLegNpv - fixedLegNpv), 0.0) / |
164 | 0 | model_->numeraire(fixingTime, z[j], |
165 | 0 | discountCurve_); |
166 | 0 | } |
167 | 0 | CubicInterpolation payoff( |
168 | 0 | z.begin(), z.end(), p.begin(), |
169 | 0 | CubicInterpolation::Spline, true, |
170 | 0 | CubicInterpolation::Lagrange, 0.0, |
171 | 0 | CubicInterpolation::Lagrange, 0.0); |
172 | 0 | Real price = 0.0; |
173 | 0 | for (Size j = 0; j < z.size() - 1; j++) { |
174 | 0 | price += Gaussian1dModel::gaussianShiftedPolynomialIntegral( |
175 | 0 | 0.0, payoff.cCoefficients()[j], |
176 | 0 | payoff.bCoefficients()[j], |
177 | 0 | payoff.aCoefficients()[j], p[j], z[j], z[j], |
178 | 0 | z[j + 1]); |
179 | 0 | } |
180 | 0 | if (extrapolatePayoff_) { |
181 | 0 | if (flatPayoffExtrapolation_) { |
182 | 0 | price += |
183 | 0 | Gaussian1dModel::gaussianShiftedPolynomialIntegral( |
184 | 0 | 0.0, 0.0, 0.0, 0.0, p[z.size() - 2], |
185 | 0 | z[z.size() - 2], z[z.size() - 1], |
186 | 0 | 100.0); |
187 | 0 | price += |
188 | 0 | Gaussian1dModel::gaussianShiftedPolynomialIntegral( |
189 | 0 | 0.0, 0.0, 0.0, 0.0, p[0], z[0], -100.0, |
190 | 0 | z[0]); |
191 | 0 | } else { |
192 | 0 | price += |
193 | 0 | Gaussian1dModel::gaussianShiftedPolynomialIntegral( |
194 | 0 | 0.0, payoff.cCoefficients()[0], |
195 | 0 | payoff.bCoefficients()[0], |
196 | 0 | payoff.aCoefficients()[0], p[0], z[0], |
197 | 0 | -100.0, z[0]); |
198 | 0 | } |
199 | 0 | } |
200 | 0 | floorlet = price * |
201 | 0 | model_->numeraire(0.0, 0.0, discountCurve_) * |
202 | 0 | f; |
203 | 0 | } |
204 | 0 | if (type == CapFloor::Floor) { |
205 | 0 | values[i] = floorlet; |
206 | 0 | } else { |
207 | | // a collar is long a cap and short a floor |
208 | 0 | values[i] -= floorlet; |
209 | 0 | } |
210 | 0 | } |
211 | |
|
212 | 0 | value += values[i]; |
213 | 0 | } |
214 | 0 | } |
215 | |
|
216 | 0 | results_.value = value; |
217 | |
|
218 | 0 | results_.additionalResults["optionletsPrice"] = values; |
219 | 0 | results_.additionalResults["optionletsAtmForward"] = forwards; |
220 | 0 | } |
221 | | |
222 | | } |